|
QuantLib: a free/open-source library for quantitative finance
Reference manual - version 1.40
|
Classes | |
| class | InterpolatedDiscountCurve< Interpolator > |
| YieldTermStructure based on interpolation of discount factors. More... | |
| class | FittedBondDiscountCurve |
| Discount curve fitted to a set of fixed-coupon bonds. More... | |
| class | FlatForward |
| Flat interest-rate curve. More... | |
| class | InterpolatedForwardCurve< Interpolator > |
| YieldTermStructure based on interpolation of forward rates. More... | |
| class | ForwardSpreadedTermStructure |
| Term structure with added spread on the instantaneous forward rate. More... | |
| class | ForwardRateStructure |
| Forward-rate term structure More... | |
| class | ImpliedTermStructure |
| Implied term structure at a given date in the future. More... | |
| class | InterpolatedSimpleZeroCurve< Interpolator > |
| YieldTermStructure based on interpolation of zero rates. More... | |
| class | InterpolatedPiecewiseForwardSpreadedTermStructure< Interpolator > |
| Term structure with an added vector of spreads on the instantaneous forward rate. More... | |
| class | PiecewiseYieldCurve< Traits, Interpolator, Bootstrap > |
| Piecewise yield term structure. More... | |
| class | InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator > |
| Yield curve with an added vector of spreads on the zero-yield rate. More... | |
| class | InterpolatedSpreadDiscountCurve< Interpolator > |
| class | UltimateForwardTermStructure |
| Ultimate forward term structure. More... | |
| class | InterpolatedZeroCurve< Interpolator > |
| YieldTermStructure based on interpolation of zero rates. More... | |
| class | ZeroSpreadedTermStructure |
| Term structure with an added spread on the zero yield rate. More... | |
| class | ZeroYieldStructure |
| Zero-yield term structure. More... | |
| class | YieldTermStructure |
| Interest-rate term structure. More... | |
Typedefs | |
| typedef InterpolatedDiscountCurve< LogLinear > | DiscountCurve |
| Term structure based on log-linear interpolation of discount factors. | |
| typedef InterpolatedForwardCurve< BackwardFlat > | ForwardCurve |
| Term structure based on flat interpolation of forward rates. | |
| typedef InterpolatedPiecewiseZeroSpreadedTermStructure< Linear > | PiecewiseZeroSpreadedTermStructure |
| Piecewise zero-spreaded yield curve based on linear interpolation of zero rates. | |
| typedef InterpolatedSpreadDiscountCurve< LogLinear > | SpreadDiscountCurve |
| Spread yield curve based on log-linear interpolation of discount factors. | |
| typedef InterpolatedZeroCurve< Linear > | ZeroCurve |
| Term structure based on linear interpolation of zero yields. | |
The abstract class QuantLib::YieldTermStructure provides the common interface to concrete yield-rate term structure models. Among others, methods are declared which return instantaneous forward rate, discount factor, and zero rate at a given date. Adapter classes are provided which already implement part of the required methods, thus allowing the programmer to define only the non-redundant part.
Term structure based on log-linear interpolation of discount factors.
Log-linear interpolation guarantees piecewise-constant forward rates.
Spread yield curve based on log-linear interpolation of discount factors.
Log-linear interpolation guarantees piecewise-constant spreads.