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historicalforwardratesanalysis.hpp File Reference


Detailed Description

Statistical analysis of historical forward rates.

Definition in file historicalforwardratesanalysis.hpp.

#include <ql/math/matrix.hpp>
#include <ql/time/calendar.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/math/statistics/sequencestatistics.hpp>
#include <ql/time/date.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::HistoricalForwardRatesAnalysis
class  QuantLib::HistoricalForwardRatesAnalysisImpl< Traits, Interpolator >
 Historical correlation class More...

Functions

template<class Traits, class Interpolator>
void QuantLib::historicalForwardRatesAnalysis (SequenceStatistics &statistics, std::vector< Date > &skippedDates, std::vector< std::string > &skippedDatesErrorMessage, std::vector< Date > &failedDates, std::vector< std::string > &failedDatesErrorMessage, std::vector< Period > &fixingPeriods, const Date &startDate, const Date &endDate, const Period &step, const boost::shared_ptr< InterestRateIndex > &fwdIndex, const Period &initialGap, const Period &horizon, const std::vector< boost::shared_ptr< IborIndex > > &iborIndexes, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const DayCounter &yieldCurveDayCounter, Real yieldCurveAccuracy=1.0e-12, const Interpolator &i=Interpolator())


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