public class DiscountCurveBuilder
extends java.lang.Object
Modifier and Type | Field and Description |
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static java.lang.String |
BOOTSTRAP_MODE_CONSTANT_FORWARD
Constant Forward Bootstrap mode
|
static java.lang.String |
BOOTSTRAP_MODE_HYPERBOLIC_TENSION_FORWARD
Hyperbolic Tension Spline Forward Bootstrap mode
|
static java.lang.String |
BOOTSTRAP_MODE_POLYNOMIAL_FORWARD
Cubic Forward Bootstrap mode
|
static java.lang.String |
BOOTSTRAP_MODE_POLYNOMIAL_SPLINE_DF
Polynomial Spline DF Bootstrap mode
|
Constructor and Description |
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DiscountCurveBuilder() |
Modifier and Type | Method and Description |
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static DiscountCurve |
BuildFromDF(JulianDate dtStart,
java.lang.String strCurrency,
double[] adblDate,
double[] adblDF,
java.lang.String strBootstrapMode)
Builds a Discount Curve from an array of discount factors
|
static DiscountCurve |
CreateDC(JulianDate dtStart,
java.lang.String strCurrency,
double[] adblDate,
double[] adblRate,
java.lang.String strBootstrapMode)
Creates a discount curve from an array of dates/rates
|
static DiscountCurve |
CreateFromFlatRate(JulianDate dtStart,
java.lang.String strCurrency,
double dblRate)
Creates a discount curve from the flat rate
|
static DiscountCurve |
FromByteArray(byte[] ab,
java.lang.String strBootstrapMode)
Create a discount curve instance from the byte array
|
public static final java.lang.String BOOTSTRAP_MODE_CONSTANT_FORWARD
public static final java.lang.String BOOTSTRAP_MODE_POLYNOMIAL_FORWARD
public static final java.lang.String BOOTSTRAP_MODE_HYPERBOLIC_TENSION_FORWARD
public static final java.lang.String BOOTSTRAP_MODE_POLYNOMIAL_SPLINE_DF
public static final DiscountCurve BuildFromDF(JulianDate dtStart, java.lang.String strCurrency, double[] adblDate, double[] adblDF, java.lang.String strBootstrapMode)
dtStart
- Start DatestrCurrency
- CurrencyadblDate
- Array of datesadblDF
- array of discount factorsstrBootstrapMode
- Mode of the bootstrapping to be done: "ConstantForward", "LinearForward",
"QuadraticForward", or "CubicForward". Defaults to "ConstantForward".public static final DiscountCurve CreateFromFlatRate(JulianDate dtStart, java.lang.String strCurrency, double dblRate)
dtStart
- Start DatestrCurrency
- CurrencydblRate
- Datepublic static final DiscountCurve CreateDC(JulianDate dtStart, java.lang.String strCurrency, double[] adblDate, double[] adblRate, java.lang.String strBootstrapMode)
dtStart
- Start DatestrCurrency
- CurrencyadblDate
- array of datesadblRate
- array of ratesstrBootstrapMode
- Mode of the bootstrapping to be done: "ConstantForward", "LinearForward",
"QuadraticForward", or "CubicForward". Defaults to "ConstantForward".public static final DiscountCurve FromByteArray(byte[] ab, java.lang.String strBootstrapMode)
ab
- Byte ArraystrBootstrapMode
- Mode of the bootstrapping to be done: "ConstantForward", "LinearForward",
"QuadraticForward", or "CubicForward". Defaults to "ConstantForward".