org.drip.service.state

Class OvernightCurveAPI

java.lang.Object

org.drip.service.state.OvernightCurveAPI

public class OvernightCurveAPI
extends java.lang.Object

OvernightCurveAPI computes the Metrics associated the Overnight Curve State.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
OvernightCurveAPI()

Method Summary

Modifier and Type	Method and Description
static FundingCurveMetrics	DailyMetrics(JulianDate dtSpot, java.lang.String[] astrOvernightCurveOISTenor, double[] adblOvernightCurveOISQuote, java.lang.String[] astrInTenor, java.lang.String[] astrForTenor, java.lang.String strCurrency, int iLatentStateType) Generate the Overnight Curve Horizon Metrics for the Specified Date
static java.util.Map<JulianDate,FundingCurveMetrics>	HorizonMetrics(JulianDate[] adtSpot, java.lang.String[] astrOvernightCurveOISTenor, double[][] aadblOvernightCurveOISQuote, java.lang.String[] astrInTenor, java.lang.String[] astrForTenor, java.lang.String strCurrency, int iLatentStateType) Generate the Overnight Curve Horizon Metrics For an Array of Closing Dates

Methods inherited from class java.lang.Object

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

Constructor Detail

OvernightCurveAPI

public OvernightCurveAPI()

Method Detail

DailyMetrics

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

Generate the Overnight Curve Horizon Metrics for the Specified Date

Parameters:

dtSpot - The Spot Date

astrOvernightCurveOISTenor - Array of Overnight Curve Fix Float OIS Maturity Tenors

adblOvernightCurveOISQuote - Array of Overnight Curve OIS Rates

astrInTenor - Array of "In" Tenors

astrForTenor - Array of "For" Tenors

strCurrency - Overnight Currency

iLatentStateType - Latent State Type

Returns:

The Overnight Curve Horizon Metrics

HorizonMetrics

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

Generate the Overnight Curve Horizon Metrics For an Array of Closing Dates

Parameters:

adtSpot - Array of Spot

astrOvernightCurveOISTenor - Array of Overnight Curve Fix Float OIS Maturity Tenors

aadblOvernightCurveOISQuote - Array of Overnight Curve OIS Rates

astrInTenor - Array of "In" Tenors

astrForTenor - Array of "For" Tenors

strCurrency - Overnight Currency

iLatentStateType - Latent State Type

Returns:

The Overnight Curve Horizon Metrics