Class: Rupee::Curve

Inherits:
Object
  • Object
show all
Includes:
FindInstance
Defined in:
lib/rupee/curve.rb,
lib/rupee/curve/libor_3m.rb

Overview

A class representing a yield or basis curve

Constant Summary collapse

LIBOR_3M = 
Curve.new("3-month LIBOR")

Instance Attribute Summary collapse

Instance Method Summary collapse

Methods included from FindInstance

#find

Constructor Details

#initialize(description = "", opts = {}) ⇒ Curve

Create a new curve


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# File 'lib/rupee/curve.rb', line 16

def initialize(description = "", opts = {})
  opts = {
    :currency      => :usd,
    :interpolation => :cubic_spline
  }.merge opts

  @description   = description
  @currency      = opts[:currency]
  @interpolation = opts[:interpolation]
end

Instance Attribute Details

#currency ⇒ Object (readonly)

The curve’s currency


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# File 'lib/rupee/curve.rb', line 9

def currency
  @currency
end

#description ⇒ Object (readonly)

A description for the curve


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# File 'lib/rupee/curve.rb', line 11

def description
  @description
end

#interpolation ⇒ Object (readonly)

The interpolation method


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# File 'lib/rupee/curve.rb', line 13

def interpolation
  @interpolation
end