Overview

functions to construct and use YieldTermStructure objects.

Function List

qlDiscountCurve ()
qlFlatForward ()
qlForwardCurve ()
qlForwardSpreadedTermStructure ()
qlImpliedTermStructure ()
qlInterpolatedYieldCurve ()
qlInterpolatedYieldCurveData ()
qlInterpolatedYieldCurveDates ()
qlInterpolatedYieldCurveJumpDates ()
qlInterpolatedYieldCurveJumpTimes ()
qlInterpolatedYieldCurveTimes ()
qlRelinkableHandleYieldTermStructure ()
qlTermStructureCalendar ()
qlTermStructureDayCounter ()
qlTermStructureMaxDate ()
qlTermStructureReferenceDate ()
qlTermStructureSettlementDays ()
qlTermStructureTimeFromReference ()
qlYieldTSDiscount ()
qlYieldTSForwardRate ()
qlYieldTSForwardRate2 ()
qlYieldTSZeroRate ()
qlZeroCurve ()

Function Documentation

qlDiscountCurve

string returnValue
 
qlDiscountCurve(
        string ObjectId
        vector<long> CurveDates
        vector<double> CurveDiscounts
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class DiscountCurve and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
CurveDates	dates of the curve.
CurveDiscounts	discount factors for the above dates.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFlatForward

string returnValue
 
qlFlatForward(
        string ObjectId
        long NDays
        string Calendar
        string Rate
        string DayCounter
        string Compounding
        string Frequency
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FlatForward 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. Default value = NullCalendar.
Rate	the curve level.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Continuous.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlForwardCurve

string returnValue
 
qlForwardCurve(
        string ObjectId
        vector<long> CurveDates
        vector<double> ForwardYields
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class ForwardCurve and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
CurveDates	dates of the curve.
ForwardYields	forwards rates for the above dates.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlForwardSpreadedTermStructure

string returnValue
 
qlForwardSpreadedTermStructure(
        string ObjectId
        string BaseYieldCurve
        string Spread
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class ForwardSpreadedTermStructure and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
BaseYieldCurve	Base YieldTermStructure object ID.
Spread	spread.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlImpliedTermStructure

string returnValue
 
qlImpliedTermStructure(
        string ObjectId
        string BaseYieldCurve
        long ReferenceDate
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class ImpliedTermStructure and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
BaseYieldCurve	Base YieldTermStructure object ID.
ReferenceDate	the reference date the base YieldTermStructure should be shifted to.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlInterpolatedYieldCurve

string returnValue
 
qlInterpolatedYieldCurve(
        string ObjectId
        vector<long> Dates
        vector<double> Data
        string Calendar
        string DayCounter
        vector<string> Jumps
        vector<long> JumpDates
        string TraitsID
        string InterpolatorID
        string MixedInterpolationBehavior
        long NRateHelper
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class InterpolatedYieldCurve and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Dates	vector of dates, the first one being the one at which discount factor = 1.0
Data	data vector. Each element should be of the type selected by TraitsID
Calendar	holiday calendar (e.g. TARGET) to advance from global EvaluationDate.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Jumps	Jump quotes vector.
JumpDates	Jump dates vector.
TraitsID	Discount, ZeroYield, or ForwardRate. Default value = Discount.
InterpolatorID	BackwardFlat, ForwardFlat, Linear, LogLinear, LogParabolic, KrugerLogCubic, etc. Default value = MonotonicLogCubicNaturalSpline.
MixedInterpolationBehavior	ShareRanges to join two different interpolations over all the pillars, SplitRanges otherwise. Default value = ShareRanges.
NRateHelper	Number of pillar from which change the interpolation ID. Default value = 1.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlInterpolatedYieldCurveData

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

Description:

Retrieve Data for the given InterpolatedYieldCurve.

Supported Platforms:

Excel

Parameters

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

qlInterpolatedYieldCurveDates

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

Description:

Retrieve list of Dates for the given InterpolatedYieldCurve.

Supported Platforms:

Excel

Parameters

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

qlInterpolatedYieldCurveJumpDates

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

Description:

Retrieve list of jump dates for the given InterpolatedYieldCurve.

Supported Platforms:

Excel

Parameters

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

qlInterpolatedYieldCurveJumpTimes

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

Description:

Retrieve list of jump times for the given InterpolatedYieldCurve.

Supported Platforms:

Excel

Parameters

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

qlInterpolatedYieldCurveTimes

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

Description:

Retrieve list of Times for the given InterpolatedYieldCurve.

Supported Platforms:

Excel

Parameters

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

qlRelinkableHandleYieldTermStructure

string returnValue
 
qlRelinkableHandleYieldTermStructure(
        string ObjectId
        string CurrentLink
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class RelinkableHandleImpl<QuantLibAddin::YieldTermStructure, QuantLib::YieldTermStructure> and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
CurrentLink	YieldTermStructure object ID. If omitted, nothing is linked by the RelinkableHandle. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlTermStructureCalendar

string returnValue
 
qlTermStructureCalendar(
        string ObjectId
        any Trigger)

Description:

Returns the calendar used by the given TermStructure object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::TermStructure object
Trigger	dependency tracking trigger

qlTermStructureDayCounter

string returnValue
 
qlTermStructureDayCounter(
        string ObjectId
        any Trigger)

Description:

Returns the DayCounter used by the given TermStructure object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::TermStructure object
Trigger	dependency tracking trigger

qlTermStructureMaxDate

long returnValue
 
qlTermStructureMaxDate(
        string ObjectId
        any Trigger)

Description:

Returns the max date for the given TermStructure object.

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of existing QuantLib::TermStructure object
Trigger	dependency tracking trigger

qlTermStructureReferenceDate

long returnValue
 
qlTermStructureReferenceDate(
        string ObjectId
        any Trigger)

Description:

Returns the reference date for the given TermStructure object.

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of existing QuantLib::TermStructure object
Trigger	dependency tracking trigger

qlTermStructureSettlementDays

long returnValue
 
qlTermStructureSettlementDays(
        string ObjectId
        any Trigger)

Description:

Returns the number of settlement days for the given TermStructure object.

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of existing QuantLib::TermStructure object
Trigger	dependency tracking trigger

qlTermStructureTimeFromReference

vector<double> returnValue
 
qlTermStructureTimeFromReference(
        string ObjectId
        vector<long> Date
        any Trigger)

Description:

Returns the time from the reference date for the given TermStructure object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::TermStructure object
Date	vector of dates.
Trigger	dependency tracking trigger

qlYieldTSDiscount

vector<double> returnValue
 
qlYieldTSDiscount(
        string ObjectId
        vector<long> DfDates
        bool AllowExtrapolation
        any Trigger)

Description:

Returns a discount factor from the given YieldTermStructure object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::YieldTermStructure object
DfDates	vector of dates.
AllowExtrapolation	TRUE allows extrapolation. Default value = false.
Trigger	dependency tracking trigger

qlYieldTSForwardRate

vector<string> returnValue
 
qlYieldTSForwardRate(
        string ObjectId
        long D1
        vector<long> D2
        string ResultDayCounter
        string Compounding
        string Frequency
        bool AllowExtrapolation
        any Trigger)

Description:

Returns the forward interest rate from the given YieldTermStructure object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::YieldTermStructure object
D1	first date.
D2	second date.
ResultDayCounter	result DayCounter.
Compounding	Interest rate compounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Simple.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
AllowExtrapolation	TRUE allows extrapolation. Default value = false.
Trigger	dependency tracking trigger

qlYieldTSForwardRate2

vector<string> returnValue
 
qlYieldTSForwardRate2(
        string ObjectId
        vector<long> Date
        string Period
        string ResultDayCounter
        string Compounding
        string Frequency
        bool AllowExtrapolation
        any Trigger)

Description:

Returns the forward interest rate from the given YieldTermStructure object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::YieldTermStructure object
Date	first date.
Period	Period (e.g. '7D', '3M', '1Y', etc).
ResultDayCounter	result DayCounter.
Compounding	Interest rate compounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Simple.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
AllowExtrapolation	TRUE allows extrapolation. Default value = false.
Trigger	dependency tracking trigger

qlYieldTSZeroRate

vector<string> returnValue
 
qlYieldTSZeroRate(
        string ObjectId
        vector<long> Dates
        string ResultDayCounter
        string Compounding
        string Frequency
        bool AllowExtrapolation
        any Trigger)

Description:

Returns the zero interest rate from the given YieldTermStructure object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::YieldTermStructure object
Dates	date.
ResultDayCounter	resultDayCounter.
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Continuous.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
AllowExtrapolation	TRUE allows extrapolation. Default value = false.
Trigger	dependency tracking trigger

qlZeroCurve

string returnValue
 
qlZeroCurve(
        string ObjectId
        vector<long> CurveDates
        vector<double> CurveYields
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class ZeroCurve and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
CurveDates	dates of the curve.
CurveYields	zero rates for the above dates.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag