YieldCurve

A zero-coupon yield curve: continuously-compounded zero rates at ascending pillar times, linearly interpolated in the zero rate and flat-extrapolated at both ends.

Host-side infrastructure (plain double); the risk story is CurveBootstrap, which produces one of these from par quotes together with the analytic d(zero) / d(quote) Jacobian.

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Record components

pillars: double[]
zeroRates: double[]

Methods

double zeroRate(double t)

Zero rate at t.

double discountFactor(double t)

Discount factor P(0, t) = exp(-z(t) t).

double forwardRate(double t1, double t2)

Continuously-compounded forward rate between t1 and t2.

double parSwapRate(double[] times, double[] tau)

Par rate of a fixed-for-float swap with fixed-leg accruals tau at ascending times times (times[i] paying tau[i]).

String toString()