Curves

Tom Hyer

Chapter 12 in Derivatives Algorithms:Volume 1: Bones, 2015, pp 257-265 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The word curve is a term of art, referring to a deterministic function of time used in pricing some set of trades. The prototypical example is the yield curve, originally referring to bond yields as a function of maturity but now used for forward Libor rates.One subtle difference between these usages is worth noting. The bond yields are essentially "raw" market data, depending only on the quoted price in an unambiguous way. Forward rates fitted to some set of quoted instruments, however, are not directly quoted and not fully defined (also see Sec. 7.4). As a rule, we will focus on this latter type of curve.

Keywords: Derivatives; Quantitative; Numerical; Code Generation; C++; C++11; Algorithms; Coding; Protocols; Interfaces; Persistence; Indices; Underdetermined; Multiple Dispatch; Extensibility (search for similar items in EconPapers)
Date: 2015
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