public class DerivedFXForward extends FXForwardCurve
NULL_SER_STRING, VERSION
Constructor and Description |
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DerivedFXForward(byte[] ab)
DerivedFXForward de-serialization from input byte array
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DerivedFXForward(CurrencyPair cp,
JulianDate dtSpot,
double dblFXSpot,
double[] adblDate,
double[] adblFXFwd,
boolean[] abIsPIP)
DerivedFXForward from the CurrencyPair, FX Spot, and the FX Forward parameters
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Modifier and Type | Method and Description |
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double[] |
bootstrapBasis(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom)
Bootstrap the basis to the discount curve inputs
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DiscountCurve |
bootstrapBasisDC(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom)
Bootstrap the discount curve from the discount curve inputs
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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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CurrencyPair |
currencyPair()
Return the CurrencyPair
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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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JulianDate |
epoch()
Get the Epoch Date
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double |
fxSpot()
Return the FX Spot
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double[] |
impliedNodeRates(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom)
Calculate the rates implied by the discount curve inputs
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LatentStateMetricMeasure[] |
lsmm()
Retrieve the Array of the LSMM
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static void |
main(java.lang.String[] astrArgs) |
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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Curve |
parallelShiftQuantificationMetric(double dblShift)
Create a LatentState Instance from the Quantification Metric Parallel Shift
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double |
rate(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblDate,
boolean bBasisOnDenom)
Calculate the rate implied by the discount curve inputs to a specified date
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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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JulianDate |
spotDate()
Return the Spot Date
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double[] |
zeroBasis(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom)
Calculate the set of Zero basis given the input discount curves
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getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer
public DerivedFXForward(CurrencyPair cp, JulianDate dtSpot, double dblFXSpot, double[] adblDate, double[] adblFXFwd, boolean[] abIsPIP) throws java.lang.Exception
cp
- CurrencyPairdtSpot
- Spot DatedblFXSpot
- FX Spot RateadblDate
- Array of datesadblFXFwd
- Array of FX ForwardsabIsPIP
- Array of PIP indicatorsjava.lang.Exception
- Creates the FXCurve instancepublic DerivedFXForward(byte[] ab) throws java.lang.Exception
ab
- Byte Arrayjava.lang.Exception
- Thrown if DerivedFXForward cannot be properly de-serializedpublic CurrencyPair currencyPair()
FXForwardCurve
currencyPair
in class FXForwardCurve
public JulianDate spotDate()
FXForwardCurve
spotDate
in class FXForwardCurve
public double fxSpot()
FXForwardCurve
fxSpot
in class FXForwardCurve
public java.lang.String currency()
Curve
public double[] zeroBasis(ValuationParams valParam, DiscountCurve dcNum, DiscountCurve dcDenom, boolean bBasisOnDenom)
FXForwardCurve
zeroBasis
in class FXForwardCurve
valParam
- ValuationParamsdcNum
- Discount Curve NumeratordcDenom
- Discount Curve DenominatorbBasisOnDenom
- True if the basis is calculated on the denominator discount curvepublic double[] bootstrapBasis(ValuationParams valParam, DiscountCurve dcNum, DiscountCurve dcDenom, boolean bBasisOnDenom)
FXForwardCurve
bootstrapBasis
in class FXForwardCurve
valParam
- ValuationParamsdcNum
- Discount Curve NumeratordcDenom
- Discount Curve DenominatorbBasisOnDenom
- True if the basis is calculated on the denominator discount curvepublic DiscountCurve bootstrapBasisDC(ValuationParams valParam, DiscountCurve dcNum, DiscountCurve dcDenom, boolean bBasisOnDenom)
FXForwardCurve
bootstrapBasisDC
in class FXForwardCurve
valParam
- ValuationParamsdcNum
- Discount Curve NumeratordcDenom
- Discount Curve DenominatorbBasisOnDenom
- True if the basis is calculated on the denominator discount curvepublic double rate(ValuationParams valParam, DiscountCurve dcNum, DiscountCurve dcDenom, double dblDate, boolean bBasisOnDenom) throws java.lang.Exception
FXForwardCurve
rate
in class FXForwardCurve
valParam
- ValuationParamsdcNum
- Discount Curve NumeratordcDenom
- Discount Curve DenominatordblDate
- Date to which the implied rate is soughtbBasisOnDenom
- True if the implied rate is calculated on the denominator discount curvejava.lang.Exception
- Thrown if the implied rate cannot be calculatedpublic double[] impliedNodeRates(ValuationParams valParam, DiscountCurve dcNum, DiscountCurve dcDenom, boolean bBasisOnDenom)
FXForwardCurve
impliedNodeRates
in class FXForwardCurve
valParam
- ValuationParamsdcNum
- Discount Curve NumeratordcDenom
- Discount Curve DenominatorbBasisOnDenom
- True if the basis is calculated on the denominator discount curvepublic LatentStateMetricMeasure[] lsmm()
LatentState
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 boolean setCCIS(CurveConstructionInputSet ccis)
Curve
ccis
- The Curve Construction Input Set Parameterspublic CalibratableComponent[] calibComp()
Curve
public java.lang.String name()
Curve
public Curve parallelShiftQuantificationMetric(double dblShift)
LatentState
dblShift
- Parallel shift of the Quantification Metricpublic Curve customTweakQuantificationMetric(ResponseValueTweakParams rvtp)
LatentState
rvtp
- Quantification Metric Tweak Parameterspublic 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()
Curve
public byte[] serialize()
Serializer
serialize
in class Serializer
public Serializer deserialize(byte[] ab)
Serializer
deserialize
in class Serializer
public static void main(java.lang.String[] astrArgs) throws java.lang.Exception
java.lang.Exception