Repo - Example of using QuantLib
Repo
Repo is an example of using the
QuantLib interest-rate model
framework.
Repo values a fixed-coupon bond repurchase (repo). The repurchase
agreement example is set up to use the repo rate to do all discounting
(including the underlying bond income). Forward delivery price is also
obtained using this repo rate. All this is done by supplying the
FixedCouponBondForward constructor with a flat repo YieldTermStructure.
The source code
Repo.cpp,
BermudanSwaption(1),
Bonds(1),
CallableBonds(1),
CDS(1),
ConvertibleBonds(1),
DiscreteHedging(1),
EquityOption(1),
FittedBondCurve(1),
FRA(1),
MarketModels(1),
MulticurveBootstrapping(1),
Replication(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.