NonlinearCurveMeasures

java.lang.Object

org.drip.sample.funding.NonlinearCurveMeasures

public class NonlinearCurveMeasures
extends java.lang.Object

NonlinearCurveMeasures contains a demo of the Non-linear Rates Analytics API Usage. It shows the following:

Build a discount curve using: cash instruments only, EDF instruments only, IRS instruments only, or all of them strung together.
Re-calculate the component input measure quotes from the calibrated discount curve object.
Compute the PVDF Wengert Jacobian across all the instruments used in the curve construction.

Module = Product Core Module
Library = Fixed Income Analytics
Project = DROP API Construction and Usage
Package = Shape Preserving Local Funding Curve

Author:: Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor Description

NonlinearCurveMeasures()
Method Summary

Modifier and Type Method Description

static void main(java.lang.String[] astrArgs)
Entry Point

Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details
- NonlinearCurveMeasures
  
  public NonlinearCurveMeasures()
Method Details
- 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