Uses of Package
com.quantfinlib.rates
Packages that use com.quantfinlib.rates
Package
Description
Credit: the price of default.
FX-specific market machinery — spot conventions through NDFs:
CurrencyPair (pip/precision tables, T+1/T+2
spot lags, dual-calendar tenor dates with modified-following and end-end),
SwapPointsCurve (quoted forward points →
outrights, broken dates linear in days, covered-interest-parity carry),
FxSwap (near/far legs, points MTM, roll cost),
Ndf (fixing vs settlement lags per restricted
currency, USD-settled difference amounts),
FxVolSurface (delta-quoted smiles — ATM DNS,
RR/BF wings, premium-adjusted delta↔strike solving),
FixingRisk (WM/R-window TWAP/VWAP tracking
error and participation), and the hot-path pieces:
AggregatedBook (zero-alloc multi-venue BBO
with venue attribution), CrossRateEngine
(streaming synthetic crosses chained on the bus consumer thread),
FxTierBook (per-LP size-tier ladders:
sweep cost and full-amount quotes), LpScorecard
(streaming last-look analytics: reject rate, hold, post-reject markout),
LpRouter (expected-all-in routing that prices
rejects into the decision) and SyntheticCross
(direct-vs-legs execution arithmetic with spread composition).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).-
Classes in com.quantfinlib.rates used by com.quantfinlib.creditClassDescriptionZero-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.
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Classes in com.quantfinlib.rates used by com.quantfinlib.fxClassDescriptionBusiness-day calendar: weekends plus a holiday set, with the standard roll conventions, settlement-lag arithmetic, and coupon schedule generation.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.
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Classes in com.quantfinlib.rates used by com.quantfinlib.ratesClassDescriptionBusiness-day calendar: weekends plus a holiday set, with the standard roll conventions, settlement-lag arithmetic, and coupon schedule generation.Date roll conventions for payment dates landing on non-business days.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.Fitted parameters plus the fit's root-mean-square error.Fitted parameters plus the fit's root-mean-square error.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.