← top index

CurveBuilding

Curve bootstrap consistency checks; several curve building features.

Official readme: readme.md

Files

• comparison_config.json

bootstrapconsistency/input

• eur_xois_ore.xml
• eur_xois_portfolio.xml
• ois_ore.xml
• ois_portfolio.xml
• usd_xois_ore.xml
• usd_xois_portfolio.xml

helpers

• tradetemplate.xml

input

• conventions_bondyieldshifted.xml
• conventions_centralbank.xml
• conventions_prime.xml
• conventions_sabr.xml
• curveconfig_bondyieldshifted.xml
• curveconfig_centralbank_0.xml
• curveconfig_centralbank_1.xml
• curveconfig_centralbank_2.xml
• curveconfig_centralbank_3.xml
• curveconfig_centralbank_4.xml
• curveconfig_discountratio.xml
• curveconfig_fixedfloatccs.xml
• curveconfig_prime.xml
• curveconfig_sabr.xml
• fixings_20160205.txt
• fixings_bondyieldshifted.csv
• fixings_centralbank.csv
• fixings_sabr.csv
• market_20160205.txt
• market_bondyieldshifted.csv
• market_centralbank.csv
• market_sabr.csv
• ore_bondyieldshifted.xml
• ore_centralbank_0.xml
• ore_centralbank_1.xml
• ore_centralbank_2.xml
• ore_centralbank_3.xml
• ore_centralbank_4.xml
• ore_consistency_ois.xml
• ore_consistency_xoiseur.xml
• ore_consistency_xoisusd.xml
• ore_discountratio_eur.xml
• ore_discountratio_usd.xml
• ore_fixedfloatccs.xml
• ore_prime.xml
• ore_sabr.xml
• portfolio_bondyieldshifted.xml
• portfolio_centralbank.xml
• portfolio_consistency_ois.xml
• portfolio_consistency_xoiseur.xml
• portfolio_consistency_xoisusd.xml
• portfolio_discountratio.xml
• portfolio_fixedfloatccs.xml
• portfolio_prime.xml
• portfolio_sabr.xml
• pricingengine_sabr.xml — engines for 5 product types: CapFlooredAverageONIndexedCouponLeg, CapFlooredIborLeg, CapFlooredOvernightIndexedCouponLeg, EuropeanSwaption, Swap
• referencedata.xml
• todaysmarket_bondyieldshifted.xml
• todaysmarket_centralbank.xml
• todaysmarket_discountratio_eur.xml
• todaysmarket_discountratio_usd.xml
• todaysmarket_fixedfloatccs.xml
• todaysmarket_prime.xml
• todaysmarket_sabr.xml