Module spread 

Spread curves: a discount factor that is a spread.

A spread is a curve in its own right — it is calibrated, quoted and risked as one — so it is a leaf here rather than a wrapper around a base. Applying it happens at resolution: a security spread composes onto the curve it is quoted over when the market resolves the key (see ResolvedCurve). A flat spread and a piecewise spread are the same idea and are filed the same way.

Structs

FlatSpread

A constant continuously-compounded spread: DF(t) = exp(−s·τ).

FlatSpreadView

FlatSpread lifted into one pricing mode.

PiecewiseSpread

A dated spread: DF(t) = exp(−s(τ)·τ), with s linear between pillars and flat beyond the last.

PiecewiseSpreadView

PiecewiseSpread lifted into one pricing mode.

RepoSpread

A repo spread: simple spreads over a base, at dated pillars, whose free parameters are the spreads a desk marks.

RepoSpreadView

RepoSpread lifted into one pricing mode.