Module bootstrap 

Building a curve from quoted market instruments.

YieldCurve::from_zero_rates takes a term structure that someone has already worked out. This module works it out: given instruments that trade, it finds the zero rates that reprice them. Two instrument types are supported and named, because an unnamed one would be a silent approximation:

• a directly quoted zero rate, and
• a par swap — a fixed rate paid frequency times a year that makes the swap worth nothing today.

Everything else — futures, FRAs, tenor basis, cross-currency — is not supported and is rejected rather than fitted with something that looks similar.

Enums

CalibrationInstrument

A quoted instrument a curve is calibrated to.