Piecewise Yield Curves

Overview

functions to construct and use PiecewiseYieldCurve objects.

Function List

qlPiecewiseYieldCurve ()
qlPiecewiseYieldCurveData ()
qlPiecewiseYieldCurveDates ()
qlPiecewiseYieldCurveJumpDates ()
qlPiecewiseYieldCurveJumpTimes ()
qlPiecewiseYieldCurveMixedInterpolation ()
qlPiecewiseYieldCurveTimes ()

Function Documentation

qlPiecewiseYieldCurve

string returnValue
 
qlPiecewiseYieldCurve(
        string ObjectId
        long NDays
        string Calendar
        vector<string> RateHelpers
        string DayCounter
        vector<string> Jumps
        vector<long> JumpDates
        double Accuracy
        string TraitsID
        string InterpolatorID
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class PiecewiseYieldCurve and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
NDays	number of days to advance from EvaluationDate (usually zero or two): it fixes the date at which the discount factor = 1.0. Default value = 0.
Calendar	holiday calendar (e.g. TARGET) to advance from global EvaluationDate.
RateHelpers	vector of rate-helpers.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Jumps	Jump quotes vector.
JumpDates	Jump dates vector.
Accuracy	Bootstrapping accuracy. Default value = 1.0e-12.
TraitsID	Discount, ZeroYield, or ForwardRate. Default value = Discount.
InterpolatorID	BackwardFlat, ForwardFlat, Linear, LogLinear, CubicSpline, or LogCubic. Default value = LogLinear.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlPiecewiseYieldCurveData

vector<double> returnValue
 
qlPiecewiseYieldCurveData(
        string ObjectId
        any Trigger)

Description:

Retrieve Data for the given PiecewiseYieldCurve<Traits, Interpolator>.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::PiecewiseYieldCurve object
Trigger	dependency tracking trigger

qlPiecewiseYieldCurveDates

vector<long> returnValue
 
qlPiecewiseYieldCurveDates(
        string ObjectId
        any Trigger)

Description:

Retrieve list of Dates for the given PiecewiseYieldCurve<Traits, Interpolator>.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::PiecewiseYieldCurve object
Trigger	dependency tracking trigger

qlPiecewiseYieldCurveJumpDates

vector<long> returnValue
 
qlPiecewiseYieldCurveJumpDates(
        string ObjectId
        any Trigger)

Description:

Retrieve list of jump dates for the given PiecewiseYieldCurve<Traits, Interpolator>.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::PiecewiseYieldCurve object
Trigger	dependency tracking trigger

qlPiecewiseYieldCurveJumpTimes

vector<double> returnValue
 
qlPiecewiseYieldCurveJumpTimes(
        string ObjectId
        any Trigger)

Description:

Retrieve list of jump times for the given PiecewiseYieldCurve<Traits, Interpolator>.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::PiecewiseYieldCurve object
Trigger	dependency tracking trigger

qlPiecewiseYieldCurveMixedInterpolation

string returnValue
 
qlPiecewiseYieldCurveMixedInterpolation(
        string ObjectId
        long NDays
        string Calendar
        vector<string> RateHelpers
        string DayCounter
        vector<string> Jumps
        vector<long> JumpDates
        double Accuracy
        string TraitsID
        string InterpolatorID
        string MixedInterpolationBehavior
        long PillarsBeforeChange
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class PiecewiseYieldCurve and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
NDays	number of days to advance from EvaluationDate (usually zero or two): it fixes the date at which the discount factor = 1.0. Default value = 0.
Calendar	holiday calendar (e.g. TARGET) to advance from global EvaluationDate.
RateHelpers	vector of rate-helpers.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Jumps	Jump quotes vector.
JumpDates	Jump dates vector.
Accuracy	Bootstrapping accuracy. Default value = 1.0e-12.
TraitsID	Discount, ZeroYield, or ForwardRate. Default value = Discount.
InterpolatorID	BackwardFlat, ForwardFlat, Linear, LogLinear, CubicSpline, or LogCubic. Default value = LogLinear.
MixedInterpolationBehavior	ShareRanges to join two different interpolations over all the pillars, SplitRanges otherwise. Default value = ShareRanges.
PillarsBeforeChange	Number of pillars before the interpolation change.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlPiecewiseYieldCurveTimes

vector<double> returnValue
 
qlPiecewiseYieldCurveTimes(
        string ObjectId
        any Trigger)

Description:

Retrieve list of Times for the given PiecewiseYieldCurve<Traits, Interpolator>.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::PiecewiseYieldCurve object
Trigger	dependency tracking trigger