org.drip.regression.curve

Class DiscountCurveRegressor

java.lang.Object

org.drip.regression.curve.DiscountCurveRegressor

All Implemented Interfaces:

RegressorSet

public class DiscountCurveRegressor
extends java.lang.Object
implements RegressorSet

DiscountCurveRegressor implements the regression set analysis for the Discount Curve. DiscountCurveRegressor regresses 11 scenarios: - #1: Create the discount curve from a set 30 instruments (cash/future/swap). - #2: Create the discount curve from a flat discount rate. - #3: Create the discount curve from a set of discount factors. - #4: Create the discount curve from the implied discount rates. - #5: Extract the discount curve instruments and quotes. - #6: Create a parallel shifted discount curve. - #7: Create a rate shifted discount curve. - #8: Create a basis rate shifted discount curve. - #9: Create a node tweaked discount curve. - #10: Compute the effective discount factor between 2 dates. - #11: Compute the effective implied rate between 2 dates.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
DiscountCurveRegressor() Do Nothing DiscountCurveRegressor constructor

Method Summary

Modifier and Type	Method and Description
java.util.List<UnitRegressor>	getRegressorSet() Retrieve the list of regressors
java.lang.String	getSetName() Retrieve the Regression Set Name
boolean	setupRegressors() Set up the list of Regressors in the set

Methods inherited from class java.lang.Object

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

Constructor Detail

DiscountCurveRegressor

public DiscountCurveRegressor()

Do Nothing DiscountCurveRegressor constructor

Method Detail

setupRegressors

public boolean setupRegressors()

Description copied from interface: RegressorSet

Set up the list of Regressors in the set

Specified by:

setupRegressors in interface RegressorSet

Returns:

TRUE if set up is successful

getRegressorSet

public java.util.List<UnitRegressor> getRegressorSet()

Description copied from interface: RegressorSet

Retrieve the list of regressors

Specified by:

getRegressorSet in interface RegressorSet

Returns:

List of regressors

getSetName

public java.lang.String getSetName()

Description copied from interface: RegressorSet

Retrieve the Regression Set Name

Specified by:

getSetName in interface RegressorSet

Returns:

Regression Set Name