public class NonlinearDiscountFactorDiscountCurve extends ExplicitBootDiscountCurve
LATENT_STATE_DISCOUNT, QUANTIFICATION_METRIC_DISCOUNT_FACTOR, QUANTIFICATION_METRIC_FORWARD_RATE, QUANTIFICATION_METRIC_ZERO_RATE
NULL_SER_STRING, VERSION
Constructor and Description |
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NonlinearDiscountFactorDiscountCurve(byte[] ab)
NonlinearDiscountFactorDiscountCurve de-serialization from input byte array
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NonlinearDiscountFactorDiscountCurve(JulianDate dtStart,
java.lang.String strCurrency,
double[] adblDate,
double[] adblRate)
Construct NonlinearDiscountFactorDiscountCurve instance from an array of dates and forward rates
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Modifier and Type | Method and Description |
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boolean |
bumpNodeValue(int iNodeIndex,
double dblValue)
Bump the node value at the node specified the index by the value
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NonlinearDiscountFactorDiscountCurve |
createBasisRateShiftedCurve(double[] adblDate,
double[] adblBasis)
Create a shifted curve from an array of basis shifts
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ExplicitBootDiscountCurve |
customTweakManifestMeasure(ResponseValueTweakParams rvtp)
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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double |
df(double dblDate)
Calculate the Discount Factor to the given Date
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double |
forward(double dblDate1,
double dblDate2)
Compute the Forward Rate between two Dates
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ForwardRateEstimator |
forwardRateEstimator(double dblDate,
FloatingRateIndex fri)
Retrieve the Forward Curve that might be implied by the Latent State of this Discount Curve Instance
corresponding to the specified Floating Rate Index
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double |
getCalibrationMetric()
Calculate the calibration metric for the node
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boolean |
initializeCalibrationRun(double dblLeftSlope) |
WengertJacobian |
jackDDFDQuote(double dblDate)
Retrieve the Quote Jacobian of the Discount Factor to the given date
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java.lang.String |
latentStateQuantificationMetric()
Retrieve the Latent State Quantification Metric
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NonlinearDiscountFactorDiscountCurve |
parallelShiftManifestMeasure(double dblShift)
Create a LatentState Instance from the Manifest Measure Parallel Shift
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NonlinearDiscountFactorDiscountCurve |
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 |
setFlatValue(double dblValue)
Set the flat value across all the nodes
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boolean |
setNodeValue(int iNodeIndex,
double dblNodeDF)
Set the Value/Slope at the Node specified by the Index
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NonlinearDiscountFactorDiscountCurve |
shiftManifestMeasure(int iSpanIndex,
double dblShift)
Create a LatentState Instance from the Shift of the Specified Manifest Measure
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double |
zero(double dblDate)
Calculate the implied rate to the given date
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calibComp, lsmm, manifestMeasure, setCCIS
canonicalTruthness, compPVDFJack, compPVDFJack, currency, df, df, effectiveDF, effectiveDF, effectiveDF, epoch, estimateMeasure, forward, getForwardRateJack, getForwardRateJack, getZeroRateJack, getZeroRateJack, jackDDFDQuote, jackDDFDQuote, libor, libor, libor, libor, liborDV01, name, setTurns, turnAdjust, zero
getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer
public NonlinearDiscountFactorDiscountCurve(JulianDate dtStart, java.lang.String strCurrency, double[] adblDate, double[] adblRate) throws java.lang.Exception
dtStart
- Epoch DatestrCurrency
- CurrencyadblDate
- Array of DatesadblRate
- Array of Forward Ratesjava.lang.Exception
- Thrown if the curve cannot be createdpublic NonlinearDiscountFactorDiscountCurve(byte[] ab) throws java.lang.Exception
ab
- Byte Arrayjava.lang.Exception
- Thrown if NonlinearDiscountFactorDiscountCurve cannot be properly
de-serializedpublic double df(double dblDate) throws java.lang.Exception
DiscountFactorEstimator
dblDate
- Datejava.lang.Exception
- Thrown if the Discount Factor cannot be calculatedpublic double forward(double dblDate1, double dblDate2) throws java.lang.Exception
DiscountFactorEstimator
dblDate1
- First DatedblDate2
- Second Datejava.lang.Exception
- Thrown if the Forward Rate cannot be calculatedpublic double zero(double dblDate) throws java.lang.Exception
DiscountFactorEstimator
dblDate
- Datejava.lang.Exception
- Thrown if the discount factor cannot be calculatedpublic ForwardRateEstimator forwardRateEstimator(double dblDate, FloatingRateIndex fri)
DiscountCurve
forwardRateEstimator
in class DiscountCurve
fri
- The Floating Rate Indexpublic NonlinearDiscountFactorDiscountCurve parallelShiftManifestMeasure(double dblShift)
LatentState
dblShift
- Parallel shift of the Manifest Measurepublic NonlinearDiscountFactorDiscountCurve shiftManifestMeasure(int iSpanIndex, double dblShift)
LatentState
iSpanIndex
- Index into the Span that identifies the InstrumentdblShift
- Shift of the Manifest Measurepublic ExplicitBootDiscountCurve customTweakManifestMeasure(ResponseValueTweakParams rvtp)
LatentState
rvtp
- Manifest Measure Tweak Parameterspublic NonlinearDiscountFactorDiscountCurve parallelShiftQuantificationMetric(double dblShift)
LatentState
dblShift
- Parallel shift of the Quantification Metricpublic Curve customTweakQuantificationMetric(ResponseValueTweakParams rvtp)
LatentState
rvtp
- Quantification Metric Tweak Parameterspublic NonlinearDiscountFactorDiscountCurve createBasisRateShiftedCurve(double[] adblDate, double[] adblBasis)
ExplicitBootDiscountCurve
createBasisRateShiftedCurve
in class ExplicitBootDiscountCurve
adblDate
- Array of datesadblBasis
- Array of basispublic java.lang.String latentStateQuantificationMetric()
DiscountCurve
latentStateQuantificationMetric
in class DiscountCurve
public WengertJacobian jackDDFDQuote(double dblDate)
DiscountCurve
jackDDFDQuote
in class DiscountCurve
dblDate
- Datepublic boolean setNodeValue(int iNodeIndex, double dblNodeDF)
ExplicitBootCurve
iNodeIndex
- Node IndexdblNodeDF
- Node Valuepublic boolean bumpNodeValue(int iNodeIndex, double dblValue)
ExplicitBootCurve
iNodeIndex
- node indexdblValue
- node bump valuepublic boolean setFlatValue(double dblValue)
ExplicitBootCurve
dblValue
- node valuepublic boolean initializeCalibrationRun(double dblLeftSlope)
public double getCalibrationMetric() throws java.lang.Exception
java.lang.Exception
public byte[] serialize()
Serializer
serialize
in class Serializer
public Serializer deserialize(byte[] ab)
Serializer
deserialize
in class Serializer