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

baseRate
double
adjustment
double

Methods

double adjustedRate()
double adjustmentBp()

Adjustment in basis points.