public class DerivedZeroRate extends ZeroCurve
NULL_SER_STRING, VERSION
Constructor and Description |
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DerivedZeroRate(byte[] ab)
DerivedZeroCurve 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<CouponPeriod> lsCouponPeriod,
double dblWorkoutDate,
double dblCashPayDate,
DiscountCurve dc,
QuotingParams quotingParams,
double dblZCBump)
ZeroCurve constructor from period, work-out, settle, and quoting parameters
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Modifier and Type | Method and Description |
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boolean |
buildInterpolator()
Build the interpolator post the curve sweeping build
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boolean |
bumpNodeValue(int iIndex,
double dblValue)
Bump the node value at the node specified the index by the value
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double |
calcImpliedRate(double dblDate)
Calculate the implied rate to the given date
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double |
calcImpliedRate(double dblDt1,
double dblDt2)
Compute the implied rate between 2 dates
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double |
calcImpliedRate(java.lang.String strTenor)
Calculate the implied rate to the given tenor
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double |
calcImpliedRate(java.lang.String strTenor1,
java.lang.String strTenor2)
Calculate the implied rate between 2 tenors
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DiscountCurve |
createBasisRateShiftedCurve(double[] adblDate,
double[] adblBasis)
Create a shifted curve from an array of basis shifts
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DiscountCurve |
createParallelRateShiftedCurve(double dblShift)
Create a parallel rate shifted discount curve
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Curve |
createParallelShiftedCurve(double dblShift)
Create a parallel quote shifted curve
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Curve |
createTweakedCurve(NodeTweakParams ntp)
Create the curve from the tweaked parameters
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Serializer |
deserialize(byte[] ab)
De-serialize from a byte array.
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java.lang.String |
displayString()
Get the display String - mostly for informational purposes
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CalibratableComponent[] |
getCalibComponents()
Retrieve all the calibration components
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java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
getCalibFixings()
Retrieve the fixings object for calibration using floater instruments
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java.lang.String[] |
getCompMeasures()
Retrieve all the calibration measures
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double[] |
getCompQuotes()
Retrieve all the calibration quotes
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java.lang.String |
getCurrency()
Get the currency
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double |
getDF(double dblDate)
Calculate the discount factor to the given date
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double |
getDF(JulianDate dt)
Calculate the discount factor to the given date
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double |
getDF(java.lang.String strTenor)
Calculate the discount factor to the given tenor
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WengertJacobian |
getDFJacobian(double dblDate)
Retrieve the Jacobian for the DF to the given date
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double |
getEffectiveDF(double dblDate1,
double dblDate2)
Compute the time-weighted discount factor between 2 dates
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double |
getEffectiveDF(JulianDate dt1,
JulianDate dt2)
Compute the time-weighted discount factor between 2 dates
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double |
getEffectiveDF(java.lang.String strTenor1,
java.lang.String strTenor2)
Compute the time-weighted discount factor between 2 tenors
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java.lang.String |
getName()
Gets the curve name
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JulianDate |
getNodeDate(int iIndex)
Get the date at the node specified by the index
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double |
getQuote(java.lang.String strInstr)
Retrieve the calibration quote of the given instrument
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JulianDate |
getStartDate()
Get the epoch date
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double |
getZeroRate(double dblDate)
Retrieve the zero rate corresponding to the given date
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int |
numCalibNodes()
Retrieve the number of calibration nodes
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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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void |
setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams)
Set the calibration inputs
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boolean |
setNodeValue(int iIndex,
double dblValue)
Set the Value/Slope at the Node specified by the Index
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initializeCalibrationRun
calcLIBOR, calcLIBOR, calcLIBOR, calcLIBOR, calcLIBORDV01, compPVDFJacobian, compPVDFJacobian, compPVQuoteJacobian, compPVQuoteJacobian, compQuoteDFJacobian, compQuoteDFJacobian, compQuoteZeroJacobian, compQuoteZeroJacobian, getDFJacobian, getDFJacobian, getForwardRateJacobian, getForwardRateJacobian, getZeroRateJacobian, getZeroRateJacobian, interpMeasure
getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer
public DerivedZeroRate(int iFreqZC, java.lang.String strDCZC, java.lang.String strCalendarZC, boolean bApplyEOMAdjZC, java.util.List<CouponPeriod> 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 DerivedZeroCurve cannot be properly de-serializedpublic int numCalibNodes()
Curve
public java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> getCalibFixings()
DiscountCurve
getCalibFixings
in class DiscountCurve
public double getDF(double dblDate) throws java.lang.Exception
DiscountCurve
getDF
in class DiscountCurve
dblDate
- Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic WengertJacobian getDFJacobian(double dblDate)
DiscountCurve
getDFJacobian
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 boolean setNodeValue(int iIndex, double dblValue)
Curve
iIndex
- Node IndexdblValue
- Node Valuepublic boolean bumpNodeValue(int iIndex, double dblValue)
Curve
iIndex
- node indexdblValue
- node bump valuepublic boolean setFlatValue(double dblValue)
Curve
dblValue
- node valuepublic java.lang.String displayString()
Curve
public double[] getCompQuotes()
Curve
public java.lang.String[] getCompMeasures()
Curve
public double getQuote(java.lang.String strInstr) throws java.lang.Exception
Curve
java.lang.Exception
public JulianDate getNodeDate(int iIndex)
Curve
iIndex
- node indexpublic CalibratableComponent[] getCalibComponents()
Curve
public java.lang.String getName()
Curve
public Curve createParallelShiftedCurve(double dblShift)
Curve
dblShift
- Parallel shiftpublic Curve createTweakedCurve(NodeTweakParams ntp)
Curve
ntp
- Node Tweak Parameterspublic JulianDate getStartDate()
Curve
public void setInstrCalibInputs(ValuationParams valParam, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing, QuotingParams quotingParams)
DiscountCurve
setInstrCalibInputs
in class DiscountCurve
valParam
- ValuationParamsaCalibInst
- Array of calibration instrumentsadblCalibQuote
- Array of calibration quotesastrCalibMeasure
- Array of calibration measuresmmFixing
- Fixings mappublic DiscountCurve createParallelRateShiftedCurve(double dblShift)
DiscountCurve
createParallelRateShiftedCurve
in class DiscountCurve
dblShift
- Parallel shiftpublic DiscountCurve createBasisRateShiftedCurve(double[] adblDate, double[] adblBasis)
DiscountCurve
createBasisRateShiftedCurve
in class DiscountCurve
adblDate
- Array of datesadblBasis
- Array of basispublic java.lang.String getCurrency()
DiscountCurve
getCurrency
in class DiscountCurve
public double getDF(JulianDate dt) throws java.lang.Exception
DiscountCurve
getDF
in class DiscountCurve
dt
- Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic double getDF(java.lang.String strTenor) throws java.lang.Exception
DiscountCurve
getDF
in class DiscountCurve
strTenor
- Tenorjava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic double getEffectiveDF(double dblDate1, double dblDate2) throws java.lang.Exception
DiscountCurve
getEffectiveDF
in class DiscountCurve
dblDate1
- First DatedblDate2
- Second Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic double getEffectiveDF(JulianDate dt1, JulianDate dt2) throws java.lang.Exception
DiscountCurve
getEffectiveDF
in class DiscountCurve
dt1
- First Datedt2
- Second Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic double getEffectiveDF(java.lang.String strTenor1, java.lang.String strTenor2) throws java.lang.Exception
DiscountCurve
getEffectiveDF
in class DiscountCurve
strTenor1
- First DatestrTenor2
- Second Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic double calcImpliedRate(double dblDt1, double dblDt2) throws java.lang.Exception
DiscountCurve
calcImpliedRate
in class DiscountCurve
dblDt1
- First DatedblDt2
- Second Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic double calcImpliedRate(double dblDate) throws java.lang.Exception
DiscountCurve
calcImpliedRate
in class DiscountCurve
dblDate
- Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic double calcImpliedRate(java.lang.String strTenor) throws java.lang.Exception
DiscountCurve
calcImpliedRate
in class DiscountCurve
strTenor
- Tenorjava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic double calcImpliedRate(java.lang.String strTenor1, java.lang.String strTenor2) throws java.lang.Exception
DiscountCurve
calcImpliedRate
in class DiscountCurve
strTenor1
- Tenor startstrTenor2
- Tenor endjava.lang.Exception
public byte[] serialize()
Serializer
serialize
in class Serializer
public Serializer deserialize(byte[] ab)
Serializer
deserialize
in class Serializer
public boolean buildInterpolator()
Curve