org.drip.state.curve

Class BasisSplineMarketSurface

java.lang.Object

org.drip.analytics.definition.MarketSurface

org.drip.state.curve.BasisSplineMarketSurface

All Implemented Interfaces:

Curve, LatentState

public class BasisSplineMarketSurface
extends MarketSurface

BasisSplineMarketSurface implements the Market surface that holds the latent state's Dynamics parameters.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
BasisSplineMarketSurface(int iEpochDate, CustomLabel label, java.lang.String strCurrency, WireSurfaceStretch wss) BasisSplineMarketSurface Constructor

Method Summary

Modifier and Type	Method and Description
double	node(double dblStrike, double dblDate) Get the Market Node given the X and the Y Ordinates
NodeStructure	xAnchorTermStructure(double dblStrikeAnchor) Extract the Term Structure Constructed at the X Anchor Node
NodeStructure	yAnchorTermStructure(double dblMaturityDateAnchor) Extract the Term Structure Constructed at the Y Anchor Node

Methods inherited from class org.drip.analytics.definition.MarketSurface

calibComp, currency, customTweakManifestMeasure, customTweakQuantificationMetric, epoch, label, manifestMeasure, maturityAnchorTermStructure, node, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, setCCIS, shiftManifestMeasure

Methods inherited from class java.lang.Object

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

Constructor Detail

BasisSplineMarketSurface

public BasisSplineMarketSurface(int iEpochDate,
                                CustomLabel label,
                                java.lang.String strCurrency,
                                WireSurfaceStretch wss)
                         throws java.lang.Exception

BasisSplineMarketSurface Constructor

Parameters:

iEpochDate - The Starting Date

label - The Spline Market Surface Latent State Label

strCurrency - The Currency

wss - Wire Surface Stretch Instance

Throws:

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

Method Detail

node

public double node(double dblStrike,
                   double dblDate)
            throws java.lang.Exception

Description copied from class: MarketSurface

Get the Market Node given the X and the Y Ordinates

Specified by:

node in class MarketSurface

Parameters:

dblStrike - X

dblDate - Y

Returns:

The Latent State Metric Value evaluated from the Surface

Throws:

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

xAnchorTermStructure

public NodeStructure xAnchorTermStructure(double dblStrikeAnchor)

Description copied from class: MarketSurface

Extract the Term Structure Constructed at the X Anchor Node

Specified by:

xAnchorTermStructure in class MarketSurface

Parameters:

dblStrikeAnchor - The X Anchor Node

Returns:

The Term Structure Constructed at the X Anchor Node

yAnchorTermStructure

public NodeStructure yAnchorTermStructure(double dblMaturityDateAnchor)

Description copied from class: MarketSurface

Extract the Term Structure Constructed at the Y Anchor Node

Specified by:

yAnchorTermStructure in class MarketSurface

Parameters:

dblMaturityDateAnchor - The Y Anchor

Returns:

The Term Structure Constructed at the Y Anchor Node