org.drip.state.discount

Class ExplicitBootDiscountCurve

java.lang.Object

org.drip.state.discount.MergedDiscountForwardCurve

org.drip.state.discount.ExplicitBootDiscountCurve

All Implemented Interfaces:

Curve, ExplicitBootCurve, DiscountCurve, DiscountFactorEstimator, LatentState

Direct Known Subclasses:

FlatForwardDiscountCurve, ForeignCollateralizedDiscountCurve

public abstract class ExplicitBootDiscountCurve
extends MergedDiscountForwardCurve
implements ExplicitBootCurve

ExplicitBootDiscountCurve exposes the functionality associated with the bootstrapped Discount Curve. - Generate a curve shifted using targeted basis at specific nodes. - Generate scenario tweaked Latent State from the base forward curve corresponding to mode adjusted (flat/parallel/custom) manifest measure/quantification metric. - Retrieve array of latent state manifest measure, instrument quantification metric, and the array of calibration components. - Set/retrieve curve construction input instrument sets.

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
CalibratableComponent[]	calibComp() Retrieve the Calibration Components
abstract ExplicitBootDiscountCurve	createBasisRateShiftedCurve(int[] aiDate, double[] adblBasis) Create a shifted curve from an array of basis shifts
CaseInsensitiveTreeMap<java.lang.Double>	manifestMeasure(java.lang.String strInstrumentCode) Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve
boolean	setCCIS(CurveConstructionInputSet ccis) Set the Curve Construction Input Set Parameters

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

canonicalTruthness, compJackDPVDManifestMeasure, compJackDPVDManifestMeasure, currency, df, df, effectiveDF, effectiveDF, effectiveDF, epoch, estimateManifestMeasure, forward, forward, forwardRateEstimator, jackDDFDManifestMeasure, jackDDFDManifestMeasure, jackDDFDManifestMeasure, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, label, latentStateQuantificationMetric, libor, libor, libor, libor, nativeForwardCurve, parSwapDV01, setTurns, turnAdjust, zero, zero, zeroRateJack, zeroRateJack

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.drip.analytics.definition.ExplicitBootCurve

bumpNodeValue, setFlatValue, setNodeValue

Methods inherited from interface org.drip.analytics.definition.Curve

currency, epoch, label

Methods inherited from interface org.drip.state.representation.LatentState

customTweakManifestMeasure, customTweakQuantificationMetric, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, shiftManifestMeasure

Methods inherited from interface org.drip.state.discount.DiscountFactorEstimator

df

Method Detail

createBasisRateShiftedCurve

public abstract ExplicitBootDiscountCurve createBasisRateShiftedCurve(int[] aiDate,
                                                                      double[] adblBasis)

Create a shifted curve from an array of basis shifts

Parameters:

aiDate - Array of dates

adblBasis - Array of basis

Returns:

Discount Curve

setCCIS

public boolean setCCIS(CurveConstructionInputSet ccis)

Description copied from interface: Curve

Set the Curve Construction Input Set Parameters

Specified by:

setCCIS in interface Curve

Overrides:

setCCIS in class MergedDiscountForwardCurve

Parameters:

ccis - The Curve Construction Input Set Parameters

Returns:

TRUE - Inputs successfully Set

calibComp

public CalibratableComponent[] calibComp()

Description copied from interface: Curve

Retrieve the Calibration Components

Specified by:

calibComp in interface Curve

Returns:

Array of Calibration Components

manifestMeasure

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

Description copied from interface: Curve

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

Specified by:

manifestMeasure in interface Curve

Parameters:

strInstrumentCode - 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