SpotRateCurve-class: SpotRateCurve class

In fixedincome: Fixed Income Models, Calculations, Data Structures and Instruments

SpotRateCurve class

Description

The SpotRateCurve class abstracts a term structure of SpotRate objects. The SpotRateCurve has a reference date (refdate slot), that is a mark to market date. The SpotRates are indexed to future dates according to its reference date and these future dates represent the terms of the SpotRateCurve.

Details

Once the SpotRateCurve object is built, any SpotRate can be accessed using indexing operations: [] positional indexing, [[]] term indexing.

The SpotRateCurve inherits SpotRate class and has three slots: terms that is a Term object, refdate and interpolation that defines the method used to interpolate the curve.

fixedincome documentation built on July 9, 2023, 7:28 p.m.