QuantLib
A free/open-source library for quantitative finance
Fully annotated sources - version 1.22
Classes | Typedefs
Term structures

Classes

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  InterpolatedSimpleZeroCurve< Interpolator >
 YieldTermStructure based on interpolation of zero rates. 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  UltimateForwardTermStructure
 Ultimate forward term structure. 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< LogLinearDiscountCurve
 Term structure based on log-linear interpolation of discount factors. More...
 
typedef InterpolatedForwardCurve< BackwardFlatForwardCurve
 Term structure based on flat interpolation of forward rates. More...
 
typedef InterpolatedPiecewiseZeroSpreadedTermStructure< LinearPiecewiseZeroSpreadedTermStructure
 Piecewise zero-spreaded yield curve based on linear interpolation of zero rates. More...
 
typedef InterpolatedZeroCurve< LinearZeroCurve
 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

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

Log-linear interpolation guarantees piecewise-constant forward rates.

Definition at line 121 of file discountcurve.hpp.

◆ ForwardCurve

Term structure based on flat interpolation of forward rates.

Definition at line 119 of file forwardcurve.hpp.

◆ PiecewiseZeroSpreadedTermStructure

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

Definition at line 89 of file piecewisezerospreadedtermstructure.hpp.

◆ ZeroCurve

Term structure based on linear interpolation of zero yields.

Definition at line 125 of file zerocurve.hpp.