org.drip.state.curve

Class BasisSplineForwardRate

java.lang.Object

org.drip.state.forward.ForwardCurve

org.drip.state.curve.BasisSplineForwardRate

All Implemented Interfaces:

Curve, ForwardRateEstimator, LatentState

public class BasisSplineForwardRate
extends ForwardCurve

BasisSplineForwardRate manages the Forward Latent State, using the Forward Rate as the State Response Representation. It exports the following functionality: - Calculate implied forward rate / implied forward rate Jacobian - Serialize into and de-serialize out of byte arrays

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
BasisSplineForwardRate(ForwardLabel fri, OverlappingStretchSpan span) BasisSplineForwardRate constructor

Method Summary

Modifier and Type	Method and Description
double	forward(int iDate) Calculate the Forward Rate 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.forward.ForwardCurve

calibComp, currency, customTweakManifestMeasure, customTweakQuantificationMetric, epoch, forward, forward, index, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, label, manifestMeasure, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, setCCIS, shiftManifestMeasure, tenor

Methods inherited from class java.lang.Object

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

Constructor Detail

BasisSplineForwardRate

public BasisSplineForwardRate(ForwardLabel fri,
                              OverlappingStretchSpan span)
                       throws java.lang.Exception

BasisSplineForwardRate constructor

Parameters:

fri - The Floating Rate Index

span - The Span over which the Forward Rate Representation is valid

Throws:

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

Method Detail

forward

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

Description copied from interface: ForwardRateEstimator

Calculate the Forward Rate to the given Date

Parameters:

iDate - Date

Returns:

The Forward Rate

Throws:

java.lang.Exception - Thrown if the Forward Rate cannot be calculated

jackDForwardDManifestMeasure

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

Description copied from class: ForwardCurve

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

Specified by:

jackDForwardDManifestMeasure in class ForwardCurve

Parameters:

strManifestMeasure - Manifest Measure

iDate - Date

Returns:

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