public class DiscountFactorDiscountCurve extends DiscountCurve
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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DiscountFactorDiscountCurve(java.lang.String strCurrency,
Span span)
DiscountFactorDiscountCurve constructor
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Modifier and Type | Method and Description |
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CalibratableComponent[] |
calibComp()
Retrieve the Calibration Components
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DiscountCurve |
customTweakManifestMeasure(ResponseValueTweakParams rvtp)
Create a LatentState Instance from the Manifest Measure Tweak Parameters
|
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 |
forward(double dblDate1,
double dblDate2)
Compute the Forward Rate between two Dates
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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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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 strInstrumentCode)
Retrieve the Manifest Measure of the given Instrument used to construct the Curve
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DiscountFactorDiscountCurve |
parallelShiftManifestMeasure(double dblShift)
Create a LatentState Instance from the Manifest Measure Parallel Shift
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DiscountFactorDiscountCurve |
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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DiscountFactorDiscountCurve |
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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canonicalTruthness, compPVDFJack, compPVDFJack, currency, df, df, effectiveDF, effectiveDF, effectiveDF, epoch, estimateMeasure, forward, getForwardRateJack, getForwardRateJack, getZeroRateJack, getZeroRateJack, jackDDFDQuote, jackDDFDQuote, libor, libor, libor, libor, liborDV01, name, setTurns, turnAdjust, zero
getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer
public DiscountFactorDiscountCurve(java.lang.String strCurrency, Span span) throws java.lang.Exception
strCurrency
- Currencyspan
- The Span Instancejava.lang.Exception
public double df(double dblDate) throws java.lang.Exception
DiscountFactorEstimator
dblDate
- 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 zero(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 java.lang.String latentStateQuantificationMetric()
DiscountCurve
latentStateQuantificationMetric
in class DiscountCurve
public DiscountFactorDiscountCurve parallelShiftManifestMeasure(double dblShift)
LatentState
dblShift
- Parallel shift of the Manifest Measurepublic DiscountFactorDiscountCurve shiftManifestMeasure(int iSpanIndex, double dblShift)
LatentState
iSpanIndex
- Index into the Span that identifies the InstrumentdblShift
- Shift of the Manifest Measurepublic DiscountCurve customTweakManifestMeasure(ResponseValueTweakParams rvtp)
LatentState
rvtp
- Manifest Measure Tweak Parameterspublic DiscountFactorDiscountCurve parallelShiftQuantificationMetric(double dblShift)
LatentState
dblShift
- Parallel shift of the Quantification Metricpublic Curve customTweakQuantificationMetric(ResponseValueTweakParams rvtp)
LatentState
rvtp
- Quantification Metric Tweak Parameterspublic WengertJacobian jackDDFDQuote(double dblDate)
DiscountCurve
jackDDFDQuote
in class DiscountCurve
dblDate
- Datepublic boolean setCCIS(CurveConstructionInputSet ccis)
Curve
ccis
- The Curve Construction Input Set Parameterspublic CalibratableComponent[] calibComp()
Curve
public LatentStateMetricMeasure[] lsmm()
LatentState
public double manifestMeasure(java.lang.String strInstrumentCode) throws java.lang.Exception
Curve
strInstrumentCode
- The Calibration Instrument's Code whose Manifest Measure is soughtjava.lang.Exception
public byte[] serialize()
Serializer
serialize
in class Serializer
public Serializer deserialize(byte[] ab)
Serializer
deserialize
in class Serializer