org.drip.sample.forward

Class IBORCurve

java.lang.Object

org.drip.sample.forward.IBORCurve

public class IBORCurve
extends java.lang.Object

IBORCurve illustrates the Construction and Usage of the IBOR Forward Curve.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
IBORCurve()

Method Summary

Modifier and Type	Method and Description
static ForwardCurve	CustomIBORBuilderSample(MergedDiscountForwardCurve dc, ForwardCurve fcReference, ForwardLabel fri, SegmentCustomBuilderControl scbc, java.lang.String[] astrDepositTenor, double[] adblDepositQuote, java.lang.String strDepositCalibMeasure, java.lang.String[] astrFRATenor, double[] adblFRAQuote, java.lang.String strFRACalibMeasure, java.lang.String[] astrFixFloatTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatCalibMeasure, java.lang.String[] astrFloatFloatTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatCalibMeasure, java.lang.String[] astrSyntheticFloatFloatTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatCalibMeasure, java.lang.String strHeaderComment, boolean bPrintMetric)
static ForwardCurve	CustomIBORBuilderSample2(MergedDiscountForwardCurve dc, ForwardCurve fcReference, ForwardLabel fri, SegmentCustomBuilderControl scbc, java.lang.String[] astrDepositTenor, double[] adblDepositQuote, java.lang.String strDepositCalibMeasure, java.lang.String[] astrFRATenor, double[] adblFRAQuote, java.lang.String strFRACalibMeasure, java.lang.String[] astrFixFloatTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatCalibMeasure, java.lang.String[] astrComponentPairTenor, double[] adblComponentPairQuote, java.lang.String strComponentPairCalibMeasure, java.lang.String[] astrSyntheticComponentPairTenor, double[] adblSyntheticComponentPairQuote, java.lang.String strSyntheticComponentPairCalibMeasure, java.lang.String strHeaderComment, boolean bPrintMetric)
static void	ForwardJack(JulianDate dt, java.lang.String strHeaderComment, ForwardCurve fc, java.lang.String strManifestMeasure)

Methods inherited from class java.lang.Object

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

Constructor Detail

IBORCurve

public IBORCurve()

Method Detail

CustomIBORBuilderSample

public static final ForwardCurve CustomIBORBuilderSample(MergedDiscountForwardCurve dc,
                                                         ForwardCurve fcReference,
                                                         ForwardLabel fri,
                                                         SegmentCustomBuilderControl scbc,
                                                         java.lang.String[] astrDepositTenor,
                                                         double[] adblDepositQuote,
                                                         java.lang.String strDepositCalibMeasure,
                                                         java.lang.String[] astrFRATenor,
                                                         double[] adblFRAQuote,
                                                         java.lang.String strFRACalibMeasure,
                                                         java.lang.String[] astrFixFloatTenor,
                                                         double[] adblFixFloatQuote,
                                                         java.lang.String strFixFloatCalibMeasure,
                                                         java.lang.String[] astrFloatFloatTenor,
                                                         double[] adblFloatFloatQuote,
                                                         java.lang.String strFloatFloatCalibMeasure,
                                                         java.lang.String[] astrSyntheticFloatFloatTenor,
                                                         double[] adblSyntheticFloatFloatQuote,
                                                         java.lang.String strSyntheticFloatFloatCalibMeasure,
                                                         java.lang.String strHeaderComment,
                                                         boolean bPrintMetric)
                                                  throws java.lang.Exception

Throws:

java.lang.Exception

CustomIBORBuilderSample2

public static final ForwardCurve CustomIBORBuilderSample2(MergedDiscountForwardCurve dc,
                                                          ForwardCurve fcReference,
                                                          ForwardLabel fri,
                                                          SegmentCustomBuilderControl scbc,
                                                          java.lang.String[] astrDepositTenor,
                                                          double[] adblDepositQuote,
                                                          java.lang.String strDepositCalibMeasure,
                                                          java.lang.String[] astrFRATenor,
                                                          double[] adblFRAQuote,
                                                          java.lang.String strFRACalibMeasure,
                                                          java.lang.String[] astrFixFloatTenor,
                                                          double[] adblFixFloatQuote,
                                                          java.lang.String strFixFloatCalibMeasure,
                                                          java.lang.String[] astrComponentPairTenor,
                                                          double[] adblComponentPairQuote,
                                                          java.lang.String strComponentPairCalibMeasure,
                                                          java.lang.String[] astrSyntheticComponentPairTenor,
                                                          double[] adblSyntheticComponentPairQuote,
                                                          java.lang.String strSyntheticComponentPairCalibMeasure,
                                                          java.lang.String strHeaderComment,
                                                          boolean bPrintMetric)
                                                   throws java.lang.Exception

Throws:

java.lang.Exception

ForwardJack

public static final void ForwardJack(JulianDate dt,
                                     java.lang.String strHeaderComment,
                                     ForwardCurve fc,
                                     java.lang.String strManifestMeasure)