Package org.drip.sample.dual

Class CCBSForwardCurve

java.lang.Object

org.drip.sample.dual.CCBSForwardCurve

public class CCBSForwardCurve
extends java.lang.Object

CCBSForwardCurve 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
CCBSForwardCurve()

Method Summary

Modifier and Type	Method	Description
static void	ForwardCurveReferenceComponentBasis(java.lang.String strReferenceCurrency, java.lang.String strDerivedCurrency, JulianDate dtValue, MergedDiscountForwardCurve dcReference, ForwardCurve fc6MReference, ForwardCurve fc3MReference, MergedDiscountForwardCurve dcDerived, ForwardCurve fc6MDerived, double dblRefDerFX, SegmentCustomBuilderControl scbc, java.lang.String[] astrTenor, double[] adblCrossCurrencyBasis, boolean bBasisOnDerivedLeg)	Set the Forward Curve Reference Component Basis

Methods inherited from class java.lang.Object

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

Constructor Details

CCBSForwardCurve

public CCBSForwardCurve()

Method Details

ForwardCurveReferenceComponentBasis

public static final void ForwardCurveReferenceComponentBasis(java.lang.String strReferenceCurrency,
java.lang.String strDerivedCurrency,
JulianDate dtValue,
MergedDiscountForwardCurve dcReference,
ForwardCurve fc6MReference,
ForwardCurve fc3MReference,
MergedDiscountForwardCurve dcDerived,
ForwardCurve fc6MDerived,
double dblRefDerFX,
SegmentCustomBuilderControl scbc,
java.lang.String[] astrTenor,
double[] adblCrossCurrencyBasis,
boolean bBasisOnDerivedLeg)
                                                      throws java.lang.Exception

Set the Forward Curve Reference Component Basis

Parameters:

strReferenceCurrency - Reference Currency

strDerivedCurrency - Derived Currency

dtValue - Valuation Date

dcReference - Reference Discount Curve

fc6MReference - 6M Reference Forward Curve

fc3MReference - 3M Reference Forward Curve

dcDerived - Derived Discount Curve

fc6MDerived - 6M Derived Forward Curve

dblRefDerFX - Reference/Forward FX Rate

scbc - Segment Custom Builder Control

astrTenor - Tenor Array

adblCrossCurrencyBasis - Cross Currency Basis Array

bBasisOnDerivedLeg - TRUE - Basis on Derived Leg

Throws:

java.lang.Exception - Thrown if the Forward Curve Reference Component Basis cannot be calculated