QuantLib: Term structures

A free/open-source library for quantitative finance Reference manual - version 1.12

Classes | Typedefs
Term structures

## Classes
class | MultiCurveSensitivities
| Multi curve sensitivities. More...
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 | 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 | 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. More...
typedef InterpolatedForwardCurve< BackwardFlat > | ForwardCurve
| Term structure based on flat interpolation of forward rates. More...
typedef InterpolatedPiecewiseZeroSpreadedTermStructure< Linear > | PiecewiseZeroSpreadedTermStructure
| Piecewise zero-spreaded yield curve based on linear interpolation of zero rates. More...
typedef InterpolatedZeroCurve< Linear > | ZeroCurve
| Term structure based on linear interpolation of zero yields. More...

## 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.

## Typedef Documentation

## ◆ DiscountCurve

typedef InterpolatedDiscountCurve<LogLinear> DiscountCurve

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

Log-linear interpolation guarantees piecewise-constant forward rates.

## ◆ ForwardCurve

typedef InterpolatedForwardCurve<BackwardFlat> ForwardCurve

Term structure based on flat interpolation of forward rates.

## ◆ PiecewiseZeroSpreadedTermStructure

typedef InterpolatedPiecewiseZeroSpreadedTermStructure<Linear> PiecewiseZeroSpreadedTermStructure

Piecewise zero-spreaded yield curve based on linear interpolation of zero rates.

## ◆ ZeroCurve

typedef InterpolatedZeroCurve<Linear> ZeroCurve

Term structure based on linear interpolation of zero yields.