Uses of Record Class
com.quantfinlib.rates.CurvePair

Packages that use CurvePair

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

Uses of CurvePair in com.quantfinlib.rates

Methods in com.quantfinlib.rates that return CurvePair

Modifier and Type	Method	Description
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).

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

Modifier and Type	Method	Description
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).