Repo1
Example of using quantlib
Usage
Repo
Overview
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.
Releases
10 releases since Debian 4.0 (Etch); the text changed 3 times.