Package org.drip.service.api

Horizon Roll Attribution Service API
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CDXCOB
    CDXCOB contains the Name and the COB Price for a given CDX.
    DateDiscountCurvePair
    DateDiscountCurvePair contains the COB/Discount Curve Pair, and the corresponding computed outputs.
    DiscountCurveInputInstrument
    DiscountCurveInputInstrument contains the input instruments and their quotes.
    FixFloatFundingInstrument
    FixFloatFundingInstrument contains the Fix Float Instrument Inputs for the Funding Curve Construction Purposes.
    ForwardRates
    ForwardRates contains the array of the forward rates.
    InstrMetric
    InstrMetric contains the fields that hold the result of the PnL metric calculations.
    ProductDailyPnL
    ProductDailyPnL contains the daily measures computed.