public class DerivedFXForwardCurve extends FXForwardCurve
NULL_SER_STRING, VERSION
Constructor and Description |
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DerivedFXForwardCurve(byte[] ab)
FXCurve de-serialization from input byte array
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DerivedFXForwardCurve(CurrencyPair cp,
JulianDate dtSpot,
double dblFXSpot,
double[] adblDate,
double[] adblFXFwd,
boolean[] abIsPIP)
Creates an FXCurve 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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boolean |
bumpNodeValue(int iIndex,
double dblValue)
Bumped the node value at the node specified the index by the value
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Curve |
createParallelShiftedCurve(double dblShift)
Creates a parallel quote shifted curve
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Curve |
createTweakedCurve(NodeTweakParams ntp)
Creates 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()
Gets the display String - mostly for informational purposes
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CalibratableComponent[] |
getCalibComponents()
Retrieves all the calibration components
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double[] |
getCompQuotes()
Retrieves all the calibration quotes
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CurrencyPair |
getCurrencyPair()
Returns the CurrencyPair
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double[] |
getFullBasis(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom)
Calculates the set of full basis given the input discount curves
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double |
getFXSpot()
Returns the FX Spot
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java.lang.String |
getName()
Gets the curve name
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JulianDate |
getNodeDate(int iIndex)
Gets 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 |
getSpotDate()
Returns the Spot Date
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JulianDate |
getStartDate()
Gets the epoch date
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static void |
main(java.lang.String[] astrArgs) |
byte[] |
serialize()
Serialize into a byte array.
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boolean |
setFlatValue(double dblValue)
Sets the flat value across all the nodes
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boolean |
setNodeValue(int iIndex,
double dblValue)
Sets the value at the node specified by the index
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getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer
public DerivedFXForwardCurve(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 DerivedFXForwardCurve(byte[] ab) throws java.lang.Exception
ab
- Byte Arrayjava.lang.Exception
- Thrown if FXCurve cannot be properly de-serializedpublic CurrencyPair getCurrencyPair()
FXForwardCurve
getCurrencyPair
in class FXForwardCurve
public JulianDate getSpotDate()
FXForwardCurve
getSpotDate
in class FXForwardCurve
public double getFXSpot()
FXForwardCurve
getFXSpot
in class FXForwardCurve
public double[] getFullBasis(ValuationParams valParam, DiscountCurve dcNum, DiscountCurve dcDenom, boolean bBasisOnDenom)
FXForwardCurve
getFullBasis
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 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 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 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