public class FlatForwardDiscountCurve extends ExplicitBootDiscountCurve
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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FlatForwardDiscountCurve(byte[] ab)
FlatForwardDiscountCurve de-serialization from input byte array
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FlatForwardDiscountCurve(JulianDate dtStart,
java.lang.String strCurrency,
double[] adblDate,
double[] adblRate)
Boot-strap a constant forward discount curve from an array of dates and discount rates
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Modifier and Type | Method and Description |
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boolean |
bumpNodeValue(int iNodeIndex,
double dblValue)
Bump the node value at the node specified the index by the value
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java.util.Map<java.lang.Double,java.lang.Double> |
canonicalTruthness(java.lang.String strLatentQuantificationMetric)
Convert the inferred Formulation Constraint into a "Truthness" Entity
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FlatForwardDiscountCurve |
createBasisRateShiftedCurve(double[] adblDate,
double[] adblBasis)
Create a shifted curve from an array of basis shifts
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ExplicitBootDiscountCurve |
customTweakManifestMeasure(ResponseValueTweakParams rvtp)
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 |
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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static void |
main(java.lang.String[] astrArgs) |
FlatForwardDiscountCurve |
parallelShiftManifestMeasure(double dblShift)
Create a LatentState Instance from the Manifest Measure Parallel Shift
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FlatForwardDiscountCurve |
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 |
setFlatValue(double dblValue)
Set the flat value across all the nodes
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boolean |
setNodeValue(int iNodeIndex,
double dblValue)
Set the Value/Slope at the Node specified by the Index
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FlatForwardDiscountCurve |
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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calibComp, lsmm, manifestMeasure, setCCIS
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 FlatForwardDiscountCurve(JulianDate dtStart, java.lang.String strCurrency, double[] adblDate, double[] adblRate) throws java.lang.Exception
dtStart
- Epoch DatestrCurrency
- CurrencyadblDate
- Array of DatesadblRate
- Array of Ratesjava.lang.Exception
- Thrown if the curve cannot be createdpublic FlatForwardDiscountCurve(byte[] ab) throws java.lang.Exception
ab
- Byte Arrayjava.lang.Exception
- Thrown if FlatForwardDiscountCurve 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 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.util.Map<java.lang.Double,java.lang.Double> canonicalTruthness(java.lang.String strLatentQuantificationMetric)
DiscountCurve
canonicalTruthness
in class DiscountCurve
strLatentQuantificationMetric
- Latent State Quantification Metricpublic FlatForwardDiscountCurve parallelShiftManifestMeasure(double dblShift)
LatentState
dblShift
- Parallel shift of the Manifest Measurepublic FlatForwardDiscountCurve shiftManifestMeasure(int iSpanIndex, double dblShift)
LatentState
iSpanIndex
- Index into the Span that identifies the InstrumentdblShift
- Shift of the Manifest Measurepublic ExplicitBootDiscountCurve customTweakManifestMeasure(ResponseValueTweakParams rvtp)
LatentState
rvtp
- Manifest Measure Tweak Parameterspublic FlatForwardDiscountCurve parallelShiftQuantificationMetric(double dblShift)
LatentState
dblShift
- Parallel shift of the Quantification Metricpublic Curve customTweakQuantificationMetric(ResponseValueTweakParams rvtp)
LatentState
rvtp
- Quantification Metric Tweak Parameterspublic FlatForwardDiscountCurve createBasisRateShiftedCurve(double[] adblDate, double[] adblBasis)
ExplicitBootDiscountCurve
createBasisRateShiftedCurve
in class ExplicitBootDiscountCurve
adblDate
- Array of datesadblBasis
- Array of basispublic java.lang.String latentStateQuantificationMetric()
DiscountCurve
latentStateQuantificationMetric
in class DiscountCurve
public WengertJacobian jackDDFDQuote(double dblDate)
DiscountCurve
jackDDFDQuote
in class DiscountCurve
dblDate
- Datepublic boolean setNodeValue(int iNodeIndex, double dblValue)
ExplicitBootCurve
iNodeIndex
- Node IndexdblValue
- Node Valuepublic boolean bumpNodeValue(int iNodeIndex, double dblValue)
ExplicitBootCurve
iNodeIndex
- node indexdblValue
- node bump valuepublic boolean setFlatValue(double dblValue)
ExplicitBootCurve
dblValue
- node valuepublic 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