public class DerivedZeroRate extends ZeroCurve
LATENT_STATE_DISCOUNT, QUANTIFICATION_METRIC_DISCOUNT_FACTOR, QUANTIFICATION_METRIC_FORWARD_RATE, QUANTIFICATION_METRIC_ZERO_RATE
NULL_SER_STRING, VERSION
Constructor and Description |
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DerivedZeroRate(byte[] ab)
DerivedZeroRate de-serialization from input byte array
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DerivedZeroRate(int iFreqZC,
java.lang.String strDCZC,
java.lang.String strCalendarZC,
boolean bApplyEOMAdjZC,
java.util.List<CashflowPeriod> lsCouponPeriod,
double dblWorkoutDate,
double dblCashPayDate,
DiscountCurve dc,
QuotingParams quotingParams,
double dblZCBump)
DerivedZeroRate constructor from period, work-out, settle, and quoting parameters
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Modifier and Type | Method and Description |
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CalibratableComponent[] |
calibComp()
Retrieve the Calibration Components
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java.lang.String |
currency()
Get the Currency
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Curve |
customTweakManifestMeasure(ResponseValueTweakParams mmtp)
Create a LatentState Instance from the Manifest Measure Tweak Parameters
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Curve |
customTweakQuantificationMetric(ResponseValueTweakParams rvtp)
Create a LatentState Instance from the Quantification Metric Tweak Parameters
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Serializer |
deserialize(byte[] ab)
De-serialize from a byte array.
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double |
df(double dblDate)
Calculate the Discount Factor to the given Date
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double |
effectiveDF(double dblDate1,
double dblDate2)
Compute the time-weighted discount factor between 2 dates
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double |
effectiveDF(JulianDate dt1,
JulianDate dt2)
Compute the time-weighted discount factor between 2 dates
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double |
effectiveDF(java.lang.String strTenor1,
java.lang.String strTenor2)
Compute the time-weighted discount factor between 2 tenors
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JulianDate |
epoch()
Retrieve the Starting (Epoch) Date
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double |
forward(double dblDate1,
double dblDate2)
Compute the Forward Rate between two Dates
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double |
forward(java.lang.String strTenor1,
java.lang.String strTenor2)
Compute the Forward Rate between two Tenors
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ForwardRateEstimator |
forwardRateEstimator(double dblDate,
FloatingRateIndex fri)
Retrieve the Forward Curve that might be implied by the Latent State of this Discount Curve Instance
corresponding to the specified Floating Rate Index
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double |
getZeroRate(double dblDate)
Retrieve the zero rate corresponding to the given date
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WengertJacobian |
jackDDFDQuote(double dblDate)
Retrieve the Quote Jacobian of the Discount Factor to the given date
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java.lang.String |
latentStateQuantificationMetric()
Retrieve the Latent State Quantification Metric
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LatentStateMetricMeasure[] |
lsmm()
Retrieve the Array of the LSMM
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double |
manifestMeasure(java.lang.String strInstr)
Retrieve the Manifest Measure of the given Instrument used to construct the Curve
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java.lang.String |
name()
Get the Curve Name
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Curve |
parallelShiftManifestMeasure(double dblShift)
Create a LatentState Instance from the Manifest Measure Parallel Shift
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DiscountCurve |
parallelShiftQuantificationMetric(double dblShift)
Create a LatentState Instance from the Quantification Metric Parallel Shift
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byte[] |
serialize()
Serialize into a byte array.
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boolean |
setCCIS(CurveConstructionInputSet ccis)
Set the Curve Construction Input Set Parameters
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Curve |
shiftManifestMeasure(int iSpanIndex,
double dblShift)
Create a LatentState Instance from the Shift of the Specified Manifest Measure
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double |
zero(double dblDate)
Calculate the implied rate to the given date
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double |
zero(java.lang.String strTenor)
Calculate the implied rate to the given tenor
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canonicalTruthness, compPVDFJack, compPVDFJack, df, df, estimateMeasure, getForwardRateJack, getForwardRateJack, getZeroRateJack, getZeroRateJack, jackDDFDQuote, jackDDFDQuote, libor, libor, libor, libor, liborDV01, setTurns, turnAdjust
getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer
public DerivedZeroRate(int iFreqZC, java.lang.String strDCZC, java.lang.String strCalendarZC, boolean bApplyEOMAdjZC, java.util.List<CashflowPeriod> lsCouponPeriod, double dblWorkoutDate, double dblCashPayDate, DiscountCurve dc, QuotingParams quotingParams, double dblZCBump) throws java.lang.Exception
iFreqZC
- Zero Curve FrequencystrDCZC
- Zero Curve Day CountstrCalendarZC
- Zero Curve CalendarbApplyEOMAdjZC
- Zero Coupon EOM Adjustment FlaglsCouponPeriod
- List of bond coupon periodsdblWorkoutDate
- Work-out datedblCashPayDate
- Cash-Pay Datedc
- Discount CurvequotingParams
- Quoting ParametersdblZCBump
- DC Bumpjava.lang.Exception
public DerivedZeroRate(byte[] ab) throws java.lang.Exception
ab
- Byte Arrayjava.lang.Exception
- Thrown if DerivedZeroRate cannot be properly de-serializedpublic double df(double dblDate) throws java.lang.Exception
DiscountFactorEstimator
dblDate
- Datejava.lang.Exception
- Thrown if the Discount Factor cannot be calculatedpublic ForwardRateEstimator forwardRateEstimator(double dblDate, FloatingRateIndex fri)
DiscountCurve
forwardRateEstimator
in class DiscountCurve
fri
- The Floating Rate Indexpublic WengertJacobian jackDDFDQuote(double dblDate)
DiscountCurve
jackDDFDQuote
in class DiscountCurve
dblDate
- Datepublic double getZeroRate(double dblDate) throws java.lang.Exception
ZeroCurve
getZeroRate
in class ZeroCurve
dblDate
- Date for which the zero rate is requestedjava.lang.Exception
- Thrown if the date is not represented in the mappublic LatentStateMetricMeasure[] lsmm()
LatentState
public java.lang.String latentStateQuantificationMetric()
DiscountCurve
latentStateQuantificationMetric
in class DiscountCurve
public double manifestMeasure(java.lang.String strInstr) throws java.lang.Exception
Curve
strInstr
- The Calibration Instrument's Code whose Manifest Measure is soughtjava.lang.Exception
public CalibratableComponent[] calibComp()
Curve
public java.lang.String name()
Curve
name
in interface Curve
name
in class DiscountCurve
public Curve parallelShiftManifestMeasure(double dblShift)
LatentState
dblShift
- Parallel shift of the Manifest Measurepublic Curve shiftManifestMeasure(int iSpanIndex, double dblShift)
LatentState
iSpanIndex
- Index into the Span that identifies the InstrumentdblShift
- Shift of the Manifest Measurepublic Curve customTweakManifestMeasure(ResponseValueTweakParams mmtp)
LatentState
mmtp
- Manifest Measure Tweak Parameterspublic JulianDate epoch()
DiscountFactorEstimator
epoch
in interface Curve
epoch
in interface DiscountFactorEstimator
epoch
in class DiscountCurve
public boolean setCCIS(CurveConstructionInputSet ccis)
Curve
ccis
- The Curve Construction Input Set Parameterspublic DiscountCurve parallelShiftQuantificationMetric(double dblShift)
LatentState
dblShift
- Parallel shift of the Quantification Metricpublic Curve customTweakQuantificationMetric(ResponseValueTweakParams rvtp)
LatentState
rvtp
- Quantification Metric Tweak Parameterspublic java.lang.String currency()
Curve
currency
in interface Curve
currency
in class DiscountCurve
public double effectiveDF(double dblDate1, double dblDate2) throws java.lang.Exception
DiscountFactorEstimator
effectiveDF
in interface DiscountFactorEstimator
effectiveDF
in class DiscountCurve
dblDate1
- First DatedblDate2
- Second Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic double effectiveDF(JulianDate dt1, JulianDate dt2) throws java.lang.Exception
DiscountFactorEstimator
effectiveDF
in interface DiscountFactorEstimator
effectiveDF
in class DiscountCurve
dt1
- First Datedt2
- Second Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic double effectiveDF(java.lang.String strTenor1, java.lang.String strTenor2) throws java.lang.Exception
DiscountFactorEstimator
effectiveDF
in interface DiscountFactorEstimator
effectiveDF
in class DiscountCurve
strTenor1
- First DatestrTenor2
- Second Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic double forward(double dblDate1, double dblDate2) throws java.lang.Exception
DiscountFactorEstimator
dblDate1
- First DatedblDate2
- Second Datejava.lang.Exception
- Thrown if the Forward Rate cannot be calculatedpublic double forward(java.lang.String strTenor1, java.lang.String strTenor2) throws java.lang.Exception
DiscountFactorEstimator
forward
in interface DiscountFactorEstimator
forward
in class DiscountCurve
strTenor1
- Tenor StartstrTenor2
- Tenor Endjava.lang.Exception
- Thrown if the Forward Rate cannot be calculatedpublic double zero(double dblDate) throws java.lang.Exception
DiscountFactorEstimator
dblDate
- Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic double zero(java.lang.String strTenor) throws java.lang.Exception
DiscountFactorEstimator
zero
in interface DiscountFactorEstimator
zero
in class DiscountCurve
strTenor
- Tenorjava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic byte[] serialize()
Serializer
serialize
in class Serializer
public Serializer deserialize(byte[] ab)
Serializer
deserialize
in class Serializer