Module net.finmath.lib
Package net.finmath.marketdata.model.bond
package net.finmath.marketdata.model.bond
Provides classes related to the modeling of Bond curves.
See Beier/Fries (2017).
 Author:
 Christian Fries, Moritz Scherrmann

ClassDescriptionImplements the valuation of a bond (zerocoupon, fixed coupon or floating coupon) with unit notional of 1 using curves: a forward curve, if the bond has floating rate coupons a discount curve as a base curve for discounting a survival probability curve for additional credit risk related discount factor a basis factor curve for additional bond related discount factor Support for day counting is provided via the class implementing
Schedule
.Implements the bond curve as a curve object, seeCurve
. 
EnumDescriptionPossible curve types, where the first term stands for the reference discount curve and the second term stands for the spread curve.