Package org.drip.sample.overnight

Shape Preserving Stretch Overnight Curve
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CustomOvernightCurveReconciler
    CustomOvernightCurveReconciler demonstrates the multi-stretch transition custom Overnight curve construction, turns application, discount factor extraction, and calibration quote recovery.
    MultiStretchCurveBuilder
    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.
    ShapeOvernightZeroLocalSmooth
    ShapeOvernightZeroLocalSmooth demonstrates the usage of different local smoothing techniques involved in the Overnight curve creation.
    ShapePreservingOvernightZeroSmooth
    ShapePreservingOvernightZeroSmooth demonstrates the usage of different shape preserving and smoothing techniques involved in the Overnight curve creation.
    SingleStretchCurveBuilder
    SingleStretchCurveBuilder contains a sample of the construction and usage of the Overnight Curve built using the Overnight Indexed Swap Product Instruments inside a single stretch.