Expand description
Yield / discount curve infrastructure shared by all asset classes.
Design invariant: discount factors are state, rates are views.
A YieldCurve stores only pillar times and raw discount factors;
zero and forward rates are derived on demand. The Compounding and
DayCountConvention fields are conventions — they control how rates
are converted in (at construction) and out (rate queries), never what
df(t) returns.
Structs§
- Curve
Pillar - One pillar of the curve, with the zero rate derived for inspection.
- Yield
Curve - A canonical discount curve anchored at
reference_date.
Enums§
- Compounding
- Convention used to convert between rates and discount factors.
- Curve
Error - Errors from curve construction or queries.
- Curve
Input - The accepted input forms for a curve. This is what deserializes from
JSON; every form is canonicalized to discount factors at construction
(
YieldCurve::from_input), so pricing code sees a single representation. - Interpolation
Method - Interpolation scheme between curve pillars.
- Tenor
- A curve pillar location: either an absolute date or a year fraction
relative to the curve’s reference date (e.g.
"2027-07-16"or0.25).