A YieldTermStructure or one of its leaves; see the hierarchy under GenTermStructure.

A TermStructure; see the hierarchy under GenTermStructure.

A curve held behind a relinkable handle. It is a YieldTermStructure -- pass it anywhere a curve is expected and it upcasts like any other hierarchy member, sharing its Link so that a later linkTo reaches everything already built on it. See the hierarchy under GenTermStructure.

A YieldTermStructure; see the hierarchy under GenTermStructure.

RateHelper
  BondHelper
  SwapRateHelper
  OISRateHelper
  FuturesRateHelper
  OvernightIndexFutureRateHelper

The root of the hierarchy shown under GenRateHelper.

A RateHelper; see the hierarchy under GenRateHelper.

A RateHelper; see the hierarchy under GenRateHelper.

A RateHelper; see the hierarchy under GenRateHelper.

A RateHelper; see the hierarchy under GenRateHelper.

A RateHelper; see the hierarchy under GenRateHelper.

A term-structure reference point. ReferenceDate stays fixed for the object's lifetime; SettlementDays follows the global evaluation date using the supplied calendar.

A date or year-fraction coordinate measured from a term structure's reference date.

A date or year-fraction coordinate where a date needs its day-counting rule.

How a FRA's period and fixing conventions are given. The FromIndex variants take the FRA's length and its calendar/convention/day-count from the ibor index; the others state them explicitly.

How an IborIndex futures contract's underlying deposit is given. FuturesFromIndex takes the deposit's length and its calendar/convention/day-count from the ibor index; the others state them explicitly.

Every constructor parameter of QuantLib's curve-generic IterativeBootstrap. The first three fields are Maybe because Nothing preserves QuantLib's Null<Real>() sentinel, which selects a suitable value for each curve pillar.

Selects the bootstrapper used by piecewiseYieldCurve and carries exactly the parameters valid for that choice. Iterative uses the selected trait, interpolation, and full iterative settings. The Global* constructors solve all instruments together; their list field contains instrument weights, with an empty list selecting equal weights. GlobalSimpleZeroLinearFull additionally takes helper instruments, their interpolation dates (exactly two fewer than the helpers), and accuracy. Local uses ConvexMonotone interpolation and restricts the trait to LocalBootstrapTrait, because Discount produces invalid results with QuantLib's local bootstrapper.

Bootstrap traits that are numerically usable with LocalBootstrap and ConvexMonotone. Discount is intentionally unrepresentable.

Bootstrapper for piecewiseSpreadYieldCurve, whose nodes are always discount-factor spreads. LogLinear interpolation gives piecewise-constant forward spreads, upstream's canonical choice.

A curve behind a relinkable handle. The result is a YieldTermStructure: pass it to any curve-taking function and everything built on it keeps tracking whatever the handle currently points at, so a later linkTo reprices already-constructed instruments without rebuilding them. Nothing gives an empty handle -- meaningful rather than an error, since that is what makes a rate helper discount off the curve being bootstrapped -- but reading a curve value through one throws until it is linked.

Construct a fitted bond discount curve with either a fixed or moving reference point.

Flat interest-rate curve with either a fixed or evaluation-date-relative reference point.

A yield curve offset from baseCurve by a spread added to its instantaneous forward rate, remaining linked to changes in either.

A yield curve offset from baseCurve by a spread added to its zero-yield rate, remaining linked to changes in either.

A yield curve whose zero rate is f rate1 rate2, where rate1 and rate2 are the input curves' zero rates expressed with the given compounding and frequency. The result is live in both inputs.

The resulting curve is valid only inside the continuation, which must span its whole use. QuantLib stores f and calls it whenever the curve is queried, including from any object that stores the curve. Leaving the continuation frees its function pointer; a later query crashes the process. f must be total: an exception escaping it crosses C++ unsafely.

A yield curve identical to baseCurve but reporting a different reference date; observes and stays linked to baseCurve.

A yield curve with a vector of zero-yield spreads added to baseCurve, interpolating between the given dates with the given Interpolation. Remains linked to changes in baseCurve or the spread quotes.

A yield curve adding interpolated instantaneous-forward spreads to baseCurve, flat outside the spread dates. Linked to the base curve and quotes; its max date is the earlier of the base curve's and the last spread date. LogLinear and LogCubic throw: the spread is integrated.

Quanto term structure, modelling the quanto effect in option pricing. Stays linked to all four inputs.

Blends originalCurve with an ultimate forward rate beyond the last liquid point, per the "UFR" methodology used for extrapolating long-dated (e.g. Solvency II) curves.

Rate helper for bootstrapping over deposit rates, taking its conventions from an ibor index.

Rate helper for bootstrapping over deposit rates.

Fixed-coupon bond helper for curve bootstrap: builds the underlying bond internally from a schedule and coupons (unlike bondHelper, which takes an existing Bond).

Rate helper for bootstrapping over swap rates, built from explicit tenor/calendar/ frequency/day-count/index conventions rather than a GenSwapIndex bundling them (as swapRateHelper does).

Rate helper for bootstrapping over FRA rates.

Warning Setting a pricing engine to the passed bond from external code will cause the bootstrap to fail or to give wrong results. It is advised to discard the bond after creating the helper, so that the helper has sole ownership of it. BondPriceType is marshalled as an Int to avoid a c2hs cross-module enum-import cycle.

Upstream's own defaults: index fixing days, no lockout, no observation shift.

Rate helper for bootstrapping over swap rates, built from a GenSwapIndex bundling the swap's conventions.

Rate helper for bootstrapping over BMA swap rates.

Rate helper for bootstrapping from multiple-resets swap quotes (a floating leg that resets several times per fixed-leg coupon period).

Rate helper for bootstrapping over IborIndex futures prices.

Rate helper for bootstrapping over overnight-index compounding futures.

Rate helper for bootstrapping over CME SOFR futures. Compounds overnight SOFR from the third Wednesday of referenceMonth/referenceYear (inclusive) to the third Wednesday of the following month or quarter (exclusive), per referenceFreq.

Bootstraps a term structure with either a fixed or evaluation-date-relative reference point. Bootstrap selects iterative, global, or local construction; the final flag controls extrapolation past the curve's maximum date.

Bootstraps multiplicative discount-factor spreads over baseCurve so that each instrument reprices on the combined curve. Reference date, calendar and day counter come from the linked base curve; past the last node the forward spread stays flat.

Yield curve interpolating zero-yield rates directly between the given dates. Always uses upstream's own default compounding (Continuous, Annual); use interpolatedSimpleZeroCurve for simple compounding.

Yield curve interpolating simply-compounded zero rates directly between the given dates.

Yield curve interpolating instantaneous forward rates directly between the given dates.

Yield curve interpolating discount factors directly between the given dates.

Discount factors interpolated as a multiplicative spread applied on top of baseCurve. Upstream requires the first discount factor to be exactly 1.0, flagging its date as the curve's own reference date; a mismatched leading value throws a Error.

Builds a set of curves that form a genuine dependency cycle -- the scenario RelinkableYieldTermStructure exists for. Protocol (see the class's own upstream doc comment): build each member curve's rate helpers off an empty relinkableYieldTermStructure (the internal handle), construct the curves themselves (e.g. via piecewiseYieldCurve), then hand each pair of (internal handle, curve) to addBootstrappedCurve -- which returns an external handle to reference the curve by from then on, and links the internal handle to it (with ownership/observability stripped to avoid shared_ptr and notification cycles) so the curves' own cross-references resolve.

Bootstrapping helper for an ibor-ibor basis swap: pays baseIndex + basis, receives otherIndex. Pass bootstrapBaseCurve = True (with otherIndex carrying a forecast curve) to bootstrap the forecast curve for baseIndex, or False (with baseIndex carrying a forecast curve) to bootstrap the forecast curve for otherIndex. An exogenous discount curve is always required.

Bootstrapping helper for an overnight-ibor basis swap: pays baseIndex + basis, receives otherIndex. Bootstraps the forecast curve for otherIndex; baseIndex needs an existing forecast curve. If Nothing, the overnight index's own curve is used as the discount curve.

Bootstrapping helper for a constant-notional cross-currency basis swap: the collateral is paid in the quote currency, the basis is given on the base-currency leg. Nothing for either frequency parameter derives the corresponding leg's schedule from its index tenor (or, for the quote-currency leg, falls back to the base-currency frequency if that is given).

Bootstrapping helper for a marked-to-market cross-currency basis swap: like constNotionalCrossCurrencyBasisSwapRateHelper, but the notional on the MtM leg resets at each payment to reflect the FX rate.

Bootstrapping helper for a fixed-vs-floating cross-currency par swap: quoted at par, so the FX spot cancels out and isn't required. collateralOnFixedLeg selects which leg is discounted with collateralCurve -- the other leg's discount curve is the one being bootstrapped.

Bootstrapping helper from FX swap points, tenor-relative. collateralCurve discounts the collateral currency; the curve being bootstrapped is for the other currency. fwdPoint and spotFx must be quoted in the same units (points already scaled to match the spot).

Bootstrapping helper from FX swap points, explicit start/end date.

Point a relinkable handle at a different curve. Everything already built on the handle reprices against the new curve, with no object rebuilt.

This is the one mutator in the module. The API rules here otherwise forbid new setters and prefer constructing a fresh object, but relinking is the capability being bound: a forecast curve is cloned into every floating coupon of every instrument, so without it a curve scenario means rebuilding the whole portfolio.

Add a curve built with a bootstrapper (e.g. piecewiseYieldCurve) to the cycle. See multiCurve for the protocol.

Add a curve that isn't built with a bootstrapper (e.g. a spreaded curve) to the cycle. See multiCurve for the protocol.

Bootstrap and calibration helpers that build and hold the instrument whose market quote they match. The class lives here, in the term-structure root module, because its instances span QuantLib.TermStructure.Yield, ".Inflation" and QuantLib.Model, and an instance must share a module with its class to stay non-orphan.

Every fixing this rate helper reads from the store, as (index name, fixing date) pairs. A bootstrapped curve cannot be asked what it was built from -- PiecewiseYieldCurve is a template with no instruments accessor, and an Observer does not expose the observables it registered with -- so a curve's fixing dependencies are the union of its helpers', and this answers for one helper. It walks the helper's underlying instrument the way fixingDependencies walks a leg, and names each index by name, the key QuantLib's process-global fixing store uses.

A swap, OIS, basis-swap, BMA, multiple-resets or bond helper answers from its underlying. A deposit, FRA or futures helper reads no stored fixing and correctly reports Just []. A cross-currency helper keeps no legs for QuantLib to hand back, so it reports Nothing: "cannot see it", which is not the same as "needs nothing".

The dates follow the evaluation date, because a relative-date helper re-initialises its schedule when that date moves: call this under the date whose fixings are being asked about. Duplicates are not removed, the same as for a leg.

The forward rate between two dates, in the given day-counting rule. Warning Dates are not adjusted for holidays.

The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed times t1 and t2.

The zero rate at a date or year-fraction coordinate.

Returns a discount factor at a date or year-fraction coordinate.

The quote value implied by the current bootstrapped state of the curve the helper was last used against, i.e. what the helper's own market quote would need to be to make it reprice exactly.

The futures-vs-forward convexity adjustment this helper was built with (0 if none was given).

The futures-vs-forward convexity adjustment this helper was built with (0 if none was given).

final value of cost function after optimization

final number of iterations used in the optimization problem

number of unknown parameters found by the fit

why the optimization stopped

the fitted parameters found by the optimization

the discount factor at time t implied by a given parameter vector, without rebuilding the curve