Interest Rate Curve

Interest rate curve and all supporting classes (interpolators, estimators, modifiers). More...

Modules
	Interest Rate Curve Estimators
	Algorithms of interest rate curve estimation.
	Interest Rate Curve Interpolators
	Definitions of interpolators and extrapolators of interest rate curve.

Classes
class	julian::ir::BuildingBlock
	Building Block is a class that defines the interface for benchmark instruments used for estimating interest rate curve. More...
struct	julian::ir::CurveSettings
	Structure holding settings of ir::InterpolatedCurve. More...
class	julian::ir::FlatCurve
	The class defines the flat interest rate curve. More...
class	julian::ir::InterpolatedCurve
	The object models the interest rate curve. More...
class	julian::ir::Curve
	The class interfaces interest rate curves. More...
class	julian::ir::BuildCurve
	Class implements Builder design pattern that can be used to create interest rate curves. More...

Functions
DataFrame	julian::ir::getCurves (SmartPointer< Curve > c, Tenor step, Tenor end, std::string id)
	Function saves curve in DataFrame. 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...
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...

Detailed Description

Interest rate curve and all supporting classes (interpolators, estimators, modifiers).

Function Documentation

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.

Parameters

c	Interest rate curve
instruments	Benchmark instruments used to assess calibration
id	Id copied to all rows of data frame

Returns

Returns data frame

Examples:

algebraicBootstrapperExample.cpp, constrainedBootstrapperExample.cpp, rootFindingBootstrapperExample.cpp, and unconstrainedBootstrapperExample.cpp.

DataFrame julian::ir::getCurves	(	SmartPointer< Curve >	c,
		Tenor	step,
		Tenor	end,
		std::string	id
	)

Function saves curve in DataFrame.

Function calculates and saves curve using following representation:

• Discount Factors
• Zero coupon rates
• 1 day fwd rates approximating instantaneous rate
• forward rates with basis: 1W, 2W, 1M, 2M, 3M, 6M

Parameters

c	Interest rate curve
step	Time steps used to generate the dates grid
end	Tenor of last date
id	Id copied to all rows of data frame

Returns

Returns data frame

Examples:

algebraicBootstrapperExample.cpp, bootstrapperComparison.cpp, constrainedBootstrapperExample.cpp, rootFindingBootstrapperExample.cpp, and unconstrainedBootstrapperExample.cpp.

std::vector< Deposit > julian::ir::readDeposit	(	DataFrame	df,
		Date	today,
		Calendar	calendar
	)

Function construct deposit using data stored in DataFrame.

Data Frame must contain column:

• YF1: Year fraction for deposit rate
• RateConvention: Compounding convention of deposit rate
• Rate: Quoting
• Tenor: Tenor of deposit

Parameters

df	DataFrame
today	Start day of deposits
calendar	Calendar used to calculate dates of deposits

Returns

Vector of deposits

Examples:

algebraicBootstrapperExample.cpp, constrainedBootstrapperExample.cpp, rootFindingBootstrapperExample.cpp, and unconstrainedBootstrapperExample.cpp.

std::vector< FRA > julian::ir::readFRA	(	DataFrame	df,
		Date	today,
		Calendar	calendar
	)

Function construct FRA using data stored in DataFrame.

Data Frame must contain column:

• YF1: Year fraction for FRA rate
• RateConvention: Compounding convention of FRA rate
• Rate: Quoting
• FRAstart: starting tenor of FRA
• Tenor: Maturity of FRA

Parameters

df	DataFrame
today	Start day of FRAs
calendar	Calendar used to calculate dates of FRAs

Returns

Vector of FRAs

Examples:

algebraicBootstrapperExample.cpp, constrainedBootstrapperExample.cpp, rootFindingBootstrapperExample.cpp, and unconstrainedBootstrapperExample.cpp.

std::vector< IRS > julian::ir::readIRS	(	DataFrame	df,
		Date	today,
		Calendar	calendar
	)

Function construct IRS using data stored in DataFrame.

Data Frame must contain column:

• YF1: Year fraction for fixed leg rate
• YF2: Year fraction for floating leg rate
• RateConvention: Compounding convention of swap rates
• Rate: Quoting
• FRAstart: starting tenor of FRA
• FreqFix: Frequency of fixed leg
• FreqFlo: Frequency of floating leg
• Tenor: Maturity of FRA

Parameters

df	DataFrame
today	Start day of swaps
calendar	Calendar used to calculate dates of swaps

Returns

Vector of swaps

Examples:

algebraicBootstrapperExample.cpp, constrainedBootstrapperExample.cpp, rootFindingBootstrapperExample.cpp, and unconstrainedBootstrapperExample.cpp.