I have discount factors and corresponding dates. How do I build a curve in Strata?
I would like to hard-code the disc factors and dates in my class and not use any curve groups or csv files.
Thanks.
You would create an instance of InterpolatedNodalCurve
. The metadata can be created using Curves.discountFactors(...)
. To perform pricing you will then create an instance of ImmutableRatesProvider
using the curves.
Hope that helps
Stephen