Package org.drip.sample.forward

Class IBOR6MCubicPolyVanilla

java.lang.Object

org.drip.sample.forward.IBOR6MCubicPolyVanilla

public class IBOR6MCubicPolyVanilla
extends java.lang.Object

IBOR6MCubicPolyVanilla illustrates the Construction and Usage of the IBOR 6M Forward Curve Using Vanilla Cubic Polynomial.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = DROP API Construction and Usage
• Package = IBOR Spline Forward Curve Construction

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
IBOR6MCubicPolyVanilla()

Method Summary

Modifier and Type	Method	Description
static void	main(java.lang.String[] astrArgs)	Entry Point
static ForwardCurve	Make6MForward(JulianDate dtValue, java.lang.String strCurrency, java.lang.String strTenor, boolean bPrintMetric)	Construct the 6m Forward Curve

Methods inherited from class java.lang.Object

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

Constructor Details

IBOR6MCubicPolyVanilla

public IBOR6MCubicPolyVanilla()

Method Details

Make6MForward

public static final ForwardCurve Make6MForward(JulianDate dtValue,
java.lang.String strCurrency,
java.lang.String strTenor,
boolean bPrintMetric)
                                        throws java.lang.Exception

Construct the 6m Forward Curve

Parameters:

dtValue - Valuation Date

strCurrency - Currency

strTenor - Tenor

bPrintMetric - TRUE - Print the Metrics

Returns:

The Forward Curve

Throws:

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

main

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

Entry Point

Parameters:

astrArgs - Command Line Argument Array

Throws:

java.lang.Exception - Thrown on Error/Exception Situation