Uses of Interface
com.quantfinlib.rates.CurveInstrument

Packages that use CurveInstrument

Package	Description
com.quantfinlib.rates	Fixed income: curves, bonds, swaps, day counts and calendars, with market conventions.

Uses of CurveInstrument in com.quantfinlib.rates

Classes in com.quantfinlib.rates that implement CurveInstrument

Modifier and Type	Class	Description
final record	Deposit	A cash deposit over [start, end] at simple rate rate: 1 at start grows to 1 + rate * tau at end, tau from dayCount.
final record	Fra	A forward rate agreement on the index period [start, end] at fixed rate rate.
final record	InterestRateSwap	A vanilla fixed-for-floating interest rate swap in the multi-curve framework: the floating coupons are projected off a projection curve (for example 3M) and both legs are discounted on the OIS curve (collateralised pricing; Bianchetti 2010, "Two curves, one price", Risk 23(8); Ametrano and Bianchetti 2013, "Everything you always wanted to know about multiple interest rate curve bootstrapping but were afraid to ask", SSRN 2219548).
final record	OisSwap	An overnight indexed swap: fixed rate against the daily-compounded overnight rate (SOFR, ESTR, SONIA), same schedule on both legs, payment on the accrual end date (no payment lag).
final record	RateFuture	A short-term interest rate future (3M SOFR/Euribor style) on the index period [start, end], quoted by its futures rate rate = (100 - price)/100.

Methods in com.quantfinlib.rates that return CurveInstrument

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

Method parameters in com.quantfinlib.rates with type arguments of type CurveInstrument

Modifier and Type	Method	Description
static DiscountCurve	MultiCurveBootstrap.bootstrap(LocalDate valuationDate, List<CurveInstrument> instruments, CurveInterpolation interpolation)	A self-discounting curve (OIS: deposits on the overnight rate and OIS swaps).
static DiscountCurve	MultiCurveBootstrap.bootstrapProjection(LocalDate valuationDate, List<CurveInstrument> instruments, CurveInterpolation interpolation, DiscountCurve discount)	A projection curve, discounting on the fixed discount curve.
static double[]	BootstrapJacobian.bucketedDv01(LocalDate valuationDate, List<CurveInstrument> oisInstruments, List<CurveInstrument> projectionInstruments, CurveInterpolation interpolation, ToDoubleBiFunction<DiscountCurve, DiscountCurve> pv)	Per-quote DV01 with the same contract and ordering as MultiCurveRisk.bucketedDv01(LocalDate, List, List, CurveInterpolation, ToDoubleBiFunction): the PV change for +1bp in each quote, OIS quotes first, by the implicit-function Jacobian.
static double[]	MultiCurveRisk.bucketedDv01(LocalDate valuationDate, List<CurveInstrument> oisInstruments, List<CurveInstrument> projectionInstruments, CurveInterpolation interpolation, ToDoubleBiFunction<DiscountCurve, DiscountCurve> pv)	Per-quote DV01, OIS quotes first then projection quotes.
static CurvePair	MultiCurveRisk.buildCurves(LocalDate valuationDate, List<CurveInstrument> oisInstruments, List<CurveInstrument> projectionInstruments, CurveInterpolation interpolation)	Builds the curve pair: OIS from oisInstruments, projection from projectionInstruments discounted on it (the OIS curve itself when that list is empty).
static double[]	MultiCurveRisk.keyRateDv01(LocalDate valuationDate, List<CurveInstrument> oisInstruments, List<CurveInstrument> projectionInstruments, CurveInterpolation interpolation, ToDoubleBiFunction<DiscountCurve, DiscountCurve> pv, double[] keyTenorsYears)	Key-rate DV01s at keyTenorsYears (strictly increasing, ACT/365F years); one value per key.
static double	MultiCurveRisk.parallelDv01(LocalDate valuationDate, List<CurveInstrument> oisInstruments, List<CurveInstrument> projectionInstruments, CurveInterpolation interpolation, ToDoubleBiFunction<DiscountCurve, DiscountCurve> pv)	DV01 for a +1bp move in every quote.
static double[][]	BootstrapJacobian.quoteJacobian(CurvePair curves, List<CurveInstrument> oisInstruments, List<CurveInstrument> projectionInstruments)	dI_k/dY_j: rows are the OIS instruments then the projection instruments (input order), columns the OIS curve pillars then the projection curve pillars (pillar order).