org.drip.state.basis

Class BasisCurve

java.lang.Object

org.drip.state.basis.BasisCurve

All Implemented Interfaces:

Curve, BasisEstimator, LatentState

Direct Known Subclasses:

BasisSplineBasisCurve

public abstract class BasisCurve
extends java.lang.Object
implements BasisEstimator, Curve

BasisCurve is the Stub for the Basis between a Pair of Forward Curves.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
static java.lang.String	LATENT_STATE_BASIS Basis Latent State
static java.lang.String	QUANTIFICATION_METRIC_FORWARD_RATE Basis Latent State Quantification Metric - Discount Factor

Method Summary

Modifier and Type	Method and Description
double	basis(JulianDate dt) Calculate the Basis to the given Date
double	basis(java.lang.String strTenor) Calculate the Basis to the given Tenor
CalibratableComponent[]	calibComp() Retrieve the Calibration Components
java.lang.String	currency() Get the Currency
LatentState	customTweakManifestMeasure(java.lang.String strManifestMeasure, ManifestMeasureTweak rvtp) Create a LatentState Instance from the Manifest Measure Tweak Parameters
LatentState	customTweakQuantificationMetric(ManifestMeasureTweak rvtp) Create a LatentState Instance from the Quantification Metric Tweak Parameters
ForwardLabel	derivedIndex() Retrieve the Derived Index
JulianDate	epoch() Get the Epoch Date
abstract WengertJacobian	jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, int dblDate) Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
WengertJacobian	jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, JulianDate dt) Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
WengertJacobian	jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, java.lang.String strTenor) Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor
LatentStateLabel	label() Get the Curve Latent State Identifier Label
CaseInsensitiveTreeMap<java.lang.Double>	manifestMeasure(java.lang.String strInstr) Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve
LatentState	parallelShiftManifestMeasure(java.lang.String strManifestMeasure, double dblShift) Create a LatentState Instance from the Manifest Measure Parallel Shift
LatentState	parallelShiftQuantificationMetric(double dblShift) Create a LatentState Instance from the Quantification Metric Parallel Shift
ForwardLabel	referenceIndex() Retrieve the Reference Index
boolean	setCCIS(CurveConstructionInputSet ccis) Set the Curve Construction Input Set Parameters
LatentState	shiftManifestMeasure(int iSpanIndex, java.lang.String strManifestMeasure, double dblShift) Create a LatentState Instance from the Shift of the Specified Manifest Measure

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.drip.state.basis.BasisEstimator

basis

Field Detail

LATENT_STATE_BASIS

public static final java.lang.String LATENT_STATE_BASIS

Basis Latent State

See Also:

Constant Field Values

QUANTIFICATION_METRIC_FORWARD_RATE

public static final java.lang.String QUANTIFICATION_METRIC_FORWARD_RATE

Basis Latent State Quantification Metric - Discount Factor

See Also:

Constant Field Values

Method Detail

label

public LatentStateLabel label()

Description copied from interface: Curve

Get the Curve Latent State Identifier Label

Specified by:

label in interface Curve

Returns:

The Curve Latent State Identifier Label

currency

public java.lang.String currency()

Description copied from interface: Curve

Get the Currency

Specified by:

currency in interface Curve

Returns:

Currency

epoch

public JulianDate epoch()

Description copied from interface: Curve

Get the Epoch Date

Specified by:

epoch in interface Curve

Returns:

The Epoch Date

referenceIndex

public ForwardLabel referenceIndex()

Description copied from interface: BasisEstimator

Retrieve the Reference Index

Specified by:

referenceIndex in interface BasisEstimator

Returns:

The Reference Index

derivedIndex

public ForwardLabel derivedIndex()

Description copied from interface: BasisEstimator

Retrieve the Derived Index

Specified by:

derivedIndex in interface BasisEstimator

Returns:

The Derived Index

basis

public double basis(JulianDate dt)
             throws java.lang.Exception

Description copied from interface: BasisEstimator

Calculate the Basis to the given Date

Specified by:

basis in interface BasisEstimator

Parameters:

dt - Date

Returns:

The Basis

Throws:

java.lang.Exception - Thrown if the Basis cannot be calculated

basis

public double basis(java.lang.String strTenor)
             throws java.lang.Exception

Description copied from interface: BasisEstimator

Calculate the Basis to the given Tenor

Specified by:

basis in interface BasisEstimator

Parameters:

strTenor - The Tenor

Returns:

The Basis

Throws:

java.lang.Exception - Thrown if the Basis cannot be calculated

setCCIS

public boolean setCCIS(CurveConstructionInputSet ccis)

Description copied from interface: Curve

Set the Curve Construction Input Set Parameters

Specified by:

setCCIS in interface Curve

Parameters:

ccis - The Curve Construction Input Set Parameters

Returns:

TRUE - Inputs successfully Set

calibComp

public CalibratableComponent[] calibComp()

Description copied from interface: Curve

Retrieve the Calibration Components

Specified by:

calibComp in interface Curve

Returns:

Array of Calibration Components

manifestMeasure

public CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure(java.lang.String strInstr)

Description copied from interface: Curve

Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve

Specified by:

manifestMeasure in interface Curve

Parameters:

strInstr - The Calibration Instrument's Code whose Manifest Measure Map is sought

Returns:

The Manifest Measure Map of the given Instrument used to construct the Curve

parallelShiftManifestMeasure

public LatentState parallelShiftManifestMeasure(java.lang.String strManifestMeasure,
                                                double dblShift)

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Parallel Shift

Specified by:

parallelShiftManifestMeasure in interface LatentState

Parameters:

strManifestMeasure - The Specified Manifest Measure

dblShift - Parallel shift of the Manifest Measure

Returns:

New LatentState Instance corresponding to the Parallel Shifted Manifest Measure

shiftManifestMeasure

public LatentState shiftManifestMeasure(int iSpanIndex,
                                        java.lang.String strManifestMeasure,
                                        double dblShift)

Description copied from interface: LatentState

Create a LatentState Instance from the Shift of the Specified Manifest Measure

Specified by:

shiftManifestMeasure in interface LatentState

Parameters:

iSpanIndex - Index into the Span that identifies the Instrument

strManifestMeasure - The Specified Manifest Measure

dblShift - Shift of the Manifest Measure

Returns:

New LatentState Instance corresponding to the Shift of the Specified Manifest Measure

customTweakManifestMeasure

public LatentState customTweakManifestMeasure(java.lang.String strManifestMeasure,
                                              ManifestMeasureTweak rvtp)

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Tweak Parameters

Specified by:

customTweakManifestMeasure in interface LatentState

Parameters:

strManifestMeasure - The Specified Manifest Measure

rvtp - Manifest Measure Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Manifest Measure

parallelShiftQuantificationMetric

public LatentState parallelShiftQuantificationMetric(double dblShift)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Parallel Shift

Specified by:

parallelShiftQuantificationMetric in interface LatentState

Parameters:

dblShift - Parallel shift of the Quantification Metric

Returns:

New LatentState Instance corresponding to the Parallel Shifted Quantification Metric

customTweakQuantificationMetric

public LatentState customTweakQuantificationMetric(ManifestMeasureTweak rvtp)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Tweak Parameters

Specified by:

customTweakQuantificationMetric in interface LatentState

Parameters:

rvtp - Quantification Metric Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Quantification Metric

jackDForwardDManifestMeasure

public abstract WengertJacobian jackDForwardDManifestMeasure(java.lang.String strManifestMeasure,
                                                             int dblDate)

Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date

Parameters:

strManifestMeasure - Manifest Measure

dblDate - Date

Returns:

The Manifest Measure Jacobian of the Forward Rate to the given date

jackDForwardDManifestMeasure

public WengertJacobian jackDForwardDManifestMeasure(java.lang.String strManifestMeasure,
                                                    JulianDate dt)

Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date

Parameters:

strManifestMeasure - Manifest Measure

dt - Date

Returns:

The Manifest Measure Jacobian of the Forward Rate to the given date

jackDForwardDManifestMeasure

public WengertJacobian jackDForwardDManifestMeasure(java.lang.String strManifestMeasure,
                                                    java.lang.String strTenor)

Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor

Parameters:

strManifestMeasure - Manifest Measure

strTenor - Tenor

Returns:

The Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor