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FITTEDBONDCURVE

FITTEDBONDCURVE

Section: User Commands (1) Updated: 25 February 2006 Local index Up
 

NAME

FittedBondCurve - Example of using QuantLib to fit discount curves  

SYNOPSIS

FittedBondCurve  

DESCRIPTION

FittedBondCurve is an example of using QuantLib.

For a given set of coupons and terms to maturity, it computes the value of a bond by fitting the yields to a curve using different methods.

The fitting methods are exponential splines, simple polynomials, Nelson-Siegel, and cubic B-splines. It then shifts the evaluation date into the future to compute implied forward par rates. It also computes yields after small price shifts.

 

SEE ALSO

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

 

AUTHORS

The QuantLib Group (see Authors.txt).

This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for QuantLib.

 

Index

NAME
SYNOPSIS
DESCRIPTION
SEE ALSO
AUTHORS
This document was created by man2html, using the manual pages.
Time: 21:12:50 GMT, April 16, 2011