Module curves

Create curves for calculating interest rates and discount factors.

Structs

CurveDF

Default struct for storing datetime indexed discount factors (DFs).

FlatBackwardInterpolator

Define flat backward interpolation of nodes.

FlatForwardInterpolator

Define flat forward interpolation of nodes.

LinearInterpolator

Define linear interpolation of nodes.

LinearZeroRateInterpolator

Define linear zero rate interpolation of nodes.

LogLinearInterpolator

Define log-linear interpolation of nodes.

NullInterpolator

Define a null interpolation object.

Enums

Modifier

A rule to adjust a non-business day to a business day.

Nodes

Datetime indexed values of a specific ADOrder.

Traits

CurveInterpolation

Assigns methods for returning values from datetime indexed Curves.