Repo - Example of using QuantLib
Repo is an example of using the QuantLib interest-rate model
framework.
Repo values a fixed-coupon bond repurchase (repo). The
repurchase agreement example is set up to use the repo rate to do all
discounting (including the underlying bond income). Forward delivery price
is also obtained using this repo rate. All this is done by supplying the
FixedCouponBondForward constructor with a flat repo YieldTermStructure.
The source code Repo.cpp, BermudanSwaption(1), Bonds(1),
CallableBonds(1), CDS(1), ConvertibleBonds(1),
DiscreteHedging(1), EquityOption(1), FittedBondCurve(1),
FRA(1), MarketModels(1), MulticurveBootstrapping(1),
Replication(1), the QuantLib documentation and website at
http://quantlib.org.
The QuantLib Group (see Contributors.txt).
This manual page was added by Dirk Eddelbuettel
<edd@debian.org>, the Debian GNU/Linux maintainer for
QuantLib.