QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Statistical analysis of historical forward rates. More...
#include <ql/indexes/iborindex.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/math/matrix.hpp>
#include <ql/math/statistics/sequencestatistics.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/date.hpp>
#include <utility>
Go to the source code of this file.
Classes | |
class | HistoricalForwardRatesAnalysis |
class | HistoricalForwardRatesAnalysisImpl< Traits, Interpolator > |
Historical correlation class More... | |
Namespaces | |
namespace | QuantLib |
Functions | |
template<class Traits , class Interpolator > | |
void | historicalForwardRatesAnalysis (SequenceStatistics &statistics, std::vector< Date > &skippedDates, std::vector< std::string > &skippedDatesErrorMessage, std::vector< Date > &failedDates, std::vector< std::string > &failedDatesErrorMessage, std::vector< Period > &fixingPeriods, const Date &startDate, const Date &endDate, const Period &step, const ext::shared_ptr< InterestRateIndex > &fwdIndex, const Period &initialGap, const Period &horizon, const std::vector< ext::shared_ptr< IborIndex > > &iborIndexes, const std::vector< ext::shared_ptr< SwapIndex > > &swapIndexes, const DayCounter &yieldCurveDayCounter, Real yieldCurveAccuracy=1.0e-12, const Interpolator &i=Interpolator()) |
Statistical analysis of historical forward rates.
Definition in file historicalforwardratesanalysis.hpp.