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)
Calculates the implied rate to the given date
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abstract double |
calcImpliedRate(double dblDt1,
double dblDt2)
Computes the implied rate between 2 dates
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abstract double |
calcImpliedRate(java.lang.String strTenor)
Calculates 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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abstract DiscountCurve |
createBasisRateShiftedCurve(double[] adblDate,
double[] adblBasis)
Creates a shifted curve from an array of basis shifts
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abstract DiscountCurve |
createParallelRateShiftedCurve(double dblShift)
Creates a parallel rate shifted discount curve
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abstract java.lang.String |
getCurrency()
Gets the currency
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abstract double |
getDF(double dblDate)
Calculates the discount factor to the given date
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abstract double |
getDF(JulianDate dt)
Calculates the discount factor to the given date
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abstract double |
getDF(java.lang.String strTenor)
Calculates the discount factor to the given tenor
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abstract double |
getEffectiveDF(double dblDate1,
double dblDate2)
Computes the time-weighted discount factor between 2 dates
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abstract double |
getEffectiveDF(JulianDate dt1,
JulianDate dt2)
Computes the time-weighted discount factor between 2 dates
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abstract double |
getEffectiveDF(java.lang.String strTenor1,
java.lang.String strTenor2)
Computes the time-weighted discount factor between 2 tenors
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abstract void |
setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> mmFixing,
QuotingParams quotingParams)
Sets the calibration inputs
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deserialize, getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer, serialize
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
bumpNodeValue, createParallelShiftedCurve, createTweakedCurve, displayString, getCalibComponents, getCompQuotes, getName, getNodeDate, getQuote, getStartDate, setFlatValue, setNodeValue
public abstract void setInstrCalibInputs(ValuationParams valParam, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, java.util.Map<JulianDate,java.util.Map<java.lang.String,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 double getDF(JulianDate dt) throws java.lang.Exception
dt
- Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic abstract double getDF(java.lang.String strTenor) throws java.lang.Exception
strTenor
- Tenorjava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic 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