Package | Description |
---|---|
org.drip.state.curve | |
org.drip.state.estimator |
Modifier and Type | Method and Description |
---|---|
NonlinearDiscountFactorDiscountCurve |
NonlinearDiscountFactorDiscountCurve.createBasisRateShiftedCurve(double[] adblDate,
double[] adblBasis) |
NonlinearDiscountFactorDiscountCurve |
NonlinearDiscountFactorDiscountCurve.parallelShiftManifestMeasure(double dblShift) |
NonlinearDiscountFactorDiscountCurve |
NonlinearDiscountFactorDiscountCurve.parallelShiftQuantificationMetric(double dblShift) |
NonlinearDiscountFactorDiscountCurve |
NonlinearDiscountFactorDiscountCurve.shiftManifestMeasure(int iSpanIndex,
double dblShift) |
Modifier and Type | Method and Description |
---|---|
boolean |
NonlinearCurveCalibrator.bootstrapNonlinearInterestRateSequence(NonlinearDiscountFactorDiscountCurve nldfdc,
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 a non-linear interest rate curve from the set of calibration components
|