org.drip.analytics.support

Class ForwardDecompositionUtil

java.lang.Object

org.drip.analytics.support.ForwardDecompositionUtil

public class ForwardDecompositionUtil
extends java.lang.Object

ForwardDecompositionUtil contains the utility functions needed to carry out periodic decomposition at MTM sync points for the given stream.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ForwardDecompositionUtil()

Method Summary

Modifier and Type	Method and Description
static CalibratableComponent[]	CalibratableFixedIncomeComponentForwardArray(CalibratableComponent rc) Decompose the Rates Component into an Array of Single Forward Rates Components
static CalibratableComponent[]	DualStreamForwardArray(DualStreamComponent dsc) Decompose the Dual Stream Component into an Array of Single Forward Period Dual Streams
static Stream[]	SinglePeriodStreamDecompose(Stream fs, int iNumPeriodsToAccumulate) Decompose the Stream into an Array of Single Forward Period Floating Streams

Methods inherited from class java.lang.Object

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

Constructor Detail

ForwardDecompositionUtil

public ForwardDecompositionUtil()

Method Detail

SinglePeriodStreamDecompose

public static final Stream[] SinglePeriodStreamDecompose(Stream fs,
                                                         int iNumPeriodsToAccumulate)

Decompose the Stream into an Array of Single Forward Period Floating Streams

Parameters:

fs - The Stream

iNumPeriodsToAccumulate - Number of Forward Periods to roll into one

Returns:

The Array of Single Forward Period Streams

DualStreamForwardArray

public static final CalibratableComponent[] DualStreamForwardArray(DualStreamComponent dsc)

Decompose the Dual Stream Component into an Array of Single Forward Period Dual Streams

Parameters:

dsc - The Dual Stream

Returns:

The Array of Single Forward Period Dual Streams

CalibratableFixedIncomeComponentForwardArray

public static final CalibratableComponent[] CalibratableFixedIncomeComponentForwardArray(CalibratableComponent rc)

Decompose the Rates Component into an Array of Single Forward Rates Components

Parameters:

rc - The Rates Component

Returns:

The Array of Single Forward Period Rates Components