Market Data

Modules
	Interest Rate Curve
	Interest rate curve and all supporting classes (interpolators, estimators, modifiers).
	Volatility
	Implied volatility surface and all supporting classes.

Classes
class	julian::ForwardCurve
	The class implements the forward curve. More...

Functions
ir::InterpolatedCurve	julian::calculateYieldCurve (ir::InterpolatedCurve discounting_curve, ForwardCurve forward_curve, double asset_price)
	Function implies interest rate curve basing on discounting curve, forward curve and current asset price. More...

Detailed Description

This group contains classes helping to handle (load, transform, interpolate) market data. Particularly in this group we have:

• interest rate curve,
• volatility surfaces,
• forward curve.

Function Documentation

ir::InterpolatedCurve julian::calculateYieldCurve	(	ir::InterpolatedCurve	discounting_curve,
		ForwardCurve	forward_curve,
		double	asset_price
	)

Function implies interest rate curve basing on discounting curve, forward curve and current asset price.

For each grid date of discounting_curve discount factor is calculated using to formula:

Function can be useful to calculate dividend curve basing on discount curve and forward prices of asset.

Parameters

discounting_curve	discounting curve used to calculate DF
forward_curve	forward curve used to calculate Fwd
asset_price	actual asset price

Returns

interest rate curves with settings copied from discounting_curve