Term structures

Documentation for this part of the library is in progress.

The abstract class QuantLib::TermStructure provides the common interface to concrete 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. The PiecewiseConstantForwards class is provided as an example in the QuantLib::TermStructures namespace.


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