| Class | Description |
|---|---|
| FlatForwardDiscountCurve |
FlatForwardDiscountCurve manages the Discounting Latent State, using the Forward Rate as the State
Response Representation.
|
| FlatForwardForwardCurve |
FlatForwardForwardCurve contains an implementation of the flat forward rate forward curve.
|
| FlatForwardFXCurve |
FlatForwardVolatilityCurve manages the Volatility Latent State, using the Forward Volatility as the State
Response Representation.
|
| FlatForwardRepoCurve |
FlatForwardRepoCurve manages the Repo Latent State, using the Forward Repo Rate as the State Response
Representation.
|
| FlatForwardVolatilityCurve |
FlatForwardVolatilityCurve manages the Volatility Latent State, using the Forward Volatility as the State
Response Representation.
|
| FlatYieldGovvieCurve |
FlatYieldGovvieCurve manages the Govvie Latent State, using the Flat Yield as the State Response
Representation.
|
| ForwardHazardCreditCurve |
ForwardHazardCreditCurve manages the Survival Latent State, using the Hazard Rate as the State Response
Representation.
|
| NonlinearCurveBuilder |
NonlinearCurveBuilder calibrates the discount and credit/hazard curves from the components and their
quotes.
|