Package org.drip.sample.forward

Class OvernightIndexCurve

java.lang.Object
org.drip.sample.forward.OvernightIndexCurve
public class OvernightIndexCurve
extends java.lang.Object
OvernightIndexCurve illustrates the Construction and Usage of the Overnight Index Discount Curve.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    OvernightIndexCurve()  

  • Method Summary

    Modifier and Type Method Description
    static MergedDiscountForwardCurve MakeDC​(java.lang.String strCurrency, JulianDate dtSpot, int[] aiDepositMaturityDays, double[] adblDepositQuote, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String[] astrOISFutureTenor, java.lang.String[] astrOISFutureMaturityTenor, double[] adblOISFutureQuote, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, SegmentCustomBuilderControl scbc, FloaterIndex fi)
    Construct the Merged Forward Discount Curve
    static MergedDiscountForwardCurve MakeDC​(JulianDate dtSpot, java.lang.String strCurrency)
    Construct an elaborate EONIA Discount Curve

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • OvernightIndexCurve

      public OvernightIndexCurve()

  • Method Details

    • MakeDC

      public static final MergedDiscountForwardCurve MakeDC​(java.lang.String strCurrency, JulianDate dtSpot, int[] aiDepositMaturityDays, double[] adblDepositQuote, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String[] astrOISFutureTenor, java.lang.String[] astrOISFutureMaturityTenor, double[] adblOISFutureQuote, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, SegmentCustomBuilderControl scbc, FloaterIndex fi) throws java.lang.Exception
      Construct the Merged Forward Discount Curve
      Parameters:
      strCurrency - Currency
      dtSpot - Spot Date
      aiDepositMaturityDays - Deposit Maturity Days Array
      adblDepositQuote - Deposit Quote Array
      astrShortEndOISMaturityTenor - Short End OIS Maturity Array
      adblShortEndOISQuote - Short End OIS Quote Array
      astrOISFutureTenor - OIS Tenor Future Array
      astrOISFutureMaturityTenor - OIS Tenor Future Maturity Array
      adblOISFutureQuote - OIS Tenor Quote Array
      astrLongEndOISMaturityTenor - Long End OIS Maturity Array
      adblLongEndOISQuote - Long End OIS Quote Array
      scbc - Segment Custom Builder Control
      fi - Floater Index
      Returns:
      The Merged Forward Discount Curve
      Throws:
      java.lang.Exception - Thrown if the Merged Forward Discount Curve cannot be constructed

    • MakeDC

      public static final MergedDiscountForwardCurve MakeDC​(JulianDate dtSpot, java.lang.String strCurrency) throws java.lang.Exception
      Construct an elaborate EONIA Discount Curve
      Parameters:
      dtSpot - The Spot Date
      strCurrency - The Currency
      Returns:
      Instance of the EONIA Discount Curve
      Throws:
      java.lang.Exception - Thrown if the OIS Discount Curve Could not be created