FittedBondCurve - Example of using QuantLib to fit discount curves
FittedBondCurve
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.
The source code
FittedBondCurve.cpp,
BermudanSwaption(1),
Bonds(1),
CallableBonds(1),
CDS(1),
ConvertibleBonds(1),
DiscreteHedging(1),
EquityOption(1),
FRA(1),
MarketModels(1),
MulticurveBootstrapping(1),
Replication(1),
Repo(1), the QuantLib documentation and website
at
https://www.quantlib.org.
The QuantLib Group (see
Contributors.txt).
This manual page was added by Dirk Eddelbuettel <
[email protected]>, the
Debian GNU/Linux maintainer for
QuantLib.