Provides classes related to the modeling of Bond curves. See Beier/Fries (2017).
- Christian Fries, Moritz Scherrmann
Class Summary Class Description BondImplements the valuation of a bond (zero-coupon, fixed coupon or floating coupon) with unit notional of 1 using curves: a forward curve, if the bond has floating rate coupons a discount curve as a base curve for discounting a survival probability curve for additional credit risk related discount factor a basis factor curve for additional bond related discount factor Support for day counting is provided via the class implementing
BondCurveImplements the bond curve as a curve object, see
Enum Summary Enum Description BondCurve.TypePossible curve types, where the first term stands for the reference discount curve and the second term stands for the spread curve.