Package org.drip.sample.overnight
Class MultiStretchCurveBuilder
java.lang.Object
org.drip.sample.overnight.MultiStretchCurveBuilder
public class MultiStretchCurveBuilder
extends java.lang.Object
MultiStretchCurveBuilder contains a sample of the construction and usage of the Overnight Curve
built using the Overnight Indexed Swap Product Instruments in their distinct stretches. The Tenors/Quotes
to replicate are taken from:
- Ametrano, F., and M. Bianchetti (2013): Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2219548
- Module = Product Core Module
- Library = Fixed Income Analytics
- Project = DROP API Construction and Usage
- Package = Shape Preserving Stretch Overnight Curve
- Author:
- Lakshmi Krishnamurthy
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Constructor Summary
Constructors Constructor Description MultiStretchCurveBuilder()
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Method Summary
Modifier and Type Method Description static void
main(java.lang.String[] astrArgs)
Entry PointMethods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Constructor Details
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MultiStretchCurveBuilder
public MultiStretchCurveBuilder()
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Method Details
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main
public static final void main(java.lang.String[] astrArgs) throws java.lang.ExceptionEntry Point- Parameters:
astrArgs
- Command Line Argument Array- Throws:
java.lang.Exception
- Thrown on Error/Exception Situation
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