yieldcurve.cpp File Reference

#include <ql/currencies/exchangeratemanager.hpp>
#include <ql/math/functional.hpp>
#include <ql/math/randomnumbers/haltonrsg.hpp>
#include <ql/pricingengines/bond/bondfunctions.hpp>
#include <ql/pricingengines/bond/discountingbondengine.hpp>
#include <ql/quotes/derivedquote.hpp>
#include <ql/termstructures/yield/bondhelpers.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/termstructures/yield/nonlinearfittingmethods.hpp>
#include <ql/termstructures/yield/oisratehelper.hpp>
#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
#include <ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp>
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/termstructures/yield/overnightindexfutureratehelper.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/time/imm.hpp>
#include <ql/indexes/ibor/all.hpp>
#include <ql/math/interpolations/convexmonotoneinterpolation.hpp>
#include <ql/math/interpolations/mixedinterpolation.hpp>
#include <qle/indexes/ibor/brlcdi.hpp>
#include <qle/math/logquadraticinterpolation.hpp>
#include <qle/math/quadraticinterpolation.hpp>
#include <qle/termstructures/averageoisratehelper.hpp>
#include <qle/termstructures/basistwoswaphelper.hpp>
#include <qle/termstructures/brlcdiratehelper.hpp>
#include <qle/termstructures/crossccybasismtmresetswaphelper.hpp>
#include <qle/termstructures/crossccybasisswaphelper.hpp>
#include <qle/termstructures/crossccyfixfloatmtmresetswaphelper.hpp>
#include <qle/termstructures/crossccyfixfloatswaphelper.hpp>
#include <qle/termstructures/discountratiomodifiedcurve.hpp>
#include <qle/termstructures/immfraratehelper.hpp>
#include <qle/termstructures/iterativebootstrap.hpp>
#include <qle/termstructures/oisratehelper.hpp>
#include <qle/termstructures/subperiodsswaphelper.hpp>
#include <qle/termstructures/tenorbasisswaphelper.hpp>
#include <qle/termstructures/weightedyieldtermstructure.hpp>
#include <qle/termstructures/yieldplusdefaultyieldtermstructure.hpp>
#include <qle/termstructures/iborfallbackcurve.hpp>
#include <qle/termstructures/overnightfallbackcurve.hpp>
#include <qle/termstructures/bondyieldshiftedcurvetermstructure.hpp>
#include <ored/marketdata/defaultcurve.hpp>
#include <ored/marketdata/fittedbondcurvehelpermarket.hpp>
#include <ored/marketdata/marketdatumparser.hpp>
#include <ored/marketdata/yieldcurve.hpp>
#include <ored/portfolio/bond.hpp>
#include <ored/portfolio/enginefactory.hpp>
#include <ored/portfolio/envelope.hpp>
#include <ored/portfolio/referencedata.hpp>
#include <ored/utilities/indexparser.hpp>
#include <ored/utilities/log.hpp>
#include <ored/utilities/parsers.hpp>
#include <ored/utilities/to_string.hpp>

Go to the source code of this file.

Namespaces
namespace	ore
	Serializable Credit Default Swap.
namespace	ore::data

Functions
template<template< class > class CurveType>
QuantLib::ext::shared_ptr< YieldTermStructure >	buildYieldCurve (const vector< Date > &dates, const vector< QuantLib::Real > &rates, const DayCounter &dayCounter, YieldCurve::InterpolationMethod interpolationMethod, Size n=0)
	Templated function to build a YieldTermStructure and apply interpolation methods to it. More...
QuantLib::ext::shared_ptr< YieldTermStructure >	zerocurve (const vector< Date > &dates, const vector< Rate > &yields, const DayCounter &dayCounter, YieldCurve::InterpolationMethod interpolationMethod, Size n=0)
	Create a Interpolated Zero Curve and apply interpolators. More...
QuantLib::ext::shared_ptr< YieldTermStructure >	discountcurve (const vector< Date > &dates, const vector< DiscountFactor > &dfs, const DayCounter &dayCounter, YieldCurve::InterpolationMethod interpolationMethod, Size n=0)
	Create a Interpolated Discount Curve and apply interpolators. More...
QuantLib::ext::shared_ptr< YieldTermStructure >	forwardcurve (const vector< Date > &dates, const vector< Rate > &forwards, const DayCounter &dayCounter, YieldCurve::InterpolationMethod interpolationMethod, Size n=0)
	Create a Interpolated Forward Curve and apply interpolators. More...
YieldCurve::InterpolationMethod	parseYieldCurveInterpolationMethod (const string &s)
	Helper function for parsing interpolation method. More...
YieldCurve::InterpolationVariable	parseYieldCurveInterpolationVariable (const string &s)
	Helper function for parsing interpolation variable. More...
std::ostream &	operator<< (std::ostream &out, const YieldCurve::InterpolationMethod m)
	Output operator for interpolation method. More...