termstru_transforms.cc

Financial Recipes

#include "cmath"

double term_structure_yield_from_discount_factor(double dfact, 
						 double t) { 
    return (-log(dfact)/t); 
}

double term_structure_discount_factor_from_yield(double r,
						 double t) { 
    return exp(-r*t); 
};

double term_structure_forward_rate_from_disc_facts(double d_t, 
						   double d_T,
						   double time) {
    return (log (d_t/d_T))/time;
};

double term_structure_forward_rate_from_yields(double r_t1,
					       double r_T, 
					       double t1,
					       double T) { 
    return (r_T*(T/(T-t1))-r_t1*(t1/T));
};