org.drip.sample.govvie

Class NonlinearGovvieCurve

java.lang.Object

org.drip.sample.govvie.NonlinearGovvieCurve

public class NonlinearGovvieCurve
extends java.lang.Object

NonlinearGovvieCurve contains a demo of construction and usage of the non-linear treasury discount curve from government bond inputs. It shows the following: - Create on-the-run TSY bond set. - Calibrate a discount curve off of the on-the-run yields and calculate the implied zeroes and DF's. - Price an off-the-run TSY.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
NonlinearGovvieCurve()

Method Summary

Modifier and Type	Method and Description
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

NonlinearGovvieCurve

public NonlinearGovvieCurve()

Method Detail

main

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

Throws:

java.lang.Exception