public class DerivedFXBasis extends FXBasisCurve
NULL_SER_STRING, VERSION
Constructor and Description |
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DerivedFXBasis(byte[] ab)
DerivedFXBasis de-serialization from input byte array
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DerivedFXBasis(CurrencyPair cp,
JulianDate dtSpot,
double dblFXSpot,
double[] adblDate,
double[] adblFXBasis,
boolean bIsFXBasisBootstrapped)
Construct an DerivedFXBasis instance from the currency pair, FX Spot, and FX basis parameters
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Modifier and Type | Method and Description |
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CalibratableComponent[] |
calibComp()
Retrieve the Calibration Components
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java.lang.String |
currency()
Get the Currency
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CurrencyPair |
currencyPair()
Return the currency pair instance
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Curve |
customTweakManifestMeasure(ResponseValueTweakParams mmtp)
Create a LatentState Instance from the Manifest Measure Tweak Parameters
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Curve |
customTweakQuantificationMetric(ResponseValueTweakParams rvtp)
Create a LatentState Instance from the Quantification Metric Tweak Parameters
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Serializer |
deserialize(byte[] ab)
De-serialize from a byte array.
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JulianDate |
epoch()
Get the Epoch Date
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double[] |
fxForward(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom,
boolean bFwdAsPIP)
Return the array of full FX Forwards
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double |
fxSpot()
Get the FX Spot
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boolean |
isBasisBootstrapped()
Return if the inputs are for bootstrapped FX basis
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LatentStateMetricMeasure[] |
lsmm()
Retrieve the Array of the LSMM
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double |
manifestMeasure(java.lang.String strInstr)
Retrieve the Manifest Measure of the given Instrument used to construct the Curve
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java.lang.String |
name()
Get the Curve Name
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Curve |
parallelShiftManifestMeasure(double dblShift)
Create a LatentState Instance from the Manifest Measure Parallel Shift
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Curve |
parallelShiftQuantificationMetric(double dblShift)
Create a LatentState Instance from the Quantification Metric Parallel Shift
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byte[] |
serialize()
Serialize into a byte array.
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boolean |
setCCIS(CurveConstructionInputSet ccis)
Set the Curve Construction Input Set Parameters
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Curve |
shiftManifestMeasure(int iSpanIndex,
double dblShift)
Create a LatentState Instance from the Shift of the Specified Manifest Measure
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JulianDate |
spotDate()
Returns the Spot Date
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getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer
public DerivedFXBasis(CurrencyPair cp, JulianDate dtSpot, double dblFXSpot, double[] adblDate, double[] adblFXBasis, boolean bIsFXBasisBootstrapped) throws java.lang.Exception
cp
- Currency PairdtSpot
- Spot DatedblFXSpot
- FX SpotadblDate
- Array of datesadblFXBasis
- Array of FX BasisbIsFXBasisBootstrapped
- True if the inputs are for bootstrapped FX basisjava.lang.Exception
- Thrown if the FXBasis instance cannot be createdpublic DerivedFXBasis(byte[] ab) throws java.lang.Exception
ab
- Byte Arrayjava.lang.Exception
- Thrown if DerivedFXBasis cannot be properly de-serializedpublic CurrencyPair currencyPair()
FXBasisCurve
currencyPair
in class FXBasisCurve
public JulianDate spotDate()
FXBasisCurve
spotDate
in class FXBasisCurve
public double fxSpot()
FXBasisCurve
fxSpot
in class FXBasisCurve
public java.lang.String currency()
Curve
public boolean isBasisBootstrapped()
FXBasisCurve
isBasisBootstrapped
in class FXBasisCurve
public double[] fxForward(ValuationParams valParam, DiscountCurve dcNum, DiscountCurve dcDenom, boolean bBasisOnDenom, boolean bFwdAsPIP)
FXBasisCurve
fxForward
in class FXBasisCurve
valParam
- ValuationParamsdcNum
- Discount Curve NumeratordcDenom
- Discount Curve NumeratorbBasisOnDenom
- True if the basis is on the denominatorbFwdAsPIP
- True if the FX Forwards are to represented as PIPpublic LatentStateMetricMeasure[] lsmm()
LatentState
public double manifestMeasure(java.lang.String strInstr) throws java.lang.Exception
Curve
strInstr
- The Calibration Instrument's Code whose Manifest Measure is soughtjava.lang.Exception
public boolean setCCIS(CurveConstructionInputSet ccis)
Curve
ccis
- The Curve Construction Input Set Parameterspublic CalibratableComponent[] calibComp()
Curve
public java.lang.String name()
Curve
public Curve parallelShiftQuantificationMetric(double dblShift)
LatentState
dblShift
- Parallel shift of the Quantification Metricpublic Curve customTweakQuantificationMetric(ResponseValueTweakParams rvtp)
LatentState
rvtp
- Quantification Metric Tweak Parameterspublic Curve parallelShiftManifestMeasure(double dblShift)
LatentState
dblShift
- Parallel shift of the Manifest Measurepublic Curve shiftManifestMeasure(int iSpanIndex, double dblShift)
LatentState
iSpanIndex
- Index into the Span that identifies the InstrumentdblShift
- Shift of the Manifest Measurepublic Curve customTweakManifestMeasure(ResponseValueTweakParams mmtp)
LatentState
mmtp
- Manifest Measure Tweak Parameterspublic JulianDate epoch()
Curve
public byte[] serialize()
Serializer
serialize
in class Serializer
public Serializer deserialize(byte[] ab)
Serializer
deserialize
in class Serializer