1FITTEDBONDCURVE(1)          General Commands Manual         FITTEDBONDCURVE(1)
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NAME

6       FittedBondCurve - Example of using QuantLib to fit discount curves
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SYNOPSIS

9       FittedBondCurve
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DESCRIPTION

12       FittedBondCurve is an example of using QuantLib.
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14       For a given set of coupons and terms to maturity, it computes the value
15       of a bond by fitting the yields to a curve using different methods.
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17       The fitting methods are exponential splines, simple  polynomials,  Nel‐
18       son-Siegel,  and  cubic  B-splines.  It then shifts the evaluation date
19       into the future to compute implied forward par rates. It also  computes
20       yields after small price shifts.
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SEE ALSO

24       The  source  code  FittedBondCurve.cpp,  BermudanSwaption(1), Bonds(1),
25       CallableBonds(1),  CDS(1),   ConvertibleBonds(1),   DiscreteHedging(1),
26       EquityOption(1),   FRA(1),  MarketModels(1),  Replication(1),  Repo(1),
27       SwapValuation(1),   the   QuantLib   documentation   and   website   at
28       http://quantlib.org.
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AUTHORS

32       The QuantLib Group (see Authors.txt).
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34       This  manual  page was added by Dirk Eddelbuettel <edd@debian.org>, the
35       Debian GNU/Linux maintainer for QuantLib.
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39QuantLib                       25 February 2006             FITTEDBONDCURVE(1)