functions to construct and use TermStructure objects.
The first step is to load the QuantLib package.
In[1]:=
Needs["QuantLib`"]
Within the TermStructures part there are several constructors and member functions available
In[2]:=
Select[Category[TermStructures],QLConstructor[#]&]
Out[2]=
In[3]:=
Select[Category[TermStructures],QLMember[#]&]
Out[3]=
RelinkableHandleYieldTermStructure
In[4]:=
obj=RelinkableHandleYieldTermStructure[]
Out[4]=
DiscountCurve
In[5]:=
In[7]:=
obj=DiscountCurve[CurveDates,CurveDiscounts]
Out[7]=
Alternativly the dates can be given in short form in relation to the valuation date as
In[8]:=
Out[9]=
ZeroCurve
In[10]:=
In[12]:=
obj=ZeroCurve[CurveDates,CurveYields]
Out[12]=
ForwardCurve
In[13]:=
In[15]:=
obj=ForwardCurve[CurveDates,ForwardYields]
Out[15]=
FlatForward
In[16]:=
In[18]:=
obj=FlatForward[Rate,Compounding]
Out[18]=
ForwardSpreadedTermStructure
In[19]:=
In[19]:=
In[21]:=
obj=ForwardSpreadedTermStructure[BaseYieldCurve,Spread]
Out[21]=
ImpliedTermStructure
In[22]:=
In[24]:=
obj=ImpliedTermStructure[BaseYieldCurve,ReferenceDate]
Out[24]=
TermStructureDayCounter
In[25]:=
TermStructureDayCounter[obj]
Out[25]=
TermStructureMaxDate
In[26]:=
TermStructureMaxDate[obj]
Out[26]=
TermStructureReferenceDate
In[27]:=
TermStructureReferenceDate[obj]
Out[27]=
TermStructureTimeFromReference
In[28]:=
In[29]:=
TermStructureTimeFromReference[obj,date]
Out[29]=
TermStructureCalendar
In[30]:=
TermStructureCalendar[obj]
Out[30]=
TermStructureSettlementDays
In[31]:=
TermStructureSettlementDays[obj]
Out[31]=
YieldTSDiscount
In[32]:=
In[33]:=
YieldTSDiscount[obj,DfDates]
Out[33]=
YieldTSForwardRate
In[34]:=
In[38]:=
YieldTSForwardRate[obj,D1,D2,ResultDayCounter,Compounding]
Out[38]=
YieldTSForwardRate2
In[39]:=
In[39]:=
YieldTSForwardRate2[obj,Date,Period,ResultDayCounter,Compounding]
Out[39]=
YieldTSZeroRate
In[40]:=
In[43]:=
YieldTSZeroRate[obj,Dates,ResultDayCounter,Compounding]
Out[43]=
YieldTSParRate
In[44]:=
In[46]:=
YieldTSParRate[obj,Tenor,StartDate]
Out[46]=
