Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves. Curves are mappings t → f(t), usually given by a discrete set of points and an interpolation and extrapolation methods.
- Christian Fries
ClassDescriptionAbstract base class for a curve.Abstract base class for a forward curve, extending a curve object It stores the maturity of the underlying index (paymentOffset) and the associated discount curve.The interface which is implemented by a general curve.Interface of builders which allow to build curve objects by successively adding points.This class represents a curveFromInterpolationPoints build from a set of points in 2D.A builder (following the builder pattern) for CurveFromInterpolationPoints objects.Possible extrapolation methods.Possible interpolation entities.Possible interpolation methods.A discount curve derived from a given forward curve.The interface which is implemented by discount curves.Implementation of a discount factor curve based on
CurveInterpolation.A forward curve derived from a given discount curve.The interface which is implemented by forward curves.A container for a forward (rate) curve.Additional choice of interpolation entities for forward curves.