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/globalbootstrap.hpp>
#include <ql/termstructures/yield/ratehelpers.hpp>

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

Namespaces
namespace	ore
	Serializable Credit Default Swap.
namespace	ore::data

Typedefs
using	YieldCurveConfigMap

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.
std::ostream &	operator<< (std::ostream &out, const YieldCurve::InterpolationVariable v)
	Output operator for interpolation variable.
std::ostream &	operator<< (std::ostream &out, const YieldCurve::InterpolationMethod m)
	Output operator for interpolation method.
template<template< class > class CurveType>
QuantLib::ext::shared_ptr< YieldTermStructure >	buildYieldCurve (const vector< Date > &dates, const vector< QuantLib::Real > &rates, const DayCounter &dayCounter, YieldCurve::InterpolationMethod interpolationMethod, Size n=0)
	Templated function to build a YieldTermStructure and apply interpolation methods to it.
QuantLib::ext::shared_ptr< YieldTermStructure >	zerocurve (const vector< Date > &dates, const vector< Rate > &yields, const DayCounter &dayCounter, YieldCurve::InterpolationMethod interpolationMethod, Size n=0, bool excludeT0=false, const Date &referenceDate=Date())
	Create a Interpolated Zero Curve and apply interpolators.
QuantLib::ext::shared_ptr< YieldTermStructure >	discountcurve (const vector< Date > &dates, const vector< DiscountFactor > &dfs, const DayCounter &dayCounter, YieldCurve::InterpolationMethod interpolationMethod, Size n=0, bool excludeT0=false, const Date &referenceDate=Date())
	Create a Interpolated Discount Curve and apply interpolators.
QuantLib::ext::shared_ptr< YieldTermStructure >	forwardcurve (const vector< Date > &dates, const vector< Rate > &forwards, const DayCounter &dayCounter, YieldCurve::InterpolationMethod interpolationMethod, Size n=0, bool excludeT0=false, const Date &referenceDate=Date())
	Create a Interpolated Forward Curve and apply interpolators.

Detailed Description

Wrapper class for QuantLib term structures.