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  InterpolatedDiscountCurve
 Term structure based on interpolation of discount factors. More...
class  FlatForward
 Flat interest-rate curve. More...
class  InterpolatedForwardCurve
 Term structure 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  PiecewiseYieldCurve
 Piecewise yield term structure. More...
class  PiecewiseZeroSpreadedTermStructure
 Term structure with an added vector of spreads on the zero-yield rate. More...
class  InterpolatedZeroCurve
 Term structure based on 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...
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 InterpolatedZeroCurve<
Linear > 
ZeroCurve
 Term structure based on linear interpolation of zero yields.


Typedef Documentation

typedef InterpolatedDiscountCurve<LogLinear> DiscountCurve

Term structure based on log-linear interpolation of discount factors.

Log-linear interpolation guarantees piecewise-constant forward rates.

typedef InterpolatedForwardCurve<BackwardFlat> ForwardCurve

Term structure based on flat interpolation of forward rates.

typedef InterpolatedZeroCurve<Linear> ZeroCurve

Term structure based on linear interpolation of zero yields.