Package org.drip.sample.forward

Class IBOR6MQuarticPolyVanilla

java.lang.Object

org.drip.sample.forward.IBOR6MQuarticPolyVanilla

public class IBOR6MQuarticPolyVanilla
extends java.lang.Object

IBOR6MQuarticPolyVanilla illustrates the Construction and Usage of the IBOR 6M Forward Curve Using Vanilla Quartic Polynomial Spline.

• 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
IBOR6MQuarticPolyVanilla()

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)	Construct the 6M Forward

Methods inherited from class java.lang.Object

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

Constructor Details

IBOR6MQuarticPolyVanilla

public IBOR6MQuarticPolyVanilla()

Method Details

Make6MForward

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

Construct the 6M Forward

Parameters:

dtValue - Valuation Date

strCurrency - Currency

strTenor - Tenor

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