Class InterestRateAnalyticProductFactory

java.lang.Object
net.finmath.modelling.productfactory.InterestRateAnalyticProductFactory
All Implemented Interfaces:
ProductFactory<InterestRateProductDescriptor>

public class InterestRateAnalyticProductFactory extends Object implements ProductFactory<InterestRateProductDescriptor>
Product factory of interest rate derivatives for use with an analytic model.
Author:
Christian Fries, Roland Bachl
  • Constructor Details

    • InterestRateAnalyticProductFactory

      public InterestRateAnalyticProductFactory(LocalDate referenceDate)
      Initialize the factory with the given referenceDate.
      Parameters:
      referenceDate - To be used when converting absolute dates to relative dates in double.
  • Method Details