public interface DiscountFactorEstimator
Modifier and Type | Method and Description |
---|---|
double |
df(double dblDate)
Calculate the Discount Factor to the given Date
|
double |
df(JulianDate dt)
Calculate the discount factor to the given date
|
double |
df(java.lang.String strTenor)
Calculate the Discount Factor to the given Tenor
|
double |
effectiveDF(double dblDate1,
double dblDate2)
Compute the time-weighted discount factor between 2 dates
|
double |
effectiveDF(JulianDate dt1,
JulianDate dt2)
Compute the time-weighted discount factor between 2 dates
|
double |
effectiveDF(java.lang.String strTenor1,
java.lang.String strTenor2)
Compute the time-weighted discount factor between 2 tenors
|
JulianDate |
epoch()
Retrieve the Starting (Epoch) Date
|
double |
estimateMeasure(double dblDate)
Estimates the estimated calibrated measure value for the given date
|
double |
forward(double dblDate1,
double dblDate2)
Compute the Forward Rate between two Dates
|
double |
forward(java.lang.String strTenor1,
java.lang.String strTenor2)
Compute the Forward Rate between two Tenors
|
double |
libor(double dblDate)
Calculate the LIBOR to the given date
|
double |
libor(double dblDt1,
double dblDt2)
Compute the LIBOR between 2 dates
|
double |
libor(java.lang.String strTenor)
Calculate the LIBOR to the given tenor
|
double |
libor(java.lang.String strTenor1,
java.lang.String strTenor2)
Calculate LIBOR between 2 tenors
|
double |
liborDV01(double dblDate)
Calculate the LIBOR DV01 to the given date
|
double |
zero(double dblDate)
Calculate the implied rate to the given date
|
double |
zero(java.lang.String strTenor)
Calculate the implied rate to the given tenor
|
JulianDate epoch()
double df(double dblDate) throws java.lang.Exception
dblDate
- Datejava.lang.Exception
- Thrown if the Discount Factor cannot be calculateddouble df(JulianDate dt) throws java.lang.Exception
dt
- Datejava.lang.Exception
- Thrown if the discount factor cannot be calculateddouble df(java.lang.String strTenor) throws java.lang.Exception
strTenor
- Tenorjava.lang.Exception
- Thrown if the Discount Factor cannot be calculateddouble effectiveDF(double dblDate1, double dblDate2) throws java.lang.Exception
dblDate1
- First DatedblDate2
- Second Datejava.lang.Exception
- Thrown if the discount factor cannot be calculateddouble effectiveDF(JulianDate dt1, JulianDate dt2) throws java.lang.Exception
dt1
- First Datedt2
- Second Datejava.lang.Exception
- Thrown if the discount factor cannot be calculateddouble effectiveDF(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 calculateddouble forward(double dblDate1, double dblDate2) throws java.lang.Exception
dblDate1
- First DatedblDate2
- Second Datejava.lang.Exception
- Thrown if the Forward Rate cannot be calculateddouble forward(java.lang.String strTenor1, java.lang.String strTenor2) throws java.lang.Exception
strTenor1
- Tenor StartstrTenor2
- Tenor Endjava.lang.Exception
- Thrown if the Forward Rate cannot be calculateddouble zero(double dblDate) throws java.lang.Exception
dblDate
- Datejava.lang.Exception
- Thrown if the discount factor cannot be calculateddouble zero(java.lang.String strTenor) throws java.lang.Exception
strTenor
- Tenorjava.lang.Exception
- Thrown if the discount factor cannot be calculateddouble libor(double dblDt1, double dblDt2) throws java.lang.Exception
dblDt1
- First DatedblDt2
- Second Datejava.lang.Exception
- Thrown if the discount factor cannot be calculateddouble libor(double dblDate) throws java.lang.Exception
dblDate
- Datejava.lang.Exception
- Thrown if LIBOR cannot be calculateddouble libor(java.lang.String strTenor) throws java.lang.Exception
strTenor
- Tenorjava.lang.Exception
- Thrown if LIBOR cannot be calculateddouble libor(java.lang.String strTenor1, java.lang.String strTenor2) throws java.lang.Exception
strTenor1
- Tenor startstrTenor2
- Tenor endjava.lang.Exception
double liborDV01(double dblDate) throws java.lang.Exception
dblDate
- Datejava.lang.Exception
- Thrown if LIBOR DV01 cannot be calculateddouble estimateMeasure(double dblDate) throws java.lang.Exception
dblDate
- Datejava.lang.Exception
- Thrown if the estimated calibrated measure value cannot be computed