MulticurveBootstrapping - Man Page
Example of using QuantLib
Synopsis
MulticurveBootstrapping
Description
MulticurveBootstrapping is an example of using QuantLib.
It prices an interest-rate swap over a bootstrapped term structure and calculates its fair fixed rate and floating spread.
See Also
The source code MulticurveBootstrapping.cpp, BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), DiscreteHedging(1), EquityOption(1), FittedBondCurve(1), FRA(1), MarketModels(1), Replication(1), Repo(1), the QuantLib documentation and website at https://www.quantlib.org.
Authors
The QuantLib Group (see Contributors.txt).
This manual page was added by Luigi Ballabio <luigi.ballabio@gmail.com> .
Referenced By
BasketLosses(1), BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), CVAIRS(1), DiscreteHedging(1), EquityOption(1), FittedBondCurve(1), FRA(1), Gaussian1dModels(1), GlobalOptimizer(1), LatentModel(1), MarketModels(1), MultidimIntegral(1), Replication(1), Repo(1).