org.drip.state.curve

Class BasisSplineGovvieYield

java.lang.Object

org.drip.state.govvie.GovvieCurve

org.drip.state.curve.BasisSplineGovvieYield

All Implemented Interfaces:

Curve, DiscountCurve, DiscountFactorEstimator, YieldEstimator, LatentState

public class BasisSplineGovvieYield
extends GovvieCurve

BasisSplineGovvieYield manages the Basis Spline Latent State, using the Basis as the State Response Representation, for the Govvie Curve with Yield Quantification Metric.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
BasisSplineGovvieYield(java.lang.String strTreasuryCode, java.lang.String strCurrency, Span span) BasisSplineGovvieYield Constructor

Method Summary

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

Methods inherited from class org.drip.state.govvie.GovvieCurve

calibComp, currency, customTweakManifestMeasure, customTweakQuantificationMetric, dayCount, df, df, df, effectiveDF, effectiveDF, effectiveDF, epoch, freq, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, label, manifestMeasure, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, setCCIS, shiftManifestMeasure, yield, yield, yieldDF

Methods inherited from class java.lang.Object

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

Constructor Detail

BasisSplineGovvieYield

public BasisSplineGovvieYield(java.lang.String strTreasuryCode,
                              java.lang.String strCurrency,
                              Span span)
                       throws java.lang.Exception

BasisSplineGovvieYield Constructor

Parameters:

strTreasuryCode - Treasury Code

strCurrency - Currency

span - Govvie Curve Span

Throws:

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

Method Detail

yield

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

Description copied from interface: YieldEstimator

Calculate the Yield to the given Date

Parameters:

iDate - Date

Returns:

The Yield

Throws:

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

jackDForwardDManifestMeasure

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

Description copied from class: GovvieCurve

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

Specified by:

jackDForwardDManifestMeasure in class GovvieCurve

Parameters:

strManifestMeasure - Manifest Measure

iDate - Date

Returns:

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