Package | Description |
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org.drip.analytics.curve | |
org.drip.analytics.definition |
Modifier and Type | Class and Description |
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class |
ConstantForwardHazard
This class contains the constant hazard rate based credit curve holder object.
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class |
ConstantForwardRate
This class contains the constant forward rate based discount curve holder object.
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class |
DerivedFXBasis
This class contains the constant forward basis based FX Basis Curve holder object.
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class |
DerivedFXForward
This class contains the constant forward based FX Forward Curve holder object.
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class |
DerivedZeroRate
This class implements the zero rate curve.
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class |
HyperbolicTensionForwardRate
This class contains the hyperbolic tension forward rate based discount curve holder object.
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class |
PolynomialForwardRate
This class contains the polynomial forward rate based discount curve holder object.
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class |
PolynomialSplineDF
This class contains the polynomial spline discount factor based discount curve holder object.
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Modifier and Type | Method and Description |
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Curve |
DerivedZeroRate.createParallelShiftedCurve(double dblShift) |
Curve |
DerivedFXForward.createParallelShiftedCurve(double dblShift) |
Curve |
DerivedFXBasis.createParallelShiftedCurve(double dblShift) |
Curve |
DerivedZeroRate.createTweakedCurve(NodeTweakParams ntp) |
Curve |
DerivedFXForward.createTweakedCurve(NodeTweakParams ntp) |
Curve |
DerivedFXBasis.createTweakedCurve(NodeTweakParams ntp) |
Modifier and Type | Class and Description |
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class |
CreditCurve
CreditCurve is the stub for the survival curve functionality.
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class |
DiscountCurve
DiscountCurve is the stub for the discount curve functionality.
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class |
FXBasisCurve
FXBasisCurve implements the curve representing the FXBasis nodes.
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class |
FXForwardCurve
FXForwardCurve implements the curve representing the FXForward nodes.
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class |
ZeroCurve
ZeroCurve exposes the node set containing the zero curve node points.
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Modifier and Type | Method and Description |
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Curve |
Curve.createParallelShiftedCurve(double dblShift)
Create a parallel quote shifted curve
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Curve |
Curve.createTweakedCurve(NodeTweakParams ntp)
Create the curve from the tweaked parameters
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