org.drip.state.discount

Interface DiscountFactorEstimator

All Known Subinterfaces:

DiscountCurve

All Known Implementing Classes:

BasisSplineGovvieYield, DerivedZeroRate, DeterministicCollateralChoiceDiscountCurve, DiscountFactorDiscountCurve, ExplicitBootDiscountCurve, ExplicitBootGovvieCurve, FlatForwardDiscountCurve, FlatYieldGovvieCurve, ForeignCollateralizedDiscountCurve, GovvieCurve, MergedDiscountForwardCurve, ZeroCurve, ZeroRateDiscountCurve

public interface DiscountFactorEstimator

DiscountFactorEstimator is the interface that exposes the calculation of the Discount Factor for a specific Sovereign/Jurisdiction Span. It exposes the following functionality: - Curve Epoch Date - Discount Factor Target/Effective Variants - to Specified Julian Dates and/or Tenors - Forward Rate Target/Effective Variants - to Specified Julian Dates and/or Tenors - Zero Rate Target/Effective Variants - to Specified Julian Dates and/or Tenors - LIBOR Rate and LIBOR01 Target/Effective Variants - to Specified Julian Dates and/or Tenors - Curve Implied Arbitrary Measure Estimates

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
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
JulianDate	epoch() Retrieve the Starting (Epoch) Date

Method Detail

epoch

JulianDate epoch()

Retrieve the Starting (Epoch) Date

Returns:

The Starting Date

df

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

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

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

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

df

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

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

effectiveDF

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

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

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

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

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

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