Building a OIS yield curve in QuantLib Java

Simple OIS curve build

This example illustrates building an Overnight Index Swap based curve. With the phase-out of the use of survey-base rate benchmarks such as Libor these swaps are now the primary means of building the interest rates curves.

package demo;

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import java.util.ArrayList;

import org.quantlib.*;

public class IRSwap {

    public static ArrayList<RateHelper> mkOISHelpers(double rates[],
                             int times[],
                             TimeUnit units[])
    var res = new ArrayList<RateHelper>();
    var index = new Sofr();

    for (int i=0; i<rates.length; ++i) {
        var h =  new OISRateHelper(2,
                       new Period(times[i], units[i]),
                       new QuoteHandle(new SimpleQuote(rates[i])),
    return res;

    static public final Date today = new Date(5, Month.June, 2020);
    public void main() throws Exception {


    double ycrate[] = {0.01, 0.01, 0.01, 0.01};
    int ycInt[]    =  { 2, 4, 6, 8};
    TimeUnit ycUnit[]   = { TimeUnit.Years, TimeUnit.Years, TimeUnit.Years, TimeUnit.Years};

    var rh = mkOISHelpers(ycrate, ycInt, ycUnit);
    var yy = new PiecewiseFlatForward(new Date(1, Month.June, 2020),
                      new RateHelperVector(rh),
                      new Actual360());
    yy.forwardRate(0.0, 0.01, Compounding.Continuous).rate();



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