org.drip.sample.overnight

Class MultiStretchCurveBuilder

java.lang.Object

org.drip.sample.overnight.MultiStretchCurveBuilder

public class MultiStretchCurveBuilder
extends java.lang.Object

MultiStretchCurveBuilder contains a sample of the construction and usage of the Overnight Curve built using the Overnight Indexed Swap Product Instruments in their distinct stretches. The Tenors/Quotes to replicate are taken from: - Ametrano, F., and M. Bianchetti (2013): Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2219548

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
MultiStretchCurveBuilder()

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

MultiStretchCurveBuilder

public MultiStretchCurveBuilder()

Method Detail

main

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

Throws:

java.lang.Exception