org.drip.feed.transformer

Class FundingFixFloatMarksReconstitutor

java.lang.Object

org.drip.feed.transformer.FundingFixFloatMarksReconstitutor

public class FundingFixFloatMarksReconstitutor
extends java.lang.Object

FundingFixFloatMarksReconstitutor transforms the Funding Instrument Manifest Measures (e.g., Forward Rate for Deposits, Forward Rate for Futures, and Swap Rates for Fix/Float Swap) Feed Inputs into Formats appropriate for Funding Curve Construction and Measure Generation.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
static java.lang.String[]	s_astrDepositTenor The Standard Deposit Maturity Tenors
static java.lang.String[]	s_astrFixFloatTenor The Standard Fix Float Maturity Tenors
static double	s_dblScaler The Standard Funding Input Calibration Manifest Measure Scaler

Constructor Summary

Constructors

Constructor and Description
FundingFixFloatMarksReconstitutor()

Method Summary

Modifier and Type	Method and Description
static boolean	RegularizeMarks(java.lang.String strCurrency, java.util.Map<JulianDate,InstrumentSetTenorQuote> mapISTQ, int iLatentStateType) Dump the Regularized Marks of the ISTQ Map
static boolean	ShapePreservingRegularization(java.lang.String strCurrency, java.lang.String strMarksLocation) Re-constitute the Horizon Quote Marks Using a Shape Preserving Re-constructor
static boolean	SmoothRegularization(java.lang.String strCurrency, java.lang.String strMarksLocation) Re-constitute the Horizon Quote Marks Using a Smooth Re-constructor

Methods inherited from class java.lang.Object

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

Field Detail

s_dblScaler

public static final double s_dblScaler

The Standard Funding Input Calibration Manifest Measure Scaler

See Also:

Constant Field Values

s_astrDepositTenor

public static final java.lang.String[] s_astrDepositTenor

The Standard Deposit Maturity Tenors

s_astrFixFloatTenor

public static final java.lang.String[] s_astrFixFloatTenor

The Standard Fix Float Maturity Tenors

Constructor Detail

FundingFixFloatMarksReconstitutor

public FundingFixFloatMarksReconstitutor()

Method Detail

RegularizeMarks

public static final boolean RegularizeMarks(java.lang.String strCurrency,
                                            java.util.Map<JulianDate,InstrumentSetTenorQuote> mapISTQ,
                                            int iLatentStateType)

Dump the Regularized Marks of the ISTQ Map

Parameters:

strCurrency - Currency

mapISTQ - The ISTQ Map

iLatentStateType - SHAPE PRESERVING/SMOOTH

Returns:

TRUE - The Regularized ISTQ Map Successfully Dumped

ShapePreservingRegularization

public static final boolean ShapePreservingRegularization(java.lang.String strCurrency,
                                                          java.lang.String strMarksLocation)

Re-constitute the Horizon Quote Marks Using a Shape Preserving Re-constructor

Parameters:

strCurrency - Currency

strMarksLocation - The Location of the CSV Marks File

Returns:

The Transformed Horizon Quote Marks

SmoothRegularization

public static final boolean SmoothRegularization(java.lang.String strCurrency,
                                                 java.lang.String strMarksLocation)

Re-constitute the Horizon Quote Marks Using a Smooth Re-constructor

Parameters:

strCurrency - Currency

strMarksLocation - The Location of the CSV Marks File

Returns:

The Transformed Horizon Quote Marks