Uses of Enum Class
com.quantfinlib.rates.CurveInterpolation

Packages that use CurveInterpolation

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

Uses of CurveInterpolation in com.quantfinlib.rates

Subclasses with type arguments of type CurveInterpolation in com.quantfinlib.rates

Modifier and Type	Class	Description
enum	CurveInterpolation	How a DiscountCurve fills in between its pillars.

Methods in com.quantfinlib.rates that return CurveInterpolation

Modifier and Type	Method	Description
CurveInterpolation	DiscountCurve.interpolation()
static CurveInterpolation	CurveInterpolation.valueOf(String name)	Returns the enum constant of this class with the specified name.
static CurveInterpolation[]	CurveInterpolation.values()	Returns an array containing the constants of this enum class, in the order they are declared.

Methods in com.quantfinlib.rates with parameters of type CurveInterpolation

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 DiscountCurve	DiscountCurve.of(LocalDate valuationDate, double[] times, double[] discountFactors, CurveInterpolation interpolation)	A curve from pillar times (ACT/365F years after valuationDate, strictly increasing, positive) and their discount factors (positive).
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.