Interface MultiCurrencyExposureSimulator.Curve

Enclosing class:

MultiCurrencyExposureSimulator

Functional Interface:

This is a functional interface and can therefore be used as the assignment target for a lambda expression or method reference.

@FunctionalInterface
public static interface MultiCurrencyExposureSimulator.Curve

A discount function t -> P(0,t), t in years, P(0,0) = 1.

Method Summary

Modifier and Type	Method	Description
double	discountFactor(double t)	Discount factor to time t.
static MultiCurrencyExposureSimulator.Curve	of(DiscountCurve c)	Adapter for a 2.1 multi-curve DiscountCurve (time in ACT/365F years).
static MultiCurrencyExposureSimulator.Curve	of(YieldCurve c)	Adapter for a YieldCurve.

Method Details

discountFactor

double discountFactor(double t)

Discount factor to time t.

Parameters:

t - years, > 0

Returns:

P(0,t)

of

static MultiCurrencyExposureSimulator.Curve of(YieldCurve c)

Adapter for a YieldCurve.

Parameters:

c - curve

Returns:

the discount function

of

static MultiCurrencyExposureSimulator.Curve of(DiscountCurve c)

Adapter for a 2.1 multi-curve DiscountCurve (time in ACT/365F years).

Parameters:

c - curve

Returns:

the discount function