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.