| Package | Description |
|---|---|
| net.finmath.modelling.descriptor |
Provides interface separating implementation from specification (of models and products)
|
| net.finmath.time |
Provides interfaces and classes for time discretizations, tenors and (swap) schedule generation.
|
| Modifier and Type | Method and Description |
|---|---|
ScheduleDescriptor |
InterestRateSwapLegProductDescriptor.getLegScheduleDescriptor()
Return the descriptor of the schedule of this product descriptor.
|
| Constructor and Description |
|---|
InterestRateSwapLegProductDescriptor(String forwardCurveName,
String discountCurveName,
ScheduleDescriptor legSchedule,
double[] notionals,
double[] spreads,
boolean isNotionalExchanged)
Create the descriptor with notional and spread variable between periods.
|
InterestRateSwapLegProductDescriptor(String forwardCurveName,
String discountCurveName,
ScheduleDescriptor legSchedule,
double notional,
double spread,
boolean isNotionalExchanged)
Create the descriptor with period uniform notional and spread.
|
| Modifier and Type | Method and Description |
|---|---|
ScheduleDescriptor |
SchedulePrototype.generateScheduleDescriptor(LocalDate startDate,
LocalDate endDate)
Generate a schedule descriptor for the given start and end date.
|
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