Interface CurveInstrument

All Known Implementing Classes:
Deposit, Fra, InterestRateSwap, OisSwap, RateFuture
public sealed interface CurveInstrument permits Deposit, Fra, RateFuture, OisSwap, InterestRateSwap
A quoted market instrument a MultiCurveBootstrap fits a curve to.

Each instrument knows its market quote (a rate, as a decimal) and how to compute the same quantity implied by a discount curve and a projection curve. The bootstrap solves for the curve on which impliedQuote(discount, projection) == quote() for every input. When a curve is fitted on its own (an OIS curve, which discounts and projects the overnight index), both arguments are that curve.

  • Method Summary

    Modifier and Type
    Method
    Description
    double
    impliedQuote(DiscountCurve discount, DiscountCurve projection)
    The quote implied by the curves, in the units of quote().
    LocalDate
    pillarDate()
    The last date the instrument depends on; the bootstrap places a pillar there.
    double
    quote()
    The market quote as a decimal rate (0.03 = 3%).
    CurveInstrument
    withQuote(double quote)
    The same instrument with a different quote (used for bump-and-rebuild risk).

  • Method Details

    • pillarDate

      LocalDate pillarDate()
      The last date the instrument depends on; the bootstrap places a pillar there.

    • quote

      double quote()
      The market quote as a decimal rate (0.03 = 3%).

    • withQuote

      CurveInstrument withQuote(double quote)
      The same instrument with a different quote (used for bump-and-rebuild risk).

    • impliedQuote

      double impliedQuote(DiscountCurve discount, DiscountCurve projection)
      The quote implied by the curves, in the units of quote().