FittedBondCurve1
Example of using quantlib to fit discount curves
Usage
FittedBondCurve
Overview
FittedBondCurve is an example of using QuantLib.
For a given set of coupons and terms to maturity, it computes the value of a bond by fitting the yields to a curve using different methods.
The fitting methods are exponential splines, simple polynomials, Nelson-Siegel, and cubic B-splines. It then shifts the evaluation date into the future to compute implied forward par rates. It also computes yields after small price shifts.
Releases
9 releases since Debian 5.0 (Lenny); the text changed 3 times.