public abstract class ForwardCurve extends Serializer implements ForwardRateEstimator, Curve
NULL_SER_STRING, VERSION
Modifier and Type | Method and Description |
---|---|
CalibratableComponent[] |
calibComp()
Retrieve the Calibration Components
|
java.lang.String |
currency()
Get the Currency
|
LatentState |
customTweakManifestMeasure(ResponseValueTweakParams rvtp)
Create a LatentState Instance from the Manifest Measure Tweak Parameters
|
LatentState |
customTweakQuantificationMetric(ResponseValueTweakParams rvtp)
Create a LatentState Instance from the Quantification Metric Tweak Parameters
|
JulianDate |
epoch()
Get the Epoch Date
|
double |
forward(JulianDate dt)
Calculate the Forward Rate to the given date
|
double |
forward(java.lang.String strTenor)
Calculate the Forward Rate to the tenor implied by the given date
|
FloatingRateIndex |
index()
Retrieve the Forward Rate Index
|
LatentStateMetricMeasure[] |
lsmm()
Retrieve the Array of the LSMM
|
double |
manifestMeasure(java.lang.String strInstrumentCode)
Retrieve the Manifest Measure of the given Instrument used to construct the Curve
|
java.lang.String |
name()
Get the Curve Name
|
LatentState |
parallelShiftManifestMeasure(double dblShift)
Create a LatentState Instance from the Manifest Measure Parallel Shift
|
LatentState |
parallelShiftQuantificationMetric(double dblShift)
Create a LatentState Instance from the Quantification Metric Parallel Shift
|
boolean |
setCCIS(CurveConstructionInputSet ccis)
Set the Curve Construction Input Set Parameters
|
LatentState |
shiftManifestMeasure(int iSpanIndex,
double dblShift)
Create a LatentState Instance from the Shift of the Specified Manifest Measure
|
java.lang.String |
tenor()
Retrieve the Forward Rate Tenor
|
deserialize, getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer, serialize
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
forward
public java.lang.String name()
Curve
public java.lang.String currency()
Curve
public JulianDate epoch()
Curve
public java.lang.String tenor()
ForwardRateEstimator
tenor
in interface ForwardRateEstimator
public FloatingRateIndex index()
index
in interface ForwardRateEstimator
public double forward(JulianDate dt) throws java.lang.Exception
ForwardRateEstimator
forward
in interface ForwardRateEstimator
dt
- Datejava.lang.Exception
- Thrown if the Forward Rate cannot be calculatedpublic double forward(java.lang.String strTenor) throws java.lang.Exception
forward
in interface ForwardRateEstimator
strTenor
- The Tenorjava.lang.Exception
- Thrown if the Forward Rate cannot be calculatedpublic boolean setCCIS(CurveConstructionInputSet ccis)
Curve
public CalibratableComponent[] calibComp()
Curve
public double manifestMeasure(java.lang.String strInstrumentCode) throws java.lang.Exception
Curve
manifestMeasure
in interface Curve
strInstrumentCode
- The Calibration Instrument's Code whose Manifest Measure is soughtjava.lang.Exception
public LatentStateMetricMeasure[] lsmm()
LatentState
lsmm
in interface LatentState
public LatentState parallelShiftManifestMeasure(double dblShift)
LatentState
parallelShiftManifestMeasure
in interface LatentState
dblShift
- Parallel shift of the Manifest Measurepublic LatentState shiftManifestMeasure(int iSpanIndex, double dblShift)
LatentState
shiftManifestMeasure
in interface LatentState
iSpanIndex
- Index into the Span that identifies the InstrumentdblShift
- Shift of the Manifest Measurepublic LatentState customTweakManifestMeasure(ResponseValueTweakParams rvtp)
LatentState
customTweakManifestMeasure
in interface LatentState
rvtp
- Manifest Measure Tweak Parameterspublic LatentState parallelShiftQuantificationMetric(double dblShift)
LatentState
parallelShiftQuantificationMetric
in interface LatentState
dblShift
- Parallel shift of the Quantification Metricpublic LatentState customTweakQuantificationMetric(ResponseValueTweakParams rvtp)
LatentState
customTweakQuantificationMetric
in interface LatentState
rvtp
- Quantification Metric Tweak Parameters