Term structures


Detailed Description

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.


Classes

class  YieldTermStructure
 Interest-rate term structure. More...
class  DiscountCurve
 Term structure based on loglinear interpolation of discount factors. More...
class  DiscountStructure
 Discount factor term structure. More...
class  FlatForward
 Flat interest-rate curve. 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  PiecewiseFlatForward
 Piecewise flat forward term structure. More...
class  ZeroCurve
 Term structure based on linear interpolation of zero yields. More...
class  ZeroSpreadedTermStructure
 Term structure with an added spread on the zero yield rate. More...
class  ZeroYieldStructure
 Zero-yield term structure. More...


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