org.drip.historical.state

Class FundingCurveMetrics

java.lang.Object

org.drip.historical.state.FundingCurveMetrics

public class FundingCurveMetrics
extends java.lang.Object

FundingCurveMetrics holds the computed Metrics associated the Funding Curve State.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FundingCurveMetrics(JulianDate dtClose) FundingCurveMetrics Constructor

Method Summary

Modifier and Type	Method and Description
boolean	addNativeForwardRate(java.lang.String strInTenor, java.lang.String strForTenor, double dblForwardRate) Add the Native Forward Rate for the specified In/For Start/Forward Tenors
JulianDate	close() Retrieve the Closing Date
double	nativeForwardRate(java.lang.String strInTenor, java.lang.String strForTenor) Retrieve the Native Forward Rate given the In/For Tenors

Methods inherited from class java.lang.Object

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

Constructor Detail

FundingCurveMetrics

public FundingCurveMetrics(JulianDate dtClose)
                    throws java.lang.Exception

FundingCurveMetrics Constructor

Parameters:

dtClose - The Closing Date

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

Method Detail

close

public JulianDate close()

Retrieve the Closing Date

Returns:

The Closing Date

addNativeForwardRate

public boolean addNativeForwardRate(java.lang.String strInTenor,
                                    java.lang.String strForTenor,
                                    double dblForwardRate)

Add the Native Forward Rate for the specified In/For Start/Forward Tenors

Parameters:

strInTenor - "In" Start Tenor

strForTenor - "For" Forward Tenor

dblForwardRate - Forward Rate

Returns:

TRUE - The Native Forward Rate successfully added

nativeForwardRate

public double nativeForwardRate(java.lang.String strInTenor,
                                java.lang.String strForTenor)
                         throws java.lang.Exception

Retrieve the Native Forward Rate given the In/For Tenors

Parameters:

strInTenor - "In" Start Tenor

strForTenor - "For" Forward Tenor

Returns:

The Native Forward Rate

Throws:

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