QuantLib 0.3.3 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Supported platforms Version history Todo list Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Namespace List Class Hierarchy Compound List File List Namespace Members Compound Members File Members Unstable Features Deprecated List

QuantLib::TermStructures Namespace Reference Detailed Description Concrete implementations of the TermStructure interface. See sect. Term structures Compounds class   AffineTermStructure   Term-structure implied by an affine model. More... class   DiscountCurve   Term structure based on loglinear interpolation of discount factors. More... class   DriftTermStructure   Drift term structure. More... class   ForwardSpreadedTermStructure   Term structure with added spread on the instantaneous forward rate. More... class   ImpliedTermStructure   Implied term structure at a given date in the future. More... class   PiecewiseFlatForward   Piecewise flat forward term structure. More... class   QuantoTermStructure   Quanto term structure. More... class   RateHelper   base class for rate helpers More... class   DepositRateHelper   Deposit rate. More... class   FraRateHelper   Forward rate agreement. More... class   FuturesRateHelper   Interest Rate Futures. More... class   SwapRateHelper   Swap rate. More... class   ZeroCurve   Term structure based on linear interpolation of zero yields. More... class   ZeroSpreadedTermStructure   Term structure with an added spread on the zero yield rate. More...

---

QuantLib.org

Hosted by

Documentation generated by