org.drip.state.curve

Class BasisSplineBasisCurve

java.lang.Object

org.drip.state.basis.BasisCurve

org.drip.state.curve.BasisSplineBasisCurve

All Implemented Interfaces:

Curve, BasisEstimator, LatentState

public class BasisSplineBasisCurve
extends BasisCurve

BasisSplineBasisCurve manages the Basis Latent State, using the Basis as the State Response Representation. It exports the following functionality: - Calculate implied forward rate / implied forward rate Jacobian

Author:

Lakshmi Krishnamurthy

Field Summary

Fields inherited from class org.drip.state.basis.BasisCurve

LATENT_STATE_BASIS, QUANTIFICATION_METRIC_FORWARD_RATE

Constructor Summary

Constructors

Constructor and Description
BasisSplineBasisCurve(ForwardLabel friReference, ForwardLabel friDerived, boolean bBasisOnReference, Span span) BasisSplineBasisCurve constructor

Method Summary

Modifier and Type	Method and Description
double	basis(int iDate) Calculate the Basis to the given Date
WengertJacobian	jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, int iDate) Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date

Methods inherited from class org.drip.state.basis.BasisCurve

basis, basis, calibComp, currency, customTweakManifestMeasure, customTweakQuantificationMetric, derivedIndex, epoch, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, label, manifestMeasure, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, referenceIndex, setCCIS, shiftManifestMeasure

Methods inherited from class java.lang.Object

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

Constructor Detail

BasisSplineBasisCurve

public BasisSplineBasisCurve(ForwardLabel friReference,
                             ForwardLabel friDerived,
                             boolean bBasisOnReference,
                             Span span)
                      throws java.lang.Exception

BasisSplineBasisCurve constructor

Parameters:

friReference - The Reference Leg FRI

friDerived - The Derived Leg FRI

bBasisOnReference - TRUE - Is the Quoted Basis On the Reference Leg/Derived Leg

span - The Span over which the Basis Representation is valid

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

basis

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

Description copied from interface: BasisEstimator

Calculate the Basis to the given Date

Parameters:

iDate - Date

Returns:

The Basis

Throws:

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

jackDForwardDManifestMeasure

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

Description copied from class: BasisCurve

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

Specified by:

jackDForwardDManifestMeasure in class BasisCurve

Parameters:

strManifestMeasure - Manifest Measure

iDate - Date

Returns:

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