org.drip.feed.transformer

Class GovvieTreasuryMarksReconstitutor

java.lang.Object

org.drip.feed.transformer.GovvieTreasuryMarksReconstitutor

public class GovvieTreasuryMarksReconstitutor
extends java.lang.Object

GovvieTreasuryMarksReconstitutor transforms the Treasury Marks (e.g., Yield) Feed Inputs into Formats appropriate for Govvie Curve Construction and Measure Generation.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
static java.lang.String[]	s_astrOutputBenchmarkTenor The Standard Treasury Market Yield Re-constitution Benchmark Tenors
static double	s_dblScaler The Standard Treasury Input Calibration Manifest Measure Scaler
static java.lang.String	s_strCalibrationMeasure The Standard Treasury Input Calibration Manifest Measure

Constructor Summary

Constructors

Constructor and Description
GovvieTreasuryMarksReconstitutor()

Method Summary

Modifier and Type	Method and Description
static boolean	RegularizeBenchmarkMarks(java.lang.String strTreasuryType, java.util.Map<JulianDate,java.util.Map<java.lang.Double,java.lang.Double>> mapClosingMarks) Re-constitute the Horizon Benchmark Marks
static boolean	RegularizeBenchmarkMarks(java.lang.String strTreasuryType, java.util.Map<JulianDate,java.util.Map<java.lang.Double,java.lang.Double>> mapClosingMarks, java.lang.String strManifestMeasure, java.lang.String[] astrOutputBenchmarkTenor) Re-constitute the Horizon Benchmark Marks
static boolean	RegularizeBenchmarkMarks(java.lang.String strMarksLocation, java.lang.String strTreasuryType) Re-constitute the Horizon Benchmark Marks

Methods inherited from class java.lang.Object

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

Field Detail

s_strCalibrationMeasure

public static final java.lang.String s_strCalibrationMeasure

The Standard Treasury Input Calibration Manifest Measure

See Also:

Constant Field Values

s_dblScaler

public static final double s_dblScaler

The Standard Treasury Input Calibration Manifest Measure Scaler

See Also:

Constant Field Values

s_astrOutputBenchmarkTenor

public static final java.lang.String[] s_astrOutputBenchmarkTenor

The Standard Treasury Market Yield Re-constitution Benchmark Tenors

Constructor Detail

GovvieTreasuryMarksReconstitutor

public GovvieTreasuryMarksReconstitutor()

Method Detail

RegularizeBenchmarkMarks

public static final boolean RegularizeBenchmarkMarks(java.lang.String strTreasuryType,
                                                     java.util.Map<JulianDate,java.util.Map<java.lang.Double,java.lang.Double>> mapClosingMarks,
                                                     java.lang.String strManifestMeasure,
                                                     java.lang.String[] astrOutputBenchmarkTenor)

Re-constitute the Horizon Benchmark Marks

Parameters:

strTreasuryType - The Treasury Type

mapClosingMarks - Map of the Dates Closing Marks

strManifestMeasure - The Govvie Curve Calibration Manifest Measure

astrOutputBenchmarkTenor - Tenors of the Output Benchmark Desired

Returns:

The Transformed Horizon Benchmark Yield

RegularizeBenchmarkMarks

public static final boolean RegularizeBenchmarkMarks(java.lang.String strTreasuryType,
                                                     java.util.Map<JulianDate,java.util.Map<java.lang.Double,java.lang.Double>> mapClosingMarks)

Re-constitute the Horizon Benchmark Marks

Parameters:

strTreasuryType - The Treasury Type

mapClosingMarks - Map of the Dates Closing Marks

Returns:

The Transformed Horizon Benchmark Yield

RegularizeBenchmarkMarks

public static final boolean RegularizeBenchmarkMarks(java.lang.String strMarksLocation,
                                                     java.lang.String strTreasuryType)

Re-constitute the Horizon Benchmark Marks

Parameters:

strMarksLocation - The Location of the CSV Marks File

strTreasuryType - The Treasury Type

Returns:

The Transformed Horizon Benchmark Yield