1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>QuantLib: Term structures</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.9.0</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.4 -->
<h1>Term structures</h1><hr><a name="_details"></a><h2>Detailed Description</h2>
The abstract class <a class="el" href="class_quant_lib_1_1_yield_term_structure.html" title="Interest-rate term structure.">QuantLib::YieldTermStructure</a> 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.
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Classes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_interpolated_discount_curve.html">InterpolatedDiscountCurve</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Term structure based on interpolation of discount factors. <a href="class_quant_lib_1_1_interpolated_discount_curve.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve.html">FittedBondDiscountCurve</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight"><a class="el" href="struct_quant_lib_1_1_discount.html" title="Discount-curve traits.">Discount</a> curve fitted to a set of fixed-coupon bonds. <a href="class_quant_lib_1_1_fitted_bond_discount_curve.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_flat_forward.html">FlatForward</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Flat interest-rate curve. <a href="class_quant_lib_1_1_flat_forward.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_interpolated_forward_curve.html">InterpolatedForwardCurve</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Term structure based on interpolation of forward rates. <a href="class_quant_lib_1_1_interpolated_forward_curve.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_spreaded_term_structure.html">ForwardSpreadedTermStructure</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Term structure with added spread on the instantaneous forward rate. <a href="class_quant_lib_1_1_forward_spreaded_term_structure.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_rate_structure.html">ForwardRateStructure</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Forward-rate term structure <a href="class_quant_lib_1_1_forward_rate_structure.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_implied_term_structure.html">ImpliedTermStructure</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Implied term structure at a given date in the future. <a href="class_quant_lib_1_1_implied_term_structure.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_piecewise_yield_curve.html">PiecewiseYieldCurve</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Piecewise yield term structure. <a href="class_quant_lib_1_1_piecewise_yield_curve.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_piecewise_zero_spreaded_term_structure.html">PiecewiseZeroSpreadedTermStructure</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Term structure with an added vector of spreads on the zero-yield rate. <a href="class_quant_lib_1_1_piecewise_zero_spreaded_term_structure.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_interpolated_zero_curve.html">InterpolatedZeroCurve</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Term structure based on interpolation of zero yields. <a href="class_quant_lib_1_1_interpolated_zero_curve.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_zero_spreaded_term_structure.html">ZeroSpreadedTermStructure</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Term structure with an added spread on the zero yield rate. <a href="class_quant_lib_1_1_zero_spreaded_term_structure.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_zero_yield_structure.html">ZeroYieldStructure</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Zero-yield term structure. <a href="class_quant_lib_1_1_zero_yield_structure.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Interest-rate term structure. <a href="class_quant_lib_1_1_yield_term_structure.html#_details">More...</a><br></td></tr>
<tr><td colspan="2"><br><h2>Typedefs</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">typedef <br>
InterpolatedDiscountCurve<br>
< LogLinear > </td><td class="memItemRight" valign="bottom"><a class="el" href="group__yieldtermstructures.html#g4e538c822f698ad1c21bbe52deb30d29">DiscountCurve</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Term structure based on log-linear interpolation of discount factors. <a href="#g4e538c822f698ad1c21bbe52deb30d29"></a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">typedef <br>
InterpolatedForwardCurve<br>
< BackwardFlat > </td><td class="memItemRight" valign="bottom"><a class="el" href="group__yieldtermstructures.html#g44c13ddc64513ecbc1c0955253af96c5">ForwardCurve</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Term structure based on flat interpolation of forward rates. <a href="#g44c13ddc64513ecbc1c0955253af96c5"></a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">typedef InterpolatedZeroCurve<br>
< Linear > </td><td class="memItemRight" valign="bottom"><a class="el" href="group__yieldtermstructures.html#gb0fc9b631f36e7661b35642d67035aeb">ZeroCurve</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Term structure based on linear interpolation of zero yields. <a href="#gb0fc9b631f36e7661b35642d67035aeb"></a><br></td></tr>
</table>
<hr><h2>Typedef Documentation</h2>
<a class="anchor" name="g4e538c822f698ad1c21bbe52deb30d29"></a><!-- doxytag: member="QuantLib::DiscountCurve" ref="g4e538c822f698ad1c21bbe52deb30d29" args="" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">typedef InterpolatedDiscountCurve<LogLinear> DiscountCurve </td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
Term structure based on log-linear interpolation of discount factors.
<p>
Log-linear interpolation guarantees piecewise-constant forward rates.
</div>
</div><p>
<a class="anchor" name="g44c13ddc64513ecbc1c0955253af96c5"></a><!-- doxytag: member="QuantLib::ForwardCurve" ref="g44c13ddc64513ecbc1c0955253af96c5" args="" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">typedef InterpolatedForwardCurve<BackwardFlat> ForwardCurve </td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
Term structure based on flat interpolation of forward rates.
<p>
</div>
</div><p>
<a class="anchor" name="gb0fc9b631f36e7661b35642d67035aeb"></a><!-- doxytag: member="QuantLib::ZeroCurve" ref="gb0fc9b631f36e7661b35642d67035aeb" args="" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">typedef InterpolatedZeroCurve<Linear> ZeroCurve </td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
Term structure based on linear interpolation of zero yields.
<p>
</div>
</div><p>
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.5.4
</div>
</div>
</div>
</body>
</html>
|
