Package org.drip.sample.funding

Shape Preserving Local Funding Curve
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CustomFundingCurveBuilder
    CustomFundingCurveBuilder funding curve calibration and input instrument calibration quote recovery.
    CustomFundingCurveReconciler
    CustomFundingCurveReconciler demonstrates the multi-stretch transition custom Funding curve construction, turns application, discount factor extraction, and calibration quote recovery.
    HaganWestForwardInterpolator
    HaganWestForwardInterpolator illustrates using the Hagan and West (2006) Estimator.
    MultiStreamSwapMeasures
    MultiStreamSwapMeasures illustrates the creation, invocation, and usage of the MultiStreamSwap.
    NonlinearCurveMeasures
    NonlinearCurveMeasures contains a demo of the Non-linear Rates Analytics API Usage.
    ShapePreservingZeroSmooth
    ShapePreservingZeroSmooth demonstrates the usage of different shape preserving and smoothing techniques involved in the funding curve creation.
    ShapeZeroLocalSmooth
    ShapeZeroLocalSmooth demonstrates the usage of different local smoothing techniques involved in the funding curve creation.
    TemplatedFundingCurveBuilder
    TemplatedFundingCurveBuilder sample demonstrates the usage of the different pre-built Funding Curve Builders.