org.drip.sample.forward

Class OvernightIndexCurve

java.lang.Object

org.drip.sample.forward.OvernightIndexCurve

public class OvernightIndexCurve
extends java.lang.Object

OvernightIndexCurve illustrates the Construction and Usage of the Overnight Index Discount Curve.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
OvernightIndexCurve()

Method Summary

Modifier and Type	Method and Description
static MergedDiscountForwardCurve	MakeDC(JulianDate dtSpot, java.lang.String strCurrency) Construct an elaborate EONIA Discount Curve
static MergedDiscountForwardCurve	MakeDC(java.lang.String strCurrency, JulianDate dtSpot, int[] aiDepositMaturityDays, double[] adblDepositQuote, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String[] astrOISFutureTenor, java.lang.String[] astrOISFutureMaturityTenor, double[] adblOISFutureQuote, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, SegmentCustomBuilderControl scbc, FloaterIndex fi)

Methods inherited from class java.lang.Object

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

Constructor Detail

OvernightIndexCurve

public OvernightIndexCurve()

Method Detail

MakeDC

public static final MergedDiscountForwardCurve MakeDC(java.lang.String strCurrency,
                                                      JulianDate dtSpot,
                                                      int[] aiDepositMaturityDays,
                                                      double[] adblDepositQuote,
                                                      java.lang.String[] astrShortEndOISMaturityTenor,
                                                      double[] adblShortEndOISQuote,
                                                      java.lang.String[] astrOISFutureTenor,
                                                      java.lang.String[] astrOISFutureMaturityTenor,
                                                      double[] adblOISFutureQuote,
                                                      java.lang.String[] astrLongEndOISMaturityTenor,
                                                      double[] adblLongEndOISQuote,
                                                      SegmentCustomBuilderControl scbc,
                                                      FloaterIndex fi)
                                               throws java.lang.Exception

Throws:

java.lang.Exception

MakeDC

public static final MergedDiscountForwardCurve MakeDC(JulianDate dtSpot,
                                                      java.lang.String strCurrency)
                                               throws java.lang.Exception

Construct an elaborate EONIA Discount Curve

Parameters:

dtSpot - The Spot Date

strCurrency - The Currency

Returns:

Instance of the EONIA Discount Curve

Throws:

java.lang.Exception - Thrown if the OIS Discount Curve Could not be created