Examples of YieldAndDiscountCurve


Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve

   * @return The rate.
   */
  public double parRate(final InterestRateFutureTransaction future, final YieldCurveBundle curves) {
    Validate.notNull(future, "Future");
    Validate.notNull(curves, "Curves");
    final YieldAndDiscountCurve forwardCurve = curves.getCurve(future.getForwardCurveName());
    final double forward = (forwardCurve.getDiscountFactor(future.getFixingPeriodStartTime()) / forwardCurve.getDiscountFactor(future.getFixingPeriodEndTime()) - 1)
        / future.getFixingPeriodAccrualFactor();
    return forward;
  }
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.