irCurveUtils.hpp File Reference

File contains small programming tools used to handle interest curve. More...

#include <utils/dataFrame.hpp>
#include <instruments/linear/_all_linear.hpp>
#include <marketData/interestRateCurves/irCurve.hpp>
#include <utils/smartPointer.hpp>

Go to the source code of this file.

Functions
DataFrame	julian::ir::getCurves (SmartPointer< Curve > c, Tenor step, Tenor end, std::string id)
	Function saves curve in DataFrame. More...
DataFrame	julian::ir::getCalibration (const SmartPointer< ir::Curve > &c, const std::vector< SmartPointer< ir::BuildingBlock > > &instruments, const std::string id)
	Function calculates the par rate and price of provided instruments, what allows assessing calibration. More...
std::vector< Deposit >	julian::ir::readDeposit (DataFrame df, Date today, Calendar calendar)
	Function construct deposit using data stored in DataFrame. More...
std::vector< FRA >	julian::ir::readFRA (DataFrame df, Date today, Calendar calendar)
	Function construct FRA using data stored in DataFrame. More...
std::vector< IRS >	julian::ir::readIRS (DataFrame df, Date today, Calendar calendar)
	Function construct IRS using data stored in DataFrame. More...

Detailed Description

File contains small programming tools used to handle interest curve.