Package | Description |
---|---|
org.drip.analytics.rates | |
org.drip.state.creator | |
org.drip.state.curve | |
org.drip.state.estimator |
Modifier and Type | Method and Description |
---|---|
abstract ExplicitBootDiscountCurve |
ExplicitBootDiscountCurve.createBasisRateShiftedCurve(double[] adblDate,
double[] adblBasis)
Create a shifted curve from an array of basis shifts
|
Modifier and Type | Method and Description |
---|---|
static ExplicitBootDiscountCurve |
DiscountCurveBuilder.CreateDC(JulianDate dtStart,
java.lang.String strCurrency,
double[] adblDate,
double[] adblRate,
java.lang.String strBootstrapMode)
Create a discount curve from an array of dates/rates
|
static ExplicitBootDiscountCurve |
DiscountCurveBuilder.CreateFromFlatRate(JulianDate dtStart,
java.lang.String strCurrency,
double dblRate)
Create a discount curve from the flat rate
|
static ExplicitBootDiscountCurve |
DiscountCurveBuilder.FromByteArray(byte[] ab,
java.lang.String strBootstrapMode)
Create a discount curve instance from the byte array
|
Modifier and Type | Class and Description |
---|---|
class |
FlatForwardDiscountCurve
FlatForwardDiscountCurve manages the Discounting Latent State, using the Forward Rate as the State
Response Representation.
|
class |
NonlinearDiscountFactorDiscountCurve
NonlinearDiscountFactorDiscountCurve manages the Discounting Latent State, using the Forward Rate as the
State Response Representation.
|
Modifier and Type | Method and Description |
---|---|
ExplicitBootDiscountCurve |
NonlinearDiscountFactorDiscountCurve.customTweakManifestMeasure(ResponseValueTweakParams rvtp) |
ExplicitBootDiscountCurve |
FlatForwardDiscountCurve.customTweakManifestMeasure(ResponseValueTweakParams rvtp) |
Modifier and Type | Method and Description |
---|---|
boolean |
NonlinearCurveCalibrator.bootstrapInterestRateSequence(ExplicitBootDiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
Component[] aCalibComp,
ValuationParams valParams,
java.lang.String[] astrCalibMeasure,
double[] adblCalibValue,
double dblBump,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Boot-strap an interest rate curve from the set of calibration components
|
double |
NonlinearCurveCalibrator.calibrateIRNode(ExplicitBootDiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
Component comp,
int iInstr,
ValuationParams valParams,
java.lang.String strMeasure,
double dblCalibValue,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat,
double dblSearchStart)
Calibrate a single Interest Rate Node from the corresponding Component
|