Package org.drip.sample.intexfeed

Custom Curve Forward Projection Metrics
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    BrokenDateGovvieSpot
    BrokenDateGovvieSpot generates the Sequence of Govvie Yields with Monthly Increments in Maturity over 60 Years.
    BrokenDateLIBOREUR
    BrokenDateLIBOREUR generates the EUR LIBOR Forward's over Monthly Increments with Maturity up to 60 Years for different Forward Tenors.
    BrokenDateLIBORSpot
    BrokenDateLIBORSpot generates the LIBOR's at the Broken Date Tenors in the Currency specified.
    BrokenDateLIBORUSD
    BrokenDateLIBORUSD generates the USD LIBOR Forward's over Monthly Increments with Maturity up to 60 Years for different Forward Tenors.
    BrokenDateOISRate
    BrokenDateOISRate generates the OIS Rate for Monthly Increments in Maturity over 60 Years.
    BrokenDateSwapRate
    BrokenDateSwapRate generates the Swap Rate for Monthly Increments in Maturity over 60 Years.
    ForwardGovvieYield
    ForwardGovvieYield generates the Forward Govvie Yields over Monthly Increments with Maturity up to 60Y for different Govvie Tenors.
    ForwardSwapRate
    ForwardSwapRate generates the Forward Swap Rates over Monthly Increments with Maturity up to 60 Years for different Swap Tenors.