Package org.drip.sample.dual

Class CCBSDiscountCurve

java.lang.Object

org.drip.sample.dual.CCBSDiscountCurve

public class CCBSDiscountCurve
extends java.lang.Object

CCBSDiscountCurve demonstrates the setup and construction of the Forward Curve from the CCBS Quotes.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = DROP API Construction and Usage
• Package = G7 Standard Cross Currency Swap

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CCBSDiscountCurve()

Method Summary

Modifier and Type	Method	Description
static void	MakeDiscountCurve(java.lang.String strReferenceCurrency, java.lang.String strDerivedCurrency, JulianDate dtValue, MergedDiscountForwardCurve dcReference, ForwardCurve fc6MReference, ForwardCurve fc3MReference, double dblRefDerFX, SegmentCustomBuilderControl scbc, java.lang.String[] astrTenor, double[] adblCrossCurrencyBasis, double[] adblSwapRate, boolean bBasisOnDerivedLeg)	Construct the Discount Curve

Methods inherited from class java.lang.Object

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

Constructor Details

CCBSDiscountCurve

public CCBSDiscountCurve()

Method Details

MakeDiscountCurve

public static final void MakeDiscountCurve(java.lang.String strReferenceCurrency,
java.lang.String strDerivedCurrency,
JulianDate dtValue,
MergedDiscountForwardCurve dcReference,
ForwardCurve fc6MReference,
ForwardCurve fc3MReference,
double dblRefDerFX,
SegmentCustomBuilderControl scbc,
java.lang.String[] astrTenor,
double[] adblCrossCurrencyBasis,
double[] adblSwapRate,
boolean bBasisOnDerivedLeg)
                                    throws java.lang.Exception

Construct the Discount Curve

Parameters:

strReferenceCurrency - Reference Currency

strDerivedCurrency - Derived Currency

dtValue - Valuation Date

dcReference - Reference Discount Curve

fc6MReference - 6M Reference Forward Curve

fc3MReference - 3M Reference Forward Curve

dblRefDerFX - Reference to Derived FC

scbc - Segment Custom Builder Control

astrTenor - Tenor Array

adblCrossCurrencyBasis - Cross Currency Basis Array

adblSwapRate - Swap Rate Array

bBasisOnDerivedLeg - TRUE - Basis on Derived Leg

Throws:

java.lang.Exception - Thrown if the Discount Curve cannot be constructed