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Term Structure Construction Using QuantLib

In: Capital Market Instruments

Author

Listed:
  • Moorad Choudhry

    (Europe Arad Bank plc)

  • Didier Joannas

    (Thomson Reuters-Risk in North Asia)

  • Gino Landuyt

    (Europe Arad Bank plc)

  • Richard Pereira
  • Rod Pienaar

    (UBS AG prime services)

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.

Suggested Citation

  • Moorad Choudhry & Didier Joannas & Gino Landuyt & Richard Pereira & Rod Pienaar, 2010. "Term Structure Construction Using QuantLib," Palgrave Macmillan Books, in: Capital Market Instruments, edition 0, chapter 11, pages 224-233, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-27938-4_11
    DOI: 10.1057/9780230279384_11
    as

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