public class BasketAggregateMeasuresGeneration
extends java.lang.Object
BasketAggregateMeasuresGeneration contains a demo of the bond basket Measure generation Sample. It shows
the following:
- Build the IR Curve from the Rates' instruments.
- Build the Component Credit Curve from the CDS instruments.
- Create the basket market parameters and add the named discount curve and the credit curves to it.
- Create the bond basket from the component bonds and their weights.
- Construct the Valuation and the Pricing Parameters.
- Generate the bond basket measures from the valuation, the pricer, and the market parameters.
- Author:
- Lakshmi Krishnamurthy