public abstract class DiscountCurve extends Serializer implements Curve
NULL_SER_STRING, VERSION
Constructor and Description |
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DiscountCurve() |
Modifier and Type | Method and Description |
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abstract double |
calcImpliedRate(double dblDate)
Calculate the implied rate to the given date
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abstract double |
calcImpliedRate(double dblDt1,
double dblDt2)
Compute the implied rate between 2 dates
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abstract double |
calcImpliedRate(java.lang.String strTenor)
Calculate the implied rate to the given tenor
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abstract double |
calcImpliedRate(java.lang.String strTenor1,
java.lang.String strTenor2)
Calculate the implied rate between 2 tenors
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double |
calcLIBOR(double dblDate)
Calculate the LIBOR to the given date
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double |
calcLIBOR(double dblDt1,
double dblDt2)
Compute the LIBOR between 2 dates
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double |
calcLIBOR(java.lang.String strTenor)
Calculate the LIBOR to the given tenor
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double |
calcLIBOR(java.lang.String strTenor1,
java.lang.String strTenor2)
Calculate LIBOR between 2 tenors
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double |
calcLIBORDV01(double dblDate)
Calculate the LIBOR DV01 to the given date
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WengertJacobian |
compPVDFJacobian(double dblDate)
Calculate the Jacobian of PV at the given date for each component in the calibration set to the DF
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WengertJacobian |
compPVDFJacobian(JulianDate dt)
Calculate the Jacobian of PV at the given date for each component in the calibration set to the DF
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WengertJacobian |
compPVQuoteJacobian(double dblDate)
Calculate the Jacobian of Component PV at the given date for each component in the calibration set to
the Component Quote
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WengertJacobian |
compPVQuoteJacobian(JulianDate dt)
Calculate the Jacobian of Component PV at the given date for each component in the calibration set to
the Component Quote
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WengertJacobian |
compQuoteDFJacobian(double dblDate)
Calculate the Jacobian of Component Quote at the given date for each component in the calibration set
to the DF
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WengertJacobian |
compQuoteDFJacobian(JulianDate dt)
Calculate the Jacobian of Component Quote at the given date for each component in the calibration set
to the DF
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WengertJacobian |
compQuoteZeroJacobian(double dblDate)
Calculate the Jacobian of Component Quote at the given date for each component in the calibration set
to the Zero Rate
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WengertJacobian |
compQuoteZeroJacobian(JulianDate dt)
Calculate the Jacobian of Component Quote at the given date for each component in the calibration set
to the Zero Rate
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abstract DiscountCurve |
createBasisRateShiftedCurve(double[] adblDate,
double[] adblBasis)
Create a shifted curve from an array of basis shifts
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abstract DiscountCurve |
createParallelRateShiftedCurve(double dblShift)
Create a parallel rate shifted discount curve
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abstract java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
getCalibFixings()
Retrieve the fixings object for calibration using floater instruments
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abstract java.lang.String |
getCurrency()
Get the currency
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abstract 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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abstract WengertJacobian |
getDFJacobian(double dblDate)
Retrieve the Jacobian for the DF to the given date
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WengertJacobian |
getDFJacobian(JulianDate dt)
Retrieve the Jacobian for the DF for the given date
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WengertJacobian |
getDFJacobian(java.lang.String strTenor)
Retrieve the Jacobian for the DF for the given tenor
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abstract double |
getEffectiveDF(double dblDate1,
double dblDate2)
Compute the time-weighted discount factor between 2 dates
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abstract double |
getEffectiveDF(JulianDate dt1,
JulianDate dt2)
Compute the time-weighted discount factor between 2 dates
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abstract double |
getEffectiveDF(java.lang.String strTenor1,
java.lang.String strTenor2)
Compute the time-weighted discount factor between 2 tenors
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WengertJacobian |
getForwardRateJacobian(double dblDate1,
double dblDate2)
Retrieve the Jacobian for the Forward Rate between the given dates
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WengertJacobian |
getForwardRateJacobian(JulianDate dt1,
JulianDate dt2)
Retrieve the Jacobian for the Forward Rate between the given dates
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WengertJacobian |
getZeroRateJacobian(double dblDate)
Retrieve the Jacobian for the Zero Rate to the given date
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WengertJacobian |
getZeroRateJacobian(JulianDate dt)
Retrieve the Jacobian for the Zero Rate to the given date
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double |
interpMeasure(double dblDate)
Estimates the Interpolated calibrated measure value for the given date
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abstract 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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deserialize, getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer, serialize
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
buildInterpolator, bumpNodeValue, createParallelShiftedCurve, createTweakedCurve, displayString, getCalibComponents, getCompMeasures, getCompQuotes, getName, getNodeDate, getQuote, getStartDate, initializeCalibrationRun, numCalibNodes, setFlatValue, setNodeValue
public abstract void setInstrCalibInputs(ValuationParams valParam, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing, QuotingParams quotingParams)
valParam
- ValuationParamsaCalibInst
- Array of calibration instrumentsadblCalibQuote
- Array of calibration quotesastrCalibMeasure
- Array of calibration measuresmmFixing
- Fixings mappublic abstract DiscountCurve createParallelRateShiftedCurve(double dblShift)
dblShift
- Parallel shiftpublic abstract DiscountCurve createBasisRateShiftedCurve(double[] adblDate, double[] adblBasis)
adblDate
- Array of datesadblBasis
- Array of basispublic abstract java.lang.String getCurrency()
public abstract double getDF(double dblDate) throws java.lang.Exception
dblDate
- Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic abstract WengertJacobian getDFJacobian(double dblDate)
dblDate
- Datepublic abstract double getEffectiveDF(double dblDate1, double dblDate2) throws java.lang.Exception
dblDate1
- First DatedblDate2
- Second Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic abstract double getEffectiveDF(JulianDate dt1, JulianDate dt2) throws java.lang.Exception
dt1
- First Datedt2
- Second Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic abstract double getEffectiveDF(java.lang.String strTenor1, java.lang.String strTenor2) throws java.lang.Exception
strTenor1
- First DatestrTenor2
- Second Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic abstract double calcImpliedRate(double dblDt1, double dblDt2) throws java.lang.Exception
dblDt1
- First DatedblDt2
- Second Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic abstract double calcImpliedRate(double dblDate) throws java.lang.Exception
dblDate
- Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic abstract double calcImpliedRate(java.lang.String strTenor) throws java.lang.Exception
strTenor
- Tenorjava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic abstract double calcImpliedRate(java.lang.String strTenor1, java.lang.String strTenor2) throws java.lang.Exception
strTenor1
- Tenor startstrTenor2
- Tenor endjava.lang.Exception
public abstract java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> getCalibFixings()
public WengertJacobian compPVDFJacobian(JulianDate dt)
dt
- Date for which the Jacobian is neededpublic WengertJacobian compQuoteDFJacobian(double dblDate)
dblDate
- Date for which the Jacobian is neededpublic WengertJacobian compQuoteDFJacobian(JulianDate dt)
dt
- Date for which the Jacobian is neededpublic WengertJacobian compQuoteZeroJacobian(double dblDate)
dblDate
- Date for which the Jacobian is neededpublic WengertJacobian compQuoteZeroJacobian(JulianDate dt)
dt
- Date for which the Jacobian is neededpublic WengertJacobian compPVQuoteJacobian(double dblDate)
dblDate
- Date for which the Jacobian is neededpublic WengertJacobian compPVQuoteJacobian(JulianDate dt)
dt
- Date for which the Jacobian is neededpublic WengertJacobian getForwardRateJacobian(double dblDate1, double dblDate2)
dblDate1
- Date 1dblDate2
- Date 2public WengertJacobian getForwardRateJacobian(JulianDate dt1, JulianDate dt2)
dt1
- Julian Date 1dt2
- Julian Date 2public WengertJacobian getZeroRateJacobian(double dblDate)
dblDate
- Datepublic WengertJacobian getZeroRateJacobian(JulianDate dt)
dt
- Julian Datepublic double getDF(JulianDate dt) throws java.lang.Exception
dt
- Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic WengertJacobian getDFJacobian(JulianDate dt)
dt
- Datepublic double getDF(java.lang.String strTenor) throws java.lang.Exception
strTenor
- Tenorjava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic WengertJacobian getDFJacobian(java.lang.String strTenor)
strTenor
- Tenorpublic WengertJacobian compPVDFJacobian(double dblDate)
dblDate
- Date for which the Jacobian is neededpublic double calcLIBOR(double dblDt1, double dblDt2) throws java.lang.Exception
dblDt1
- First DatedblDt2
- Second Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic double calcLIBOR(double dblDate) throws java.lang.Exception
dblDate
- Datejava.lang.Exception
- Thrown if LIBOR cannot be calculatedpublic double calcLIBORDV01(double dblDate) throws java.lang.Exception
dblDate
- Datejava.lang.Exception
- Thrown if LIBOR cannot be calculatedpublic double calcLIBOR(java.lang.String strTenor) throws java.lang.Exception
strTenor
- Tenorjava.lang.Exception
- Thrown if LIBOR cannot be calculatedpublic double calcLIBOR(java.lang.String strTenor1, java.lang.String strTenor2) throws java.lang.Exception
strTenor1
- Tenor startstrTenor2
- Tenor endjava.lang.Exception
public double interpMeasure(double dblDate) throws java.lang.Exception
dblDate
- Datejava.lang.Exception
- Thrown if the Interpolated calibrated measure value cannot be computed