org.drip.state.discount

Class ZeroCurve

java.lang.Object

org.drip.state.discount.ZeroCurve

All Implemented Interfaces:

Curve, DiscountCurve, DiscountFactorEstimator, LatentState

Direct Known Subclasses:

DerivedZeroRate

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

ZeroCurve exposes the node set containing the zero curve node points. In addition to the discount curve functionality that it automatically provides by extension, it provides the functionality to calculate the zero rate.

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
java.lang.String	currency() Get the Currency
JulianDate	epoch() Get the Epoch Date
abstract double	zeroRate(int iDate) Retrieve the zero rate corresponding 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, label, manifestMeasure, setCCIS

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

customTweakManifestMeasure, customTweakQuantificationMetric, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, shiftManifestMeasure

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

df, df, df, effectiveDF, effectiveDF, effectiveDF

Method Detail

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

currency

public java.lang.String currency()

Description copied from interface: Curve

Get the Currency

Specified by:

currency in interface Curve

Returns:

Currency

zeroRate

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

Retrieve the zero rate corresponding to the given date

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