Docs / nablatensor-quant / com.nablatensor.quant.adjust
record
Adjustment
A rate adjustment to be added to a base forward rate, and the resulting adjustedRate. The sign convention is "add to the forward": an in-arrears LIBOR fixing has a positive adjustment, a Eurodollar futures convexity adjustment is quoted as the (positive) amount by which the futures rate exceeds the forward.
Record components
Methods
double adjustedRate()
double adjustmentBp()
Adjustment in basis points.