org.drip.sample.funding

Class NonlinearCurveMeasures

java.lang.Object

org.drip.sample.funding.NonlinearCurveMeasures

public class NonlinearCurveMeasures
extends java.lang.Object

NonlinearCurveMeasures contains a demo of the Non-linear Rates Analytics API Usage. It shows the following: - Build a discount curve using: cash instruments only, EDF instruments only, IRS instruments only, or all of them strung together. - Re-calculate the component input measure quotes from the calibrated discount curve object. - Compute the PVDF Wengert Jacobian across all the instruments used in the curve construction.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
NonlinearCurveMeasures()

Method Summary

Modifier and Type	Method and Description
static void	DiscountCurveFromRatesInstruments()
static void	main(java.lang.String[] astrArgs)

Methods inherited from class java.lang.Object

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

Constructor Detail

NonlinearCurveMeasures

public NonlinearCurveMeasures()

Method Detail

DiscountCurveFromRatesInstruments

public static void DiscountCurveFromRatesInstruments()
                                              throws java.lang.Exception

Throws:

java.lang.Exception

main

public static final void main(java.lang.String[] astrArgs)
                       throws java.lang.Exception

Throws:

java.lang.Exception