org.drip.sample.dual

Class CCBSForwardCurve

java.lang.Object

org.drip.sample.dual.CCBSForwardCurve

public class CCBSForwardCurve
extends java.lang.Object

CCBSForwardCurve demonstrates the setup and construction of the Forward Curve from the CCBS Quotes.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
CCBSForwardCurve()

Method Summary

Modifier and Type

Method and Description

static void

ForwardCurveReferenceComponentBasis(java.lang.String strReferenceCurrency, java.lang.String strDerivedCurrency, JulianDate dtValue, MergedDiscountForwardCurve dcReference, ForwardCurve fc6MReference, ForwardCurve fc3MReference, MergedDiscountForwardCurve dcDerived, ForwardCurve fc6MDerived, double dblRefDerFX, SegmentCustomBuilderControl scbc, java.lang.String[] astrTenor, double[] adblCrossCurrencyBasis, boolean bBasisOnDerivedLeg)

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CCBSForwardCurve

public CCBSForwardCurve()

Method Detail

ForwardCurveReferenceComponentBasis

public static final void ForwardCurveReferenceComponentBasis(java.lang.String strReferenceCurrency,
                                                             java.lang.String strDerivedCurrency,
                                                             JulianDate dtValue,
                                                             MergedDiscountForwardCurve dcReference,
                                                             ForwardCurve fc6MReference,
                                                             ForwardCurve fc3MReference,
                                                             MergedDiscountForwardCurve dcDerived,
                                                             ForwardCurve fc6MDerived,
                                                             double dblRefDerFX,
                                                             SegmentCustomBuilderControl scbc,
                                                             java.lang.String[] astrTenor,
                                                             double[] adblCrossCurrencyBasis,
                                                             boolean bBasisOnDerivedLeg)
                                                      throws java.lang.Exception

Throws:

java.lang.Exception