Package org.drip.state.nonlinear

Nonlinear (i.e., Boot) Latent State Construction
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    FlatForwardDiscountCurve
    FlatForwardDiscountCurve manages the Discounting Latent State, using the Forward Rate as the State Response Representation.
    FlatForwardForwardCurve
    FlatForwardForwardCurve contains an implementation of the flat forward rate forward curve.
    FlatForwardFXCurve
    FlatForwardFXCurve manages the Volatility Latent State, using the Forward FX as the State Response Representation.
    FlatForwardGovvieCurve
    FlatForwardGovvieCurve manages the Govvie Latent State, using the Flat Forward Rate as the State Response Representation.
    FlatForwardRepoCurve
    FlatForwardRepoCurve manages the Repo Latent State, using the Forward Repo Rate as the State Response Representation.
    FlatForwardVolatilityCurve
    FlatForwardVolatilityCurve manages the Volatility Latent State, using the Forward Volatility as the State Response Representation.
    FlatYieldGovvieCurve
    FlatYieldGovvieCurve manages the Govvie Latent State, using the Flat Yield as the State Response Representation.
    ForwardHazardCreditCurve
    ForwardHazardCreditCurve manages the Survival Latent State, using the Hazard Rate as the State Response Representation.
    NonlinearCurveBuilder
    NonlinearCurveBuilder calibrates the discount and credit/hazard curves from the components and their quotes.