A class that defines the bare bones of a zero-coupon yield curve pricing structure.
ZeroCurve(discount_factors, reference_date, interpolation)a DiscountFactor object. These are converted to
continuously compounded zero coupon interest rates with an act/365 day
basis for internal storage purposes
a Date object
an Interpolation object
a ZeroCurve object
A term structure of interest rates (or yield curve) is a curve showing several yields or interest rates across different contract lengths (2 month, 2 year, 20 year, etc...) for a similar debt contract. The curve shows the relation between the (level of) interest rate (or cost of borrowing) and the time to maturity, known as the "term", of the debt for a given borrower in a given currency. For example, the U.S. dollar interest rates paid on U.S. Treasury securities for various maturities are closely watched by many traders, and are commonly plotted on a graph. More formal mathematical descriptions of this relation are often called the term structure of interest rates. When the effect of coupons on yields are stripped away, one has a zero-coupon yield curve.
The following interpolation schemes are supported by ZeroCurve:
ConstantInterpolation, LinearInterpolation, LogDFInterpolation and
CubicInterpolation. Points outside the calibration region use constant
extrapolation on the zero rate.
# NOT RUN {
build_zero_curve()
# }
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