Term Structure Construction Using QuantLib

Moorad Choudhry, Didier Joannas, Gino Landuyt, Richard Pereira and Rod Pienaar
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Moorad Choudhry: Europe Arad Bank plc
Didier Joannas: Thomson Reuters-Risk in North Asia
Gino Landuyt: Europe Arad Bank plc
Rod Pienaar: UBS AG prime services

Chapter 11 in Capital Market Instruments, 2010, pp 224-233 from Palgrave Macmillan

Abstract: Abstract Term structures are fundamental to the understanding of interest-rate instruments and the pricing of those instruments. It is impossible to understand even simple interest-rate instruments without having at least a rudimentary grasp of what a term structure is and how one is constructed.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-27938-4_11

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DOI: 10.1057/9780230279384_11

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