Thanks and welcome.
CalibrationCheckExample uses the Strata calculation engine to calibrate and manage market data. With that approach there is no specific need to get forward rate or discount factors manually. Instead, you declare the measures needed,
Measure.PRESENT_VALUE in the case of the example. The calculation engine will calibrate the curves and then calculate the measures on the specified trades. You might find a class like
FraPricingExample easier to follow to see how the trades and measures are passed into the engine (note that
FraPricingExample does not calibrate curves, but that is just because we kept the examples separate).
If you want to work at a lower level, you can call the calibrator yourself,
CurveCalibrator, which will return an
ImmutableRatesProvider which can be queried for the curves. To obtain discount factors, we recommend wrapping the curve in an instance of
DiscountFactors.of(). To obtain forward rates, we recommend wrapping the discount factors in an instance of
OvernigtIndexRates. Note however, that the pricers in
strata-pricer work in terms of
ImmutableRatesProvider, and only use
Hope this helps, and happy to guide further, or feel free to contact us for commercial support.