org.drip.state.discount

Class MergedDiscountForwardCurve

java.lang.Object

org.drip.state.discount.MergedDiscountForwardCurve

All Implemented Interfaces:

Curve, DiscountCurve, DiscountFactorEstimator, LatentState

Direct Known Subclasses:

DeterministicCollateralChoiceDiscountCurve, DiscountFactorDiscountCurve, ExplicitBootDiscountCurve, ZeroRateDiscountCurve

public abstract class MergedDiscountForwardCurve
extends java.lang.Object
implements DiscountCurve

MergedDiscountForwardCurve is the Stub for the Merged Discount and Forward Curve Functionality. It extends the both the Curve and the DiscountFactorEstimator instances by implementing their functions, and exposing the following: - Forward Rate to a specific date/tenor, and effective rate between a date interval. - Discount Factor to a specific date/tenor, and effective discount factor between a date interval. - Zero Rate to a specific date/tenor. - Value Jacobian for Forward rate, discount factor, and zero rate. - Cross Jacobian between each of Forward rate, discount factor, and zero rate. - Quote Jacobian to Forward rate, discount factor, and zero rate. - QM (DF/Zero/Forward) to Quote Jacobian. - Latent State Quantification Metric, and the canonical truthness transformations. - Implied/embedded ForwardRateEstimator - Turns - set/unset/adjust.

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
java.util.Map<java.lang.Integer,java.lang.Double>	canonicalTruthness(java.lang.String strLatentStateQuantificationMetric) Convert the inferred Formulation Constraint into a "Truthness" Entity
WengertJacobian	compJackDPVDManifestMeasure(int iDate) Calculate the Jacobian of PV at the given date to the Manifest Measure of each component in the calibration set to the DF
WengertJacobian	compJackDPVDManifestMeasure(JulianDate dt) Calculate the Jacobian of PV at the given date to the Manifest Measure of each component in the calibration set to the DF
java.lang.String	currency() Get the Currency
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() Get the Epoch Date
double	estimateManifestMeasure(java.lang.String strManifestMeasure, int iDate) Estimate the manifest measure value for the given date
abstract double	forward(int iDate1, int iDate2) Compute the Forward Rate between two Dates
double	forward(java.lang.String strTenor1, java.lang.String strTenor2) Compute the Forward Rate between two Tenors
abstract ForwardRateEstimator	forwardRateEstimator(int iDate, ForwardLabel fri) Retrieve the Forward Curve that might be implied by the Latent State of this Discount Curve Instance corresponding to the specified Floating Rate Index
abstract WengertJacobian	jackDDFDManifestMeasure(int iDate, java.lang.String strManifestMeasure) Retrieve the Manifest Measure Jacobian of the Discount Factor to the given date
WengertJacobian	jackDDFDManifestMeasure(JulianDate dt, java.lang.String strManifestMeasure) Retrieve the Manifest Measure Jacobian of the Discount Factor to the given date
WengertJacobian	jackDDFDManifestMeasure(java.lang.String strTenor, java.lang.String strManifestMeasure) Retrieve the Manifest Measure Jacobian of the Discount Factor to the date implied by the given Tenor
WengertJacobian	jackDForwardDManifestMeasure(int iDate1, int iDate2, java.lang.String strManifestMeasure, double dblElapsedYear) Retrieve the Jacobian of the Forward Rate to the Manifest Measure between the given dates
WengertJacobian	jackDForwardDManifestMeasure(JulianDate dt1, JulianDate dt2, java.lang.String strManifestMeasure, double dblElapsedYear) Retrieve the Jacobian of the Forward Rate to the Manifest Measure between the given dates
WengertJacobian	jackDForwardDManifestMeasure(JulianDate dt, java.lang.String strTenor, java.lang.String strManifestMeasure, double dblElapsedYear) Retrieve the Jacobian of the Forward Rate to the Manifest Measure at the given date
LatentStateLabel	label() Get the Curve Latent State Identifier Label
abstract java.lang.String	latentStateQuantificationMetric() Retrieve the Latent State Quantification Metric
double	libor(int iDate1, int iDate2) Compute the LIBOR between 2 dates
double	libor(int iDate1, int iDate2, double dblDCF) Compute the LIBOR between 2 dates given the Day Count
double	libor(int iStartDate, java.lang.String strTenor) Calculate the LIBOR to the given tenor at the specified date
double	libor(JulianDate dt, java.lang.String strTenor) Calculate the LIBOR to the given tenor at the specified Julian Date
ForwardCurve	nativeForwardCurve(java.lang.String strTenor) Construct the Native Forward Curve for the given Tenor from the Discount Curve
double	parSwapDV01(int iDate) Calculate the DV01 of the Par Swap that Matures at the given date
boolean	setCCIS(CurveConstructionInputSet ccis) Set the Curve Construction Input Set Parameters
boolean	setTurns(TurnListDiscountFactor tldf) Set the Discount Curve Turns'
double	turnAdjust(int iStartDate, int iFinishDate) Apply the Turns' DF Adjustment
abstract double	zero(int iDate) Calculate the implied rate to the given date
double	zero(java.lang.String strTenor) Calculate the implied rate to the given tenor
WengertJacobian	zeroRateJack(int iDate, java.lang.String strManifestMeasure) Retrieve the Jacobian for the Zero Rate to the given date
WengertJacobian	zeroRateJack(JulianDate dt, java.lang.String strManifestMeasure) Retrieve the Jacobian for the Zero Rate to the given date

Methods inherited from class java.lang.Object

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

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

calibComp, manifestMeasure

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

label

public LatentStateLabel label()

Description copied from interface: Curve

Get the Curve Latent State Identifier Label

Specified by:

label in interface Curve

Returns:

The Curve Latent State Identifier Label

currency

public java.lang.String currency()

Description copied from interface: Curve

Get the Currency

Specified by:

currency in interface Curve

Returns:

Currency

epoch

public JulianDate epoch()

Description copied from interface: Curve

Get the Epoch Date

Specified by:

epoch in interface Curve

Specified by:

epoch in interface DiscountFactorEstimator

Returns:

The Epoch Date

setTurns

public boolean setTurns(TurnListDiscountFactor tldf)

Set the Discount Curve Turns'

Parameters:

tldf - Turn List Discount Factor

Returns:

TRUE - Valid Turn List Discount Factor Set

turnAdjust

public double turnAdjust(int iStartDate,
                         int iFinishDate)
                  throws java.lang.Exception

Apply the Turns' DF Adjustment

Parameters:

iStartDate - Turn Start Date

iFinishDate - Turn Finish Date

Returns:

Turns' DF Adjustment

Throws:

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

nativeForwardCurve

public ForwardCurve nativeForwardCurve(java.lang.String strTenor)

Construct the Native Forward Curve for the given Tenor from the Discount Curve

Parameters:

strTenor - The Tenor

Returns:

The Tenor-Native Forward Curve

df

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

Description copied from interface: DiscountFactorEstimator

Calculate the discount factor to the given date

Specified by:

df in interface DiscountFactorEstimator

Parameters:

dt - 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

Specified by:

df in interface DiscountFactorEstimator

Parameters:

strTenor - Tenor

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

Specified by:

effectiveDF in interface DiscountFactorEstimator

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

Specified by:

effectiveDF in interface DiscountFactorEstimator

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

Specified by:

effectiveDF in interface DiscountFactorEstimator

Parameters:

strTenor1 - First Date

strTenor2 - Second Date

Returns:

Discount Factor

Throws:

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

forward

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

Compute the Forward Rate between two Dates

Parameters:

iDate1 - First Date

iDate2 - Second Date

Returns:

The Forward Rate

Throws:

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

forward

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

Compute the Forward Rate between two Tenors

Parameters:

strTenor1 - Tenor Start

strTenor2 - Tenor End

Returns:

The Forward Rate

Throws:

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

zero

public abstract double zero(int iDate)
                     throws java.lang.Exception

Calculate the implied rate to the given date

Parameters:

iDate - Date

Returns:

Implied rate

Throws:

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

zero

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

Calculate the implied rate to the given tenor

Parameters:

strTenor - Tenor

Returns:

Implied rate

Throws:

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

libor

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

Compute the LIBOR between 2 dates given the Day Count

Parameters:

iDate1 - First Date

iDate2 - Second Date

dblDCF - Day Count Fraction

Returns:

LIBOR

Throws:

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

libor

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

Compute the LIBOR between 2 dates

Parameters:

iDate1 - First Date

iDate2 - Second Date

Returns:

LIBOR

Throws:

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

libor

public double libor(int iStartDate,
                    java.lang.String strTenor)
             throws java.lang.Exception

Calculate the LIBOR to the given tenor at the specified date

Parameters:

iStartDate - Start Date

strTenor - Tenor

Returns:

LIBOR

Throws:

java.lang.Exception - Thrown if LIBOR cannot be calculated

libor

public double libor(JulianDate dt,
                    java.lang.String strTenor)
             throws java.lang.Exception

Calculate the LIBOR to the given tenor at the specified Julian Date

Parameters:

dt - Julian Date

strTenor - Tenor

Returns:

LIBOR

Throws:

java.lang.Exception - Thrown if LIBOR cannot be calculated

parSwapDV01

public double parSwapDV01(int iDate)
                   throws java.lang.Exception

Calculate the DV01 of the Par Swap that Matures at the given date

Parameters:

iDate - Date

Returns:

DV01 of the Par Swap that Matures at the given date

Throws:

java.lang.Exception - Thrown if DV01 cannot be calculated

estimateManifestMeasure

public double estimateManifestMeasure(java.lang.String strManifestMeasure,
                                      int iDate)
                               throws java.lang.Exception

Estimate the manifest measure value for the given date

Parameters:

strManifestMeasure - The Manifest Measure to be Estimated

iDate - Date

Returns:

The estimated calibrated measure value

Throws:

java.lang.Exception - Thrown if the estimated manifest measure cannot be computed

setCCIS

public boolean setCCIS(CurveConstructionInputSet ccis)

Description copied from interface: Curve

Set the Curve Construction Input Set Parameters

Specified by:

setCCIS in interface Curve

Parameters:

ccis - The Curve Construction Input Set Parameters

Returns:

TRUE - Inputs successfully Set

forwardRateEstimator

public abstract ForwardRateEstimator forwardRateEstimator(int iDate,
                                                          ForwardLabel fri)

Retrieve the Forward Curve that might be implied by the Latent State of this Discount Curve Instance corresponding to the specified Floating Rate Index

Parameters:

iDate - The Date

fri - The Floating Rate Index

Returns:

The Forward Curve Implied by the Discount Curve Latent State

latentStateQuantificationMetric

public abstract java.lang.String latentStateQuantificationMetric()

Retrieve the Latent State Quantification Metric

Returns:

The Latent State Quantification Metric

jackDDFDManifestMeasure

public abstract WengertJacobian jackDDFDManifestMeasure(int iDate,
                                                        java.lang.String strManifestMeasure)

Retrieve the Manifest Measure Jacobian of the Discount Factor to the given date

Parameters:

iDate - Date

strManifestMeasure - Manifest Measure

Returns:

The Manifest Measure Jacobian of the Discount Factor to the given date

jackDDFDManifestMeasure

public WengertJacobian jackDDFDManifestMeasure(JulianDate dt,
                                               java.lang.String strManifestMeasure)

Retrieve the Manifest Measure Jacobian of the Discount Factor to the given date

Parameters:

dt - Date

strManifestMeasure - Manifest Measure

Returns:

The Manifest Measure Jacobian of the Discount Factor to the given date

jackDDFDManifestMeasure

public WengertJacobian jackDDFDManifestMeasure(java.lang.String strTenor,
                                               java.lang.String strManifestMeasure)

Retrieve the Manifest Measure Jacobian of the Discount Factor to the date implied by the given Tenor

Parameters:

strTenor - Tenor

strManifestMeasure - Manifest Measure

Returns:

The Manifest Measure Jacobian of the Discount Factor to the date implied by the given Tenor

compJackDPVDManifestMeasure

public WengertJacobian compJackDPVDManifestMeasure(int iDate)

Calculate the Jacobian of PV at the given date to the Manifest Measure of each component in the calibration set to the DF

Parameters:

iDate - Date for which the Jacobian is needed

Returns:

The Jacobian

compJackDPVDManifestMeasure

public WengertJacobian compJackDPVDManifestMeasure(JulianDate dt)

Calculate the Jacobian of PV at the given date to the Manifest Measure of each component in the calibration set to the DF

Parameters:

dt - Date for which the Jacobian is needed

Returns:

The Jacobian

jackDForwardDManifestMeasure

public WengertJacobian jackDForwardDManifestMeasure(int iDate1,
                                                    int iDate2,
                                                    java.lang.String strManifestMeasure,
                                                    double dblElapsedYear)

Retrieve the Jacobian of the Forward Rate to the Manifest Measure between the given dates

Parameters:

iDate1 - Date 1

iDate2 - Date 2

strManifestMeasure - Manifest Measure

dblElapsedYear - The Elapsed Year (in the appropriate Day Count) between dates 1 and 2

Returns:

The Jacobian

jackDForwardDManifestMeasure

public WengertJacobian jackDForwardDManifestMeasure(JulianDate dt1,
                                                    JulianDate dt2,
                                                    java.lang.String strManifestMeasure,
                                                    double dblElapsedYear)

Retrieve the Jacobian of the Forward Rate to the Manifest Measure between the given dates

Parameters:

dt1 - Julian Date 1

dt2 - Julian Date 2

strManifestMeasure - Manifest Measure

dblElapsedYear - The Elapsed Year (in the appropriate Day Count) between dates 1 and 2

Returns:

The Jacobian

jackDForwardDManifestMeasure

public WengertJacobian jackDForwardDManifestMeasure(JulianDate dt,
                                                    java.lang.String strTenor,
                                                    java.lang.String strManifestMeasure,
                                                    double dblElapsedYear)

Retrieve the Jacobian of the Forward Rate to the Manifest Measure at the given date

Parameters:

dt - Given Julian Date

strTenor - Tenor

strManifestMeasure - Manifest Measure

dblElapsedYear - The Elapsed Year (in the appropriate Day Count) implied by the Tenor

Returns:

The Jacobian

zeroRateJack

public WengertJacobian zeroRateJack(int iDate,
                                    java.lang.String strManifestMeasure)

Retrieve the Jacobian for the Zero Rate to the given date

Parameters:

iDate - Date

strManifestMeasure - Manifest Measure

Returns:

The Jacobian

zeroRateJack

public WengertJacobian zeroRateJack(JulianDate dt,
                                    java.lang.String strManifestMeasure)

Retrieve the Jacobian for the Zero Rate to the given date

Parameters:

dt - Julian Date

strManifestMeasure - Manifest Measure

Returns:

The Jacobian

canonicalTruthness

public java.util.Map<java.lang.Integer,java.lang.Double> canonicalTruthness(java.lang.String strLatentStateQuantificationMetric)

Convert the inferred Formulation Constraint into a "Truthness" Entity

Parameters:

strLatentStateQuantificationMetric - Latent State Quantification Metric

Returns:

Map of the Truthness Entities