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Reference manual - version ored_version
Classes | Namespaces | Functions
yieldcurve.hpp File Reference

Wrapper class for QuantLib term structures. More...

#include <ored/configuration/conventions.hpp>
#include <ored/configuration/curveconfigurations.hpp>
#include <ored/configuration/iborfallbackconfig.hpp>
#include <ored/configuration/yieldcurveconfig.hpp>
#include <ored/marketdata/curvespec.hpp>
#include <ored/marketdata/fxtriangulation.hpp>
#include <ored/marketdata/loader.hpp>
#include <ored/marketdata/market.hpp>
#include <ored/marketdata/todaysmarketcalibrationinfo.hpp>
#include <ored/marketdata/yieldcurve.hpp>
#include <ql/termstructures/yield/ratehelpers.hpp>

Classes

class  YieldCurve
 Wrapper class for building yield term structures. More...
 

Namespaces

 ore
 Serializable Credit Default Swap.
 
 ore::data
 

Functions

YieldCurve::InterpolationMethod parseYieldCurveInterpolationMethod (const string &s)
 Helper function for parsing interpolation method.
 
YieldCurve::InterpolationVariable parseYieldCurveInterpolationVariable (const string &s)
 Helper function for parsing interpolation variable.
 
template<template< class > class CurveType>
boost::shared_ptr< YieldTermStructure > buildYieldCurve (const vector< Date > &dates, const vector< QuantLib::Real > &rates, const DayCounter &dayCounter, YieldCurve::InterpolationMethod interpolationMethod)
 Templated function to build a YieldTermStructure and apply interpolation methods to it.
 
boost::shared_ptr< YieldTermStructure > zerocurve (const vector< Date > &dates, const vector< Rate > &yields, const DayCounter &dayCounter, YieldCurve::InterpolationMethod interpolationMethod)
 Create a Interpolated Zero Curve and apply interpolators.
 
boost::shared_ptr< YieldTermStructure > discountcurve (const vector< Date > &dates, const vector< DiscountFactor > &dfs, const DayCounter &dayCounter, YieldCurve::InterpolationMethod interpolationMethod)
 Create a Interpolated Discount Curve and apply interpolators.
 
boost::shared_ptr< YieldTermStructure > forwardcurve (const vector< Date > &dates, const vector< Rate > &forwards, const DayCounter &dayCounter, YieldCurve::InterpolationMethod interpolationMethod)
 Create a Interpolated Forward Curve and apply interpolators.
 

Detailed Description

Wrapper class for QuantLib term structures.