org.drip.state.basis

Interface BasisEstimator

All Known Implementing Classes:

BasisCurve, BasisSplineBasisCurve

public interface BasisEstimator

BasisEstimator is the interface that exposes the calculation of the Basis between any two latent states.

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
double	basis(int iDate) Calculate the Basis to the given Date
double	basis(JulianDate dt) Calculate the Basis to the given Date
double	basis(java.lang.String strTenor) Calculate the Basis to the given Tenor
ForwardLabel	derivedIndex() Retrieve the Derived Index
ForwardLabel	referenceIndex() Retrieve the Reference Index

Method Detail

referenceIndex

ForwardLabel referenceIndex()

Retrieve the Reference Index

Returns:

The Reference Index

derivedIndex

ForwardLabel derivedIndex()

Retrieve the Derived Index

Returns:

The Derived Index

basis

double basis(int iDate)
      throws java.lang.Exception

Calculate the Basis to the given Date

Parameters:

iDate - Date

Returns:

The Basis

Throws:

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

basis

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

Calculate the Basis to the given Date

Parameters:

dt - Date

Returns:

The Basis

Throws:

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

basis

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

Calculate the Basis to the given Tenor

Parameters:

strTenor - The Tenor

Returns:

The Basis

Throws:

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