Package | Description |
---|---|
org.drip.analytics.curve | |
org.drip.analytics.definition |
Modifier and Type | Class and Description |
---|---|
class |
CalibratedCreditCurve
This class contains the baseline hazard curve holder object.
|
class |
CalibratedDiscountCurve
This class contains the baseline discount curve holder object.
|
class |
DerivedFXBasisCurve
This class implements the FXBasis curve representing term structure of FX basis.
|
class |
DerivedFXForwardCurve
This class contains the term structure of dates/times and FX forwards (PIP/outright), and Spot FX info for
the given currency pair.
|
class |
DerivedZeroCurve
This class contains the baseline zero discount curve holder object.
|
Modifier and Type | Method and Description |
---|---|
Curve |
DerivedZeroCurve.createParallelShiftedCurve(double dblShift) |
Curve |
DerivedFXForwardCurve.createParallelShiftedCurve(double dblShift) |
Curve |
DerivedFXBasisCurve.createParallelShiftedCurve(double dblShift) |
Curve |
DerivedZeroCurve.createTweakedCurve(NodeTweakParams ntp) |
Curve |
DerivedFXForwardCurve.createTweakedCurve(NodeTweakParams ntp) |
Curve |
DerivedFXBasisCurve.createTweakedCurve(NodeTweakParams ntp) |
Modifier and Type | Class and Description |
---|---|
class |
CreditCurve
This class contains the baseline abstract credit curve holder object.
|
class |
DiscountCurve
This class contains the baseline abstract discount curve holder object.
|
class |
FXBasisCurve
This abstract class exposes the FXBasis curve representing term structure of FX basis.
|
class |
FXForwardCurve
This abstract class contains the stub functionality for the term structure of dates/times and FX forwards
(PIP/outright), and Spot FX info for the given currency pair.
|
class |
ZeroCurve
This class contains the baseline abstract zero curve holder object.
|
Modifier and Type | Method and Description |
---|---|
Curve |
Curve.createParallelShiftedCurve(double dblShift)
Creates a parallel quote shifted curve
|
Curve |
Curve.createTweakedCurve(NodeTweakParams ntp)
Creates the curve from the tweaked parameters
|