org.drip.state.curve

Class DerivedZeroRate

java.lang.Object

org.drip.state.discount.ZeroCurve

org.drip.state.curve.DerivedZeroRate

All Implemented Interfaces:

Curve, DiscountCurve, DiscountFactorEstimator, LatentState

public class DerivedZeroRate
extends ZeroCurve

DerivedZeroRate implements the delegated ZeroCurve functionality. Beyond discount factor/zero rate computation at specific cash pay nodes, all other functions are delegated to the embedded discount curve.

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
CalibratableComponent[]	calibComp() Retrieve the Calibration Components
Curve	customTweakManifestMeasure(java.lang.String strManifestMeasure, ManifestMeasureTweak mmtp) Create a LatentState Instance from the Manifest Measure Tweak Parameters
LatentState	customTweakQuantificationMetric(ManifestMeasureTweak rvtp) Create a LatentState Instance from the Quantification Metric Tweak Parameters
double	df(int iDate) Calculate the Discount Factor to the given Date
double	df(JulianDate dt) Calculate the discount factor to the given date
double	df(java.lang.String strTenor) Calculate the Discount Factor to the given Tenor
double	effectiveDF(int iDate1, int iDate2) Compute the time-weighted discount factor between 2 dates
double	effectiveDF(JulianDate dt1, JulianDate dt2) Compute the time-weighted discount factor between 2 dates
double	effectiveDF(java.lang.String strTenor1, java.lang.String strTenor2) Compute the time-weighted discount factor between 2 tenors
static DerivedZeroRate	FromBaseCurve(int iFreq, java.lang.String strDayCount, java.lang.String strCalendar, boolean bApplyEOMAdj, java.util.List<CompositePeriod> lsCouponPeriod, int iWorkoutDate, int iValueDate, int iCashPayDate, DiscountCurve dc, double dblBump, ValuationCustomizationParams vcp, SegmentCustomBuilderControl scbc) Construct an Instance from the Input Curve and the related Parameters
static DerivedZeroRate	FromDiscountCurve(int iFreqZC, java.lang.String strDCZC, java.lang.String strCalendarZC, boolean bApplyEOMAdjZC, java.util.List<CompositePeriod> lsCouponPeriod, int iWorkoutDate, int iValueDate, int iCashPayDate, DiscountCurve dc, double dblZCBump, ValuationCustomizationParams vcp, SegmentCustomBuilderControl scbc) Construct an Instance from the Discount Curve and the related Parameters
static DerivedZeroRate	FromGovvieCurve(int iFreqZC, java.lang.String strDCZC, java.lang.String strCalendarZC, boolean bApplyEOMAdjZC, java.util.List<CompositePeriod> lsCouponPeriod, int iWorkoutDate, int iValueDate, int iCashPayDate, GovvieCurve gc, double dblZCBump, ValuationCustomizationParams vcp, SegmentCustomBuilderControl scbc) Construct an Instance from the Govvie Curve and the related Parameters
LatentStateLabel	label() Get the Curve Latent State Identifier Label
CaseInsensitiveTreeMap<java.lang.Double>	manifestMeasure(java.lang.String strInstr) Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve
Curve	parallelShiftManifestMeasure(java.lang.String strManifestMeasure, double dblShift) Create a LatentState Instance from the Manifest Measure Parallel Shift
LatentState	parallelShiftQuantificationMetric(double dblShift) Create a LatentState Instance from the Quantification Metric Parallel Shift
boolean	setCCIS(CurveConstructionInputSet ccis) Set the Curve Construction Input Set Parameters
Curve	shiftManifestMeasure(int iSpanIndex, java.lang.String strManifestMeasure, double dblShift) Create a LatentState Instance from the Shift of the Specified Manifest Measure
double	zeroRate(int iDate) Retrieve the zero rate corresponding to the given date

Methods inherited from class org.drip.state.discount.ZeroCurve

currency, epoch

Methods inherited from class java.lang.Object

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

Method Detail

FromDiscountCurve

public static final DerivedZeroRate FromDiscountCurve(int iFreqZC,
                                                      java.lang.String strDCZC,
                                                      java.lang.String strCalendarZC,
                                                      boolean bApplyEOMAdjZC,
                                                      java.util.List<CompositePeriod> lsCouponPeriod,
                                                      int iWorkoutDate,
                                                      int iValueDate,
                                                      int iCashPayDate,
                                                      DiscountCurve dc,
                                                      double dblZCBump,
                                                      ValuationCustomizationParams vcp,
                                                      SegmentCustomBuilderControl scbc)

Construct an Instance from the Discount Curve and the related Parameters

Parameters:

iFreqZC - Zero Curve Frequency

strDCZC - Zero Curve Day Count

strCalendarZC - Zero Curve Calendar

bApplyEOMAdjZC - Zero Coupon EOM Adjustment Flag

lsCouponPeriod - List of Bond coupon periods

iWorkoutDate - Work-out Date

iValueDate - Value Date

iCashPayDate - Cash-Pay Date

dc - Underlying Discount Curve

dblZCBump - DC Bump

vcp - Valuation Customization Parameters

scbc - Segment Custom Builder Control Parameters

Returns:

The Derived Zero Rate Instance

FromGovvieCurve

public static final DerivedZeroRate FromGovvieCurve(int iFreqZC,
                                                    java.lang.String strDCZC,
                                                    java.lang.String strCalendarZC,
                                                    boolean bApplyEOMAdjZC,
                                                    java.util.List<CompositePeriod> lsCouponPeriod,
                                                    int iWorkoutDate,
                                                    int iValueDate,
                                                    int iCashPayDate,
                                                    GovvieCurve gc,
                                                    double dblZCBump,
                                                    ValuationCustomizationParams vcp,
                                                    SegmentCustomBuilderControl scbc)

Construct an Instance from the Govvie Curve and the related Parameters

Parameters:

iFreqZC - Zero Curve Frequency

strDCZC - Zero Curve Day Count

strCalendarZC - Zero Curve Calendar

bApplyEOMAdjZC - Zero Coupon EOM Adjustment Flag

lsCouponPeriod - List of bond coupon periods

iWorkoutDate - Work-out Date

iValueDate - Value Date

iCashPayDate - Cash-Pay Date

gc - Underlying Govvie Curve

dblZCBump - DC Bump

vcp - Valuation Customization Parameters

scbc - Segment Custom Builder Control Parameters

Returns:

The Derived Zero Rate Instance

FromBaseCurve

public static final DerivedZeroRate FromBaseCurve(int iFreq,
                                                  java.lang.String strDayCount,
                                                  java.lang.String strCalendar,
                                                  boolean bApplyEOMAdj,
                                                  java.util.List<CompositePeriod> lsCouponPeriod,
                                                  int iWorkoutDate,
                                                  int iValueDate,
                                                  int iCashPayDate,
                                                  DiscountCurve dc,
                                                  double dblBump,
                                                  ValuationCustomizationParams vcp,
                                                  SegmentCustomBuilderControl scbc)

Construct an Instance from the Input Curve and the related Parameters

Parameters:

iFreq - Zero Curve Frequency

strDayCount - Zero Curve Day Count

strCalendar - Zero Curve Calendar

bApplyEOMAdj - Zero Coupon EOM Adjustment Flag

lsCouponPeriod - List of bond coupon periods

iWorkoutDate - Work-out Date

iValueDate - Value Date

iCashPayDate - Cash-Pay Date

dc - Underlying Discount Curve

dblBump - DC Bump

vcp - Valuation Customization Parameters

scbc - Segment Custom Builder Control Parameters

Returns:

The Derived Zero Rate Instance

df

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

Description copied from interface: DiscountFactorEstimator

Calculate the Discount Factor to the given Date

Parameters:

iDate - Date

Returns:

Discount Factor

Throws:

java.lang.Exception - Thrown if the Discount Factor cannot be calculated

df

public double df(java.lang.String strTenor)
          throws java.lang.Exception

Description copied from interface: DiscountFactorEstimator

Calculate the Discount Factor to the given Tenor

Parameters:

strTenor - Tenor

Returns:

Discount factor

Throws:

java.lang.Exception - Thrown if the Discount Factor cannot be calculated

zeroRate

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

Description copied from class: ZeroCurve

Retrieve the zero rate corresponding to the given date

Specified by:

zeroRate in class ZeroCurve

Parameters:

iDate - Date for which the zero rate is requested

Returns:

Zero Rate

Throws:

java.lang.Exception - Thrown if the date is not represented in the map

manifestMeasure

public CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure(java.lang.String strInstr)

Description copied from interface: Curve

Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve

Parameters:

strInstr - The Calibration Instrument's Code whose Manifest Measure Map is sought

Returns:

The Manifest Measure Map of the given Instrument used to construct the Curve

calibComp

public CalibratableComponent[] calibComp()

Description copied from interface: Curve

Retrieve the Calibration Components

Returns:

Array of Calibration Components

label

public LatentStateLabel label()

Description copied from interface: Curve

Get the Curve Latent State Identifier Label

Returns:

The Curve Latent State Identifier Label

parallelShiftManifestMeasure

public Curve parallelShiftManifestMeasure(java.lang.String strManifestMeasure,
                                          double dblShift)

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Parallel Shift

Parameters:

strManifestMeasure - The Specified Manifest Measure

dblShift - Parallel shift of the Manifest Measure

Returns:

New LatentState Instance corresponding to the Parallel Shifted Manifest Measure

shiftManifestMeasure

public Curve shiftManifestMeasure(int iSpanIndex,
                                  java.lang.String strManifestMeasure,
                                  double dblShift)

Description copied from interface: LatentState

Create a LatentState Instance from the Shift of the Specified Manifest Measure

Parameters:

iSpanIndex - Index into the Span that identifies the Instrument

strManifestMeasure - The Specified Manifest Measure

dblShift - Shift of the Manifest Measure

Returns:

New LatentState Instance corresponding to the Shift of the Specified Manifest Measure

customTweakManifestMeasure

public Curve customTweakManifestMeasure(java.lang.String strManifestMeasure,
                                        ManifestMeasureTweak mmtp)

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Tweak Parameters

Parameters:

strManifestMeasure - The Specified Manifest Measure

mmtp - Manifest Measure Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Manifest Measure

setCCIS

public boolean setCCIS(CurveConstructionInputSet ccis)

Description copied from interface: Curve

Set the Curve Construction Input Set Parameters

Parameters:

ccis - The Curve Construction Input Set Parameters

Returns:

TRUE - Inputs successfully Set

parallelShiftQuantificationMetric

public LatentState parallelShiftQuantificationMetric(double dblShift)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Parallel Shift

Parameters:

dblShift - Parallel shift of the Quantification Metric

Returns:

New LatentState Instance corresponding to the Parallel Shifted Quantification Metric

customTweakQuantificationMetric

public LatentState customTweakQuantificationMetric(ManifestMeasureTweak rvtp)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Tweak Parameters

Parameters:

rvtp - Quantification Metric Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Quantification Metric

df

public double df(JulianDate dt)
          throws java.lang.Exception

Description copied from interface: DiscountFactorEstimator

Calculate the discount factor to the given date

Parameters:

dt - Date

Returns:

Discount factor

Throws:

java.lang.Exception - Thrown if the discount factor cannot be calculated

effectiveDF

public double effectiveDF(int iDate1,
                          int iDate2)
                   throws java.lang.Exception

Description copied from interface: DiscountFactorEstimator

Compute the time-weighted discount factor between 2 dates

Parameters:

iDate1 - First Date

iDate2 - Second Date

Returns:

Discount Factor

Throws:

java.lang.Exception - Thrown if the discount factor cannot be calculated

effectiveDF

public double effectiveDF(JulianDate dt1,
                          JulianDate dt2)
                   throws java.lang.Exception

Description copied from interface: DiscountFactorEstimator

Compute the time-weighted discount factor between 2 dates

Parameters:

dt1 - First Date

dt2 - Second Date

Returns:

Discount Factor

Throws:

java.lang.Exception - Thrown if the discount factor cannot be calculated

effectiveDF

public double effectiveDF(java.lang.String strTenor1,
                          java.lang.String strTenor2)
                   throws java.lang.Exception

Description copied from interface: DiscountFactorEstimator

Compute the time-weighted discount factor between 2 tenors

Parameters:

strTenor1 - First Date

strTenor2 - Second Date

Returns:

Discount Factor

Throws:

java.lang.Exception - Thrown if the discount factor cannot be calculated