1Term structures(3)                 QuantLib                 Term structures(3)
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NAME

6       Term structures -
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Detailed Description

9       The abstract class QuantLib::YieldTermStructure provides the common
10       interface to concrete yield-rate term structure models. Among others,
11       methods are declared which return instantaneous forward rate, discount
12       factor, and zero rate at a given date. Adapter classes are provided
13       which already implement part of the required methods, thus allowing the
14       programmer to define only the non-redundant part.
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16   Classes
17       class InterpolatedDiscountCurve
18           Term structure based on interpolation of discount factors.
19       class FlatForward
20           Flat interest-rate curve.
21       class InterpolatedForwardCurve
22           Term structure based on interpolation of forward rates.
23       class ForwardSpreadedTermStructure
24           Term structure with added spread on the instantaneous forward rate.
25       class ForwardRateStructure
26           Forward-rate term structure
27       class ImpliedTermStructure
28           Implied term structure at a given date in the future.
29       class PiecewiseYieldCurve
30           Piecewise yield term structure.
31       class PiecewiseZeroSpreadedTermStructure
32           Term structure with an added vector of spreads on the zero-yield
33           rate.
34       class InterpolatedZeroCurve
35           Term structure based on interpolation of zero yields.
36       class ZeroSpreadedTermStructure
37           Term structure with an added spread on the zero yield rate.
38       class ZeroYieldStructure
39           Zero-yield term structure.
40       class YieldTermStructure
41           Interest-rate term structure.
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43   Typedefs
44       typedef InterpolatedDiscountCurve< LogLinear > DiscountCurve
45           Term structure based on log-linear interpolation of discount
46           factors.
47       typedef InterpolatedForwardCurve< BackwardFlat > ForwardCurve
48           Term structure based on flat interpolation of forward rates.
49       typedef InterpolatedZeroCurve< Linear > ZeroCurve
50           Term structure based on linear interpolation of zero yields.
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Typedef Documentation

53   typedef InterpolatedDiscountCurve<LogLinear> DiscountCurve
54       Term structure based on log-linear interpolation of discount factors.
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56       Log-linear interpolation guarantees piecewise-constant forward rates.
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58   typedef InterpolatedForwardCurve<BackwardFlat> ForwardCurve
59       Term structure based on flat interpolation of forward rates.
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61   typedef InterpolatedZeroCurve<Linear> ZeroCurve
62       Term structure based on linear interpolation of zero yields.
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64Version 0.8.1                     29 Oct 2007               Term structures(3)