Package com.quantfinlib.rates

@NullMarked package com.quantfinlib.rates

Fixed income: curves, bonds, swaps, day counts and calendars, with market conventions. The main classes: YieldCurve (zero curve, discount factors, implied forwards, bootstrap from annual par swaps), BondPricer (price/yield, duration, convexity, DV01; both whole-period and date-based with accrued interest), DayCount (ACT/360, ACT/365, 30/360, ACT/ACT ISDA), BusinessCalendar (holidays, roll conventions, T+n settlement, coupon schedules) with rule-based market calendars in HolidayCalendars, ShortRateModels (Vasicek, CIR and curve-fitted Hull-White: closed-form zero-coupon bonds plus the simulation steps a rates-factor Monte Carlo needs) and KeyRateDurations (where on the curve a bond's DV01 lives — per-node bumps whose slices sum back to the parallel move, tested).

Class	Description
BondPricer	Fixed-coupon bond analytics: price/yield conversion, Macaulay and modified duration, convexity, and DV01.
BootstrapJacobian	Bucketed curve risk from the analytic Jacobian of the bootstrap, instead of bumping each quote and rebuilding the curves (MultiCurveRisk).
BusinessCalendar	Business-day calendar: weekends plus a holiday set, with the standard roll conventions, settlement-lag arithmetic, and coupon schedule generation.
BusinessCalendar.Roll	Date roll conventions for payment dates landing on non-business days.
BusinessCalendar.StubType	Where an irregular (stub) period goes when the dates do not divide into whole periods (ISDA 2006 definitions, section 4.14 and market practice).
CurveInstrument	A quoted market instrument a MultiCurveBootstrap fits a curve to.
CurveInterpolation	How a DiscountCurve fills in between its pillars.
CurvePair	A discount curve (OIS) and the projection curve of one index, as built by MultiCurveRisk.buildCurves(LocalDate, List, List, CurveInterpolation).
DayCount	Day-count conventions: the year fraction between two dates as real term sheets define it — because finance never agreed on how long a year is, and the disagreement is worth real money.
Deposit	A cash deposit over [start, end] at simple rate rate: 1 at start grows to 1 + rate * tau at end, tau from dayCount.
DiscountCurve	A dated discount curve P(t) built from pillar discount factors: the object both an OIS discount curve and a projection curve (for example a 3M forwarding curve, a pseudo-discount curve whose ratios give the index forwards) are made of.
FixedLeg	The fixed leg of a VanillaSwap: coupons rate * tau_i paid on each period's payment date, with the schedule, day count, stub and payment lag from a LegConvention.
FixingHistory	Published fixings of one index (for example SOFR), by fixing date.
FloatLeg	The floating leg of a VanillaSwap: either a compounded overnight leg (OvernightLeg, SOFR-style) or a term-rate leg (TermRateLeg, IBOR-style).
Fra	A forward rate agreement on the index period [start, end] at fixed rate rate.
HolidayCalendars	Rule-based holiday calendars for four settlement centres, generated as BusinessCalendar objects for a range of years.
HolidayCalendars.Market	The settlement centres with rule-based calendars.
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).
KeyRateDurations	Key-rate durations: where on the curve a bond's rate risk lives.
LegConvention	The schedule and accrual conventions of one swap leg: how often it pays, how a period's year fraction is measured, which calendar and roll adjust the dates, where a stub goes, and how many business days after the accrual end the payment is made.
LegConvention.Period	One accrual period.
MultiCurveBootstrap	Multi-curve bootstrap: an OIS discount curve fitted to its own instruments, then projection curves (3M, 6M, ...) fitted with the OIS curve held fixed for discounting (Ametrano and Bianchetti 2013, SSRN 2219548, sections 3-4).
MultiCurveRisk	Curve risk on a bootstrapped OIS + projection curve pair by bumping the market quotes and rebuilding: the sensitivities a desk hedges with, because they are expressed in the instruments it can trade.
NelsonSiegel	Nelson-Siegel yield-curve fit — the parametric answer to "what shape is the curve", where YieldCurve is the exact-repricing answer to "what IS the curve".
NelsonSiegel.Fit	Fitted parameters plus the fit's root-mean-square error.
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).
OvernightConvention	How a compounded-in-arrears overnight coupon (SOFR, ESTR, SONIA) reads its daily fixings: lookback, observation shift and lockout, as described in the ISDA 2021 Interest Rate Derivatives Definitions (section 6.9, overnight rate compounding) and the ARRC SOFR conventions.
OvernightLeg	A compounded-in-arrears overnight floating leg (SOFR, ESTR, SONIA) with payment lag, lookback, observation shift, lockout, stubs and realised fixings for seasoned trades.
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.
RatesOptions	Rates volatility products priced off the curve: the bridge between YieldCurve (where forwards and discount factors live) and the option models on a forward rate, pricing.Black76 (lognormal and shifted lognormal) and pricing.Bachelier (normal).
RatesOptions.VolModel	A vol type together with its displacement (0 unless shifted lognormal).
RatesOptions.VolType	Which vol a quote is: lognormal (Black-76), shifted lognormal (Black-76 on forward + shift and strike + shift) or normal (Bachelier).
ShortRateModels	The three classic short-rate models, each answering "what is a zero-coupon bond worth if the short rate follows this SDE?"
Svensson	Svensson (Nelson-Siegel-Svensson) yield-curve fit — NelsonSiegel with a second curvature hump, the form most central banks actually publish (the ECB's daily curve is exactly this):
Svensson.Fit	Fitted parameters plus the fit's root-mean-square error.
TermRateLeg	A term-rate floating leg (IBOR-style, or a term SOFR leg): each coupon is the index rate fixed fixingLagDays business days before the accrual start, plus a spread, paid with the leg's payment lag.
VanillaSwap	A fixed-for-floating swap built from two convention-driven legs: the replacement for the single-curve, annual, tau = 1 methods of the SwapPricer (removed in 4.0).
YieldCurve	Zero-coupon yield curve.