Package com.quantfinlib.rates

package com.quantfinlib.rates

Fixed income with real market conventions: 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), 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.
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.
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.
KeyRateDurations	Key-rate durations — WHERE on the curve a bond's rate risk lives.
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.
RatesOptions	RATES VOLATILITY products priced off the curve — the bridge between YieldCurve (where forwards and discount factors live) and pricing.Black76 (the market-standard lognormal quoter for anything written on a forward rate).
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.
SwapPricer	VANILLA interest-rate swap pricing off the YieldCurve — the missing middle between the curve (which the bootstrap builds FROM par swaps) and RatesOptions (which prices options ON forward swaps): the PV, par rate and DV01 of an actual swap position.
YieldCurve	Zero-coupon yield curve — the single most load-bearing object in fixed income: every bond price, swap value, forward rate and DV01 is a function of it.