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API ReferenceRates API Reference

Rates API Reference

Complete API reference for interest rate analytics: curve construction, instrument pricing, and multi-curve calibration.

Pages

  • Instruments -- IRS, FRA, ZCS, SBS, OIS, Deposit, IRFuture, CapFloor
  • Curves -- DiscountCurve, LineCurve, ForwardCurve, CompositeCurve, SpreadCurve, TurnOfYearCurve, IRImpliedCurve, FXImpliedCurve, CreditImpliedCurve, FittedBondCurve, NelsonSiegel, NelsonSiegelSvensson, SmithWilson
  • Solver -- Multi-curve calibration, bootstrap, Levenberg-Marquardt solver

See Also

  • Rates Guides -- Curve building, pricing, risk, and cap/floor guides

API Reference

Complete parameter signatures, types, and working examples for every vade class and function.

Rates Instruments

Interest rate derivatives for curve calibration, pricing, and risk.

On this page

PagesSee Also