org.drip.state.curve

Class BasisSplineRepoCurve

java.lang.Object

org.drip.state.repo.RepoCurve

org.drip.state.curve.BasisSplineRepoCurve

All Implemented Interfaces:

Curve, RepoEstimator, LatentState

public class BasisSplineRepoCurve
extends RepoCurve

BasisSplineRepoCurve manages the Basis Latent State, using the Repo as the State Response Representation.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields inherited from class org.drip.state.repo.RepoCurve

LATENT_STATE_REPO, QUANTIFICATION_METRIC_REPO_RATE

Constructor Summary

Constructors

Constructor and Description
BasisSplineRepoCurve(Component comp, Span span) BasisSplineRepoCurve constructor

Method Summary

Modifier and Type	Method and Description
double	repo(int iDate) Calculate the Repo Rate to the given Date

Methods inherited from class org.drip.state.repo.RepoCurve

calibComp, component, currency, customTweakManifestMeasure, customTweakQuantificationMetric, epoch, label, manifestMeasure, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, repo, repo, setCCIS, shiftManifestMeasure

Methods inherited from class java.lang.Object

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

Constructor Detail

BasisSplineRepoCurve

public BasisSplineRepoCurve(Component comp,
                            Span span)
                     throws java.lang.Exception

BasisSplineRepoCurve constructor

Parameters:

comp - The Underlying Repo Component

span - The Span over which the Basis Representation is valid

Throws:

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

Method Detail

repo

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

Description copied from interface: RepoEstimator

Calculate the Repo Rate to the given Date

Parameters:

iDate - Date

Returns:

The Repo Rate

Throws:

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