org.drip.service.state

Class FundingCurveAPI

java.lang.Object

org.drip.service.state.FundingCurveAPI

public class FundingCurveAPI
extends java.lang.Object

FundingCurveAPI computes the Metrics associated the Funding Curve State.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FundingCurveAPI()

Method Summary

Modifier and Type	Method and Description
static FundingCurveMetrics	DailyMetrics(JulianDate dtSpot, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String[] astrInTenor, java.lang.String[] astrForTenor, java.lang.String strCurrency, int iLatentStateType) Generate the Funding Curve Daily Metrics
static java.util.Map<JulianDate,MergedDiscountForwardCurve>	HistoricalMap(JulianDate[] adtSpot, java.lang.String[] astrFixFloatMaturityTenor, double[][] aadblFixFloatQuote, java.lang.String strCurrency, int iLatentStateType) Generate the Funding Curve Map
static java.util.Map<JulianDate,FundingCurveMetrics>	HorizonMetrics(JulianDate[] adtSpot, java.lang.String[] astrFixFloatMaturityTenor, double[][] aadblFixFloatQuote, java.lang.String[] astrInTenor, java.lang.String[] astrForTenor, java.lang.String strCurrency, int iLatentStateType) Generate the Funding Curve Horizon Metrics

Methods inherited from class java.lang.Object

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

Constructor Detail

FundingCurveAPI

public FundingCurveAPI()

Method Detail

DailyMetrics

public static final FundingCurveMetrics DailyMetrics(JulianDate dtSpot,
                                                     java.lang.String[] astrFixFloatMaturityTenor,
                                                     double[] adblFixFloatQuote,
                                                     java.lang.String[] astrInTenor,
                                                     java.lang.String[] astrForTenor,
                                                     java.lang.String strCurrency,
                                                     int iLatentStateType)

Generate the Funding Curve Daily Metrics

Parameters:

dtSpot - The Spot Date

astrFixFloatMaturityTenor - Array of Fix Float Maturity Tenors

adblFixFloatQuote - Array of Fix Float Swap Rates

astrInTenor - Array of "In" Tenors

astrForTenor - Array of "For" Tenors

strCurrency - Funding Currency

iLatentStateType - Latent State Type

Returns:

The Funding Curve Daily Metrics

HorizonMetrics

public static final java.util.Map<JulianDate,FundingCurveMetrics> HorizonMetrics(JulianDate[] adtSpot,
                                                                                 java.lang.String[] astrFixFloatMaturityTenor,
                                                                                 double[][] aadblFixFloatQuote,
                                                                                 java.lang.String[] astrInTenor,
                                                                                 java.lang.String[] astrForTenor,
                                                                                 java.lang.String strCurrency,
                                                                                 int iLatentStateType)

Generate the Funding Curve Horizon Metrics

Parameters:

adtSpot - Array of Spot

astrFixFloatMaturityTenor - Array of Fix Float Maturity Tenors

aadblFixFloatQuote - Array of Fix Float Swap Rates

astrInTenor - Array of "In" Tenors

astrForTenor - Array of "For" Tenors

strCurrency - Funding Currency

iLatentStateType - Latent State Type

Returns:

The Funding Curve Horizon Metrics

HistoricalMap

public static final java.util.Map<JulianDate,MergedDiscountForwardCurve> HistoricalMap(JulianDate[] adtSpot,
                                                                                       java.lang.String[] astrFixFloatMaturityTenor,
                                                                                       double[][] aadblFixFloatQuote,
                                                                                       java.lang.String strCurrency,
                                                                                       int iLatentStateType)

Generate the Funding Curve Map

Parameters:

adtSpot - Array of Spot

astrFixFloatMaturityTenor - Array of Fix Float Maturity Tenors

aadblFixFloatQuote - Array of Fix Float Swap Rates

strCurrency - Funding Currency

iLatentStateType - Latent State Type

Returns:

The Funding Curve Map