Package org.drip.sample.govvie

Class NonlinearGovvieCurve

java.lang.Object
org.drip.sample.govvie.NonlinearGovvieCurve
public class NonlinearGovvieCurve
extends java.lang.Object
NonlinearGovvieCurve contains a demo of construction and usage of the non-linear treasury discount curve from government bond inputs. It shows the following:

  • Create on-the-run TSY bond set.
  • Calibrate a discount curve off of the on-the-run yields and calculate the implied zeroes and DF's.
  • Price an off-the-run TSY.




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    NonlinearGovvieCurve()  

  • 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

    • NonlinearGovvieCurve

      public NonlinearGovvieCurve()

  • 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