Package | Description |
---|---|
org.drip.analytics.rates | |
org.drip.param.creator | |
org.drip.product.params | |
org.drip.product.rates | |
org.drip.state.curve | |
org.drip.state.estimator |
Modifier and Type | Method and Description |
---|---|
FloatingRateIndex |
ForwardRateEstimator.index()
Retrieve the Forward Rate Index
|
FloatingRateIndex |
ForwardCurve.index()
Retrieve the Forward Rate Index
|
FloatingRateIndex |
DiscountForwardEstimator.index() |
Modifier and Type | Method and Description |
---|---|
abstract ForwardRateEstimator |
DiscountCurve.forwardRateEstimator(double dblDate,
FloatingRateIndex fri)
Retrieve the Forward Curve that might be implied by the Latent State of this Discount Curve Instance
corresponding to the specified Floating Rate Index
|
Constructor and Description |
---|
DiscountForwardEstimator(DiscountFactorEstimator dfe,
FloatingRateIndex fri)
DiscountForwardEstimator constructor
|
Modifier and Type | Method and Description |
---|---|
static ForwardCurve |
RatesScenarioCurveBuilder.ShapePreservingForwardCurve(LinearCurveCalibrator lcc,
StretchRepresentationSpec[] aSRS,
FloatingRateIndex fri,
ValuationParams valParam,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam,
double dblEpochResponse)
Build the Shape Preserving Forward Curve using the Custom Parameters
|
static ForwardCurve |
RatesScenarioCurveBuilder.ShapePreservingForwardCurve(java.lang.String strName,
FloatingRateIndex fri,
ValuationParams valParams,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam,
java.lang.String strBasisType,
FunctionSetBuilderParams fsbp,
CalibratableComponent[] aCalibComp,
double[] adblQuote,
double dblEpochResponse)
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
|
Modifier and Type | Field and Description |
---|---|
FloatingRateIndex |
FloaterSetting._fri
Floating Rate Index
|
Modifier and Type | Method and Description |
---|---|
static FloatingRateIndex |
FloatingRateIndex.Create(java.lang.String strFullyQualifiedName)
Construct a FloatingRateIndex from the corresponding Fully Qualified Name
|
static FloatingRateIndex |
FloatingRateIndex.Create(java.lang.String strCurrency,
java.lang.String strIndex,
java.lang.String strTenor)
Create from the Currency, the Index, and the Tenor
|
Constructor and Description |
---|
FloatingStream(double dblEffective,
double dblMaturity,
double dblSpread,
FloatingRateIndex fri,
int iFreq,
java.lang.String strCouponDC,
java.lang.String strAccrualDC,
boolean bFullStub,
DateAdjustParams dapEffective,
DateAdjustParams dapMaturity,
DateAdjustParams dapPeriodStart,
DateAdjustParams dapPeriodEnd,
DateAdjustParams dapAccrualStart,
DateAdjustParams dapAccrualEnd,
DateAdjustParams dapPay,
DateAdjustParams dapReset,
FactorSchedule notlSchedule,
double dblNotional,
java.lang.String strIR,
java.lang.String strCalendar)
FloatingStream constructor
|
Modifier and Type | Method and Description |
---|---|
ForwardRateEstimator |
ZeroRateDiscountCurve.forwardRateEstimator(double dblDate,
FloatingRateIndex fri) |
ForwardRateEstimator |
NonlinearDiscountFactorDiscountCurve.forwardRateEstimator(double dblDate,
FloatingRateIndex fri) |
ForwardRateEstimator |
FlatForwardDiscountCurve.forwardRateEstimator(double dblDate,
FloatingRateIndex fri) |
ForwardRateEstimator |
DiscountFactorDiscountCurve.forwardRateEstimator(double dblDate,
FloatingRateIndex fri) |
ForwardRateEstimator |
DerivedZeroRate.forwardRateEstimator(double dblDate,
FloatingRateIndex fri) |
Constructor and Description |
---|
BasisSplineForwardRate(FloatingRateIndex fri,
Span span)
BasisSplineForwardRate constructor
|
Modifier and Type | Method and Description |
---|---|
boolean |
CurveStretch.setSegmentBuilt(int iSegment,
FloatingRateIndex fri)
Mark the Range of the "built" Segments
|