public class TreasuryCurveAPI
extends java.lang.Object
TreasuryCurveAPI contains a demo of construction and usage of the treasury discount curve from government
bond inputs. It shows the following:
- Create on-the-run TSY bond set.
- Calibrate a discount curve off of the on-the-run yields and calculate the implied zeroes and DF's.
- Price an off-the-run TSY.