Uses of Package
com.quantfinlib.rates

Packages that use com.quantfinlib.rates

Package	Description
com.quantfinlib.credit	Credit curves, CDS pricing and credit spreads.
com.quantfinlib.fx	FX market conventions and instruments, from spot dates to NDFs.
com.quantfinlib.rates	Fixed income: curves, bonds, swaps, day counts and calendars, with market conventions.

Classes in com.quantfinlib.rates used by com.quantfinlib.credit

Class	Description
BusinessCalendar	Business-day calendar: weekends plus a holiday set, with the standard roll conventions, settlement-lag arithmetic, and coupon schedule generation.
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.
YieldCurve	Zero-coupon yield curve.

Classes in com.quantfinlib.rates used by com.quantfinlib.fx

Class	Description
BusinessCalendar	Business-day calendar: weekends plus a holiday set, with the standard roll conventions, settlement-lag arithmetic, and coupon schedule generation.
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.
YieldCurve	Zero-coupon yield curve.

Classes in com.quantfinlib.rates used by com.quantfinlib.rates

Class	Description
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.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).
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.
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.
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.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).
Svensson.Fit	Fitted parameters plus the fit's root-mean-square error.
YieldCurve	Zero-coupon yield curve.