public abstract class DiscountCurve extends Serializer implements DiscountFactorEstimator, Curve
Modifier and Type | Field and Description |
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static java.lang.String |
LATENT_STATE_DISCOUNT
Discount Latent State
|
static java.lang.String |
QUANTIFICATION_METRIC_DISCOUNT_FACTOR
Discount Latent State Quantification Metric - Discount Factor
|
static java.lang.String |
QUANTIFICATION_METRIC_FORWARD_RATE
Discount Latent State Quantification Metric - Forward Rate
|
static java.lang.String |
QUANTIFICATION_METRIC_ZERO_RATE
Discount Latent State Quantification Metric - Zero Rate
|
NULL_SER_STRING, VERSION
Modifier and Type | Method and Description |
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java.util.Map<java.lang.Double,java.lang.Double> |
canonicalTruthness(java.lang.String strLatentStateQuantificationMetric)
Convert the inferred Formulation Constraint into a "Truthness" Entity
|
WengertJacobian |
compPVDFJack(double dblDate)
Calculate the Jacobian of PV at the given date for each component in the calibration set to the DF
|
WengertJacobian |
compPVDFJack(JulianDate dt)
Calculate the Jacobian of PV at the given date for each component in the calibration set to the DF
|
java.lang.String |
currency()
Get the Currency
|
double |
df(JulianDate dt)
Calculate the discount factor to the given date
|
double |
df(java.lang.String strTenor)
Calculate the Discount Factor to the given Tenor
|
double |
effectiveDF(double dblDate1,
double dblDate2)
Compute the time-weighted discount factor between 2 dates
|
double |
effectiveDF(JulianDate dt1,
JulianDate dt2)
Compute the time-weighted discount factor between 2 dates
|
double |
effectiveDF(java.lang.String strTenor1,
java.lang.String strTenor2)
Compute the time-weighted discount factor between 2 tenors
|
JulianDate |
epoch()
Retrieve the Starting (Epoch) Date
|
double |
estimateMeasure(double dblDate)
Estimates the estimated calibrated measure value for the given date
|
double |
forward(java.lang.String strTenor1,
java.lang.String strTenor2)
Compute the Forward Rate between two Tenors
|
abstract 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
|
WengertJacobian |
getForwardRateJack(double dblDate1,
double dblDate2)
Retrieve the Jacobian for the Forward Rate between the given dates
|
WengertJacobian |
getForwardRateJack(JulianDate dt1,
JulianDate dt2)
Retrieve the Jacobian for the Forward Rate between the given dates
|
WengertJacobian |
getZeroRateJack(double dblDate)
Retrieve the Jacobian for the Zero Rate to the given date
|
WengertJacobian |
getZeroRateJack(JulianDate dt)
Retrieve the Jacobian for the Zero Rate to the given date
|
abstract WengertJacobian |
jackDDFDQuote(double dblDate)
Retrieve the Quote Jacobian of the Discount Factor to the given date
|
WengertJacobian |
jackDDFDQuote(JulianDate dt)
Retrieve the Quote Jacobian of the Discount Factor to the given date
|
WengertJacobian |
jackDDFDQuote(java.lang.String strTenor)
Retrieve the Quote Jacobian of the Discount Factor to the date implied by the given Tenor
|
abstract java.lang.String |
latentStateQuantificationMetric()
Retrieve the Latent State Quantification Metric
|
double |
libor(double dblDate)
Calculate the LIBOR to the given date
|
double |
libor(double dblDt1,
double dblDt2)
Compute the LIBOR between 2 dates
|
double |
libor(java.lang.String strTenor)
Calculate the LIBOR to the given tenor
|
double |
libor(java.lang.String strTenor1,
java.lang.String strTenor2)
Calculate LIBOR between 2 tenors
|
double |
liborDV01(double dblDate)
Calculate the LIBOR DV01 to the given date
|
java.lang.String |
name()
Get the Curve Name
|
boolean |
setTurns(TurnListDiscountFactor tldf)
Set the Discount Curve Turns'
|
double |
turnAdjust(double dblStartDate,
double dblFinishDate)
Apply the Turns' DF Adjustment
|
double |
zero(java.lang.String strTenor)
Calculate the implied rate to the given tenor
|
deserialize, getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer, serialize
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
df, forward, zero
calibComp, manifestMeasure, setCCIS
customTweakManifestMeasure, customTweakQuantificationMetric, lsmm, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, shiftManifestMeasure
public static final java.lang.String LATENT_STATE_DISCOUNT
public static final java.lang.String QUANTIFICATION_METRIC_DISCOUNT_FACTOR
public static final java.lang.String QUANTIFICATION_METRIC_ZERO_RATE
public static final java.lang.String QUANTIFICATION_METRIC_FORWARD_RATE
public java.lang.String name()
Curve
public java.lang.String currency()
Curve
public JulianDate epoch()
DiscountFactorEstimator
epoch
in interface Curve
epoch
in interface DiscountFactorEstimator
public boolean setTurns(TurnListDiscountFactor tldf)
tldf
- Turn List Discount Factorpublic double turnAdjust(double dblStartDate, double dblFinishDate) throws java.lang.Exception
dblStartDate
- Turn Start DatedblFinishDate
- Turn Finish Datejava.lang.Exception
- Thrown if the Inputs are invalidpublic double df(JulianDate dt) throws java.lang.Exception
DiscountFactorEstimator
df
in interface DiscountFactorEstimator
dt
- Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic double df(java.lang.String strTenor) throws java.lang.Exception
DiscountFactorEstimator
df
in interface DiscountFactorEstimator
strTenor
- Tenorjava.lang.Exception
- Thrown if the Discount Factor cannot be calculatedpublic double effectiveDF(double dblDate1, double dblDate2) throws java.lang.Exception
DiscountFactorEstimator
effectiveDF
in interface DiscountFactorEstimator
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
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
strTenor1
- First DatestrTenor2
- Second Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic double forward(java.lang.String strTenor1, java.lang.String strTenor2) throws java.lang.Exception
DiscountFactorEstimator
forward
in interface DiscountFactorEstimator
strTenor1
- Tenor StartstrTenor2
- Tenor Endjava.lang.Exception
- Thrown if the Forward Rate cannot be calculatedpublic double zero(java.lang.String strTenor) throws java.lang.Exception
DiscountFactorEstimator
zero
in interface DiscountFactorEstimator
strTenor
- Tenorjava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic double libor(double dblDt1, double dblDt2) throws java.lang.Exception
DiscountFactorEstimator
libor
in interface DiscountFactorEstimator
dblDt1
- First DatedblDt2
- Second Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic double libor(double dblDate) throws java.lang.Exception
DiscountFactorEstimator
libor
in interface DiscountFactorEstimator
dblDate
- Datejava.lang.Exception
- Thrown if LIBOR cannot be calculatedpublic double libor(java.lang.String strTenor) throws java.lang.Exception
DiscountFactorEstimator
libor
in interface DiscountFactorEstimator
strTenor
- Tenorjava.lang.Exception
- Thrown if LIBOR cannot be calculatedpublic double libor(java.lang.String strTenor1, java.lang.String strTenor2) throws java.lang.Exception
DiscountFactorEstimator
libor
in interface DiscountFactorEstimator
strTenor1
- Tenor startstrTenor2
- Tenor endjava.lang.Exception
public double liborDV01(double dblDate) throws java.lang.Exception
DiscountFactorEstimator
liborDV01
in interface DiscountFactorEstimator
dblDate
- Datejava.lang.Exception
- Thrown if LIBOR DV01 cannot be calculatedpublic double estimateMeasure(double dblDate) throws java.lang.Exception
DiscountFactorEstimator
estimateMeasure
in interface DiscountFactorEstimator
dblDate
- Datejava.lang.Exception
- Thrown if the estimated calibrated measure value cannot be computedpublic abstract ForwardRateEstimator forwardRateEstimator(double dblDate, FloatingRateIndex fri)
fri
- The Floating Rate Indexpublic abstract java.lang.String latentStateQuantificationMetric()
public abstract WengertJacobian jackDDFDQuote(double dblDate)
dblDate
- Datepublic WengertJacobian jackDDFDQuote(JulianDate dt)
dt
- Datepublic WengertJacobian jackDDFDQuote(java.lang.String strTenor)
strTenor
- Tenorpublic WengertJacobian compPVDFJack(double dblDate)
dblDate
- Date for which the Jacobian is neededpublic WengertJacobian compPVDFJack(JulianDate dt)
dt
- Date for which the Jacobian is neededpublic WengertJacobian getForwardRateJack(double dblDate1, double dblDate2)
dblDate1
- Date 1dblDate2
- Date 2public WengertJacobian getForwardRateJack(JulianDate dt1, JulianDate dt2)
dt1
- Julian Date 1dt2
- Julian Date 2public WengertJacobian getZeroRateJack(double dblDate)
dblDate
- Datepublic WengertJacobian getZeroRateJack(JulianDate dt)
dt
- Julian Datepublic java.util.Map<java.lang.Double,java.lang.Double> canonicalTruthness(java.lang.String strLatentStateQuantificationMetric)
strLatentStateQuantificationMetric
- Latent State Quantification Metric