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




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    MultiStretchCurveBuilder()  

  • 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

    • MultiStretchCurveBuilder

      public MultiStretchCurveBuilder()

  • 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