org.drip.analytics.definition

Class MarketSurface

java.lang.Object

org.drip.analytics.definition.MarketSurface

All Implemented Interfaces:

Curve, LatentState

Direct Known Subclasses:

BasisSplineMarketSurface

public abstract class MarketSurface
extends java.lang.Object
implements Curve

MarketSurface exposes the stub that implements the market surface that holds the latent state's Evolution parameters.

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
CalibratableComponent[]	calibComp() Retrieve the Calibration Components
java.lang.String	currency() Get the Currency
LatentState	customTweakManifestMeasure(java.lang.String strManifestMeasure, ManifestMeasureTweak rvtp) Create a LatentState Instance from the Manifest Measure Tweak Parameters
LatentState	customTweakQuantificationMetric(ManifestMeasureTweak rvtp) Create a LatentState Instance from the Quantification Metric Tweak Parameters
JulianDate	epoch() Get the Epoch Date
LatentStateLabel	label() Get the Curve Latent State Identifier Label
CaseInsensitiveTreeMap<java.lang.Double>	manifestMeasure(java.lang.String strInstr) Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve
NodeStructure	maturityAnchorTermStructure(java.lang.String strTenorAnchor) Extract the Term Structure Constructed at the Maturity Anchor Tenor
abstract double	node(double dblX, double dblY) Get the Market Node given the X and the Y Ordinates
double	node(double dblStrike, java.lang.String strTenor) Get the Market Node given the Strike and the Tenor
LatentState	parallelShiftManifestMeasure(java.lang.String strManifestMeasure, 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, java.lang.String strManifestMeasure, double dblShift) Create a LatentState Instance from the Shift of the Specified Manifest Measure
abstract NodeStructure	xAnchorTermStructure(double dblXAnchor) Extract the Term Structure Constructed at the X Anchor Node
abstract NodeStructure	yAnchorTermStructure(double dblYAnchor) Extract the Term Structure Constructed at the Y Anchor Node

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

label

public LatentStateLabel label()

Description copied from interface: Curve

Get the Curve Latent State Identifier Label

Specified by:

label in interface Curve

Returns:

The Curve Latent State Identifier Label

currency

public java.lang.String currency()

Description copied from interface: Curve

Get the Currency

Specified by:

currency in interface Curve

Returns:

Currency

epoch

public JulianDate epoch()

Description copied from interface: Curve

Get the Epoch Date

Specified by:

epoch in interface Curve

Returns:

The Epoch Date

setCCIS

public boolean setCCIS(CurveConstructionInputSet ccis)

Description copied from interface: Curve

Set the Curve Construction Input Set Parameters

Specified by:

setCCIS in interface Curve

Parameters:

ccis - The Curve Construction Input Set Parameters

Returns:

TRUE - Inputs successfully Set

calibComp

public CalibratableComponent[] calibComp()

Description copied from interface: Curve

Retrieve the Calibration Components

Specified by:

calibComp in interface Curve

Returns:

Array of Calibration Components

manifestMeasure

public CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure(java.lang.String strInstr)

Description copied from interface: Curve

Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve

Specified by:

manifestMeasure in interface Curve

Parameters:

strInstr - The Calibration Instrument's Code whose Manifest Measure Map is sought

Returns:

The Manifest Measure Map of the given Instrument used to construct the Curve

parallelShiftManifestMeasure

public LatentState parallelShiftManifestMeasure(java.lang.String strManifestMeasure,
                                                double dblShift)

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Parallel Shift

Specified by:

parallelShiftManifestMeasure in interface LatentState

Parameters:

strManifestMeasure - The Specified Manifest Measure

dblShift - Parallel shift of the Manifest Measure

Returns:

New LatentState Instance corresponding to the Parallel Shifted Manifest Measure

shiftManifestMeasure

public LatentState shiftManifestMeasure(int iSpanIndex,
                                        java.lang.String strManifestMeasure,
                                        double dblShift)

Description copied from interface: LatentState

Create a LatentState Instance from the Shift of the Specified Manifest Measure

Specified by:

shiftManifestMeasure in interface LatentState

Parameters:

iSpanIndex - Index into the Span that identifies the Instrument

strManifestMeasure - The Specified Manifest Measure

dblShift - Shift of the Manifest Measure

Returns:

New LatentState Instance corresponding to the Shift of the Specified Manifest Measure

customTweakManifestMeasure

public LatentState customTweakManifestMeasure(java.lang.String strManifestMeasure,
                                              ManifestMeasureTweak rvtp)

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Tweak Parameters

Specified by:

customTweakManifestMeasure in interface LatentState

Parameters:

strManifestMeasure - The Specified Manifest Measure

rvtp - Manifest Measure Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Manifest Measure

parallelShiftQuantificationMetric

public LatentState parallelShiftQuantificationMetric(double dblShift)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Parallel Shift

Specified by:

parallelShiftQuantificationMetric in interface LatentState

Parameters:

dblShift - Parallel shift of the Quantification Metric

Returns:

New LatentState Instance corresponding to the Parallel Shifted Quantification Metric

customTweakQuantificationMetric

public LatentState customTweakQuantificationMetric(ManifestMeasureTweak rvtp)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Tweak Parameters

Specified by:

customTweakQuantificationMetric in interface LatentState

Parameters:

rvtp - Quantification Metric Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Quantification Metric

node

public abstract double node(double dblX,
                            double dblY)
                     throws java.lang.Exception

Get the Market Node given the X and the Y Ordinates

Parameters:

dblX - X

dblY - Y

Returns:

The Latent State Metric Value evaluated from the Surface

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

node

public double node(double dblStrike,
                   java.lang.String strTenor)
            throws java.lang.Exception

Get the Market Node given the Strike and the Tenor

Parameters:

dblStrike - The Strike

strTenor - The Maturity Tenor

Returns:

The Volatility evaluated from the Volatility Surface

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

xAnchorTermStructure

public abstract NodeStructure xAnchorTermStructure(double dblXAnchor)

Extract the Term Structure Constructed at the X Anchor Node

Parameters:

dblXAnchor - The X Anchor Node

Returns:

The Term Structure Constructed at the X Anchor Node

yAnchorTermStructure

public abstract NodeStructure yAnchorTermStructure(double dblYAnchor)

Extract the Term Structure Constructed at the Y Anchor Node

Parameters:

dblYAnchor - The Y Anchor

Returns:

The Term Structure Constructed at the Y Anchor Node

maturityAnchorTermStructure

public NodeStructure maturityAnchorTermStructure(java.lang.String strTenorAnchor)

Extract the Term Structure Constructed at the Maturity Anchor Tenor

Parameters:

strTenorAnchor - The Anchor Tenor

Returns:

The Term Structure Constructed at the Maturity Anchor Tenor