Uses of Class
org.drip.state.discount.MergedDiscountForwardCurve

Packages that use MergedDiscountForwardCurve

Package	Description
org.drip.analytics.cashflow
org.drip.dynamics.lmm
org.drip.param.creator
org.drip.param.market
org.drip.pricer.option
org.drip.product.fx
org.drip.product.option
org.drip.sample.bloomberg
org.drip.sample.dual
org.drip.sample.forward
org.drip.sample.fra
org.drip.service.api
org.drip.service.product
org.drip.service.state
org.drip.service.template
org.drip.state.boot
org.drip.state.creator
org.drip.state.credit
org.drip.state.curve
org.drip.state.discount
org.drip.state.fx
org.drip.state.nonlinear

Uses of MergedDiscountForwardCurve in org.drip.analytics.cashflow

Methods in org.drip.analytics.cashflow with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
static LossQuadratureMetrics	LossQuadratureMetrics.MakeDefaultPeriod(int iStartDate, int iEndDate, double dblAccrualDCF, double dblEffectiveNotional, double dblEffectiveRecovery, MergedDiscountForwardCurve dc, CreditCurve cc, int iDefaultLag) Create an Instance of the LossPeriodCurveFactors using the Period's Dates and Curves to generate the Curve Measures
static LossQuadratureMetrics	LossQuadratureMetrics.MakeDefaultPeriod(int iStartDate, int iEndDate, double dblAccrualDCF, double dblEffectiveNotional, MergedDiscountForwardCurve dc, CreditCurve cc, int iDefaultLag) Create a LossPeriodCurveFactors instance from the period dates and the curve measures

Uses of MergedDiscountForwardCurve in org.drip.dynamics.lmm

Methods in org.drip.dynamics.lmm that return MergedDiscountForwardCurve

Modifier and Type	Method and Description
MergedDiscountForwardCurve	LognormalLIBORPointEvolver.discountCurve() Retrieve the Discount Curve Instance
MergedDiscountForwardCurve	BGMCurveUpdate.discountCurve() Retrieve the Discount Factor Curve

Methods in org.drip.dynamics.lmm with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
double[]	LognormalLIBORVolatility.continuousForwardVolatility(int iTargetDate, MergedDiscountForwardCurve dc) Compute the Volatility of the Continuously Compounded Forward Rate Up to the Target Date
static BGMCurveUpdate	BGMCurveUpdate.Create(FundingLabel lslFunding, ForwardLabel lslForward, int iInitialDate, int iFinalDate, ForwardCurve fc, Span spanLIBORIncrement, MergedDiscountForwardCurve dc, Span spanDiscountFactorIncrement, Span spanContinuousForwardRateIncrement, Span spanSpotRateIncrement, Span spanInstantaneousEffectiveForward, Span spanInstantaneousNominalForward, LognormalLIBORVolatility llv) Construct an Instance of BGMCurveUpdate

Constructors in org.drip.dynamics.lmm with parameters of type MergedDiscountForwardCurve

Constructor and Description
LognormalLIBORPointEvolver(FundingLabel lslFunding, ForwardLabel lslForward, LognormalLIBORVolatility llv, ForwardCurve fc, MergedDiscountForwardCurve dc) LognormalLIBORPointEvolver Constructor

Uses of MergedDiscountForwardCurve in org.drip.param.creator

Methods in org.drip.param.creator with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
static CurveSurfaceQuoteContainer	MarketParamsBuilder.Create(MergedDiscountForwardCurve dcFunding, ForwardCurve fc, GovvieCurve gc, CreditCurve cc, java.lang.String strComponentCode, ProductQuote compQuote, CaseInsensitiveTreeMap<ProductQuote> mTSYQuotes, LatentStateFixingsContainer lsfc) Create a Market Parameters instance with the funding discount curve, the forward discount curve, the govvie curve, the credit curve, the component quote, the map of treasury benchmark quotes, and the Latent State Fixings Instance.
static CurveSurfaceQuoteContainer	MarketParamsBuilder.Create(MergedDiscountForwardCurve dcFunding, GovvieCurve gc, CreditCurve cc, java.lang.String strComponentCode, ProductQuote compQuote, CaseInsensitiveTreeMap<ProductQuote> mTSYQuotes, LatentStateFixingsContainer lsfc) Create a Market Parameters Instance with the Funding Curve, the Govvie Curve, the Credit Curve, the component quote, the map of treasury benchmark quotes, and the Latent State Fixings Container
static CurveSurfaceQuoteContainer	MarketParamsBuilder.Credit(MergedDiscountForwardCurve dcFunding, CreditCurve cc) Create a Market Parameters Instance with the Funding Curve and the credit curve
static CurveSurfaceQuoteContainer	MarketParamsBuilder.Discount(MergedDiscountForwardCurve dcFunding) Create a Market Parameters instance with the Funding Curve alone
static CurveSurfaceQuoteContainer	MarketParamsBuilder.DiscountForward(MergedDiscountForwardCurve dcFunding, ForwardCurve fc) Create a Market Parameters instance with the Funding Curve and the forward Curve
static CurveSurfaceQuoteContainer	MarketParamsBuilder.Govvie(MergedDiscountForwardCurve dcFunding, GovvieCurve gc) Create a Market Parameters instance with the rates discount curve and the treasury discount curve alone

Uses of MergedDiscountForwardCurve in org.drip.param.market

Methods in org.drip.param.market that return MergedDiscountForwardCurve

Modifier and Type	Method and Description
MergedDiscountForwardCurve	DiscountCurveScenarioContainer.base() Return the base Discount Curve
MergedDiscountForwardCurve	DiscountCurveScenarioContainer.bumpDown() Return the Bump Down Discount Curve
MergedDiscountForwardCurve	DiscountCurveScenarioContainer.bumpUp() Return the Bump Up Discount Curve
MergedDiscountForwardCurve	CurveSurfaceQuoteContainer.collateralChoiceDiscountCurve(java.lang.String strPayCurrency) Retrieve the Collateral Choice Discount Curve for the specified Pay Currency
MergedDiscountForwardCurve	CurveSurfaceQuoteContainer.fundingState(FundingLabel fundingLabel) Retrieve the Funding Latent State Corresponding to the Label
MergedDiscountForwardCurve	CurveSurfaceQuoteContainer.overnightState(OvernightLabel overnightLabel) Retrieve the Overnight Latent State Corresponding to the Label
MergedDiscountForwardCurve	CurveSurfaceQuoteContainer.payCurrencyCollateralCurrencyCurve(java.lang.String strPayCurrency, java.lang.String strCollateralCurrency) Retrieve the Discount Curve associated with the Pay Cash-flow Collateralized using a different Collateral Currency Numeraire
MergedDiscountForwardCurve	CurveSurfaceQuoteContainer.ratingState(RatingLabel ratingLabel) Retrieve the Rating State for the specified Rating Latent State Label

Methods in org.drip.param.market that return types with arguments of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	DiscountCurveScenarioContainer.custom() Return the Custom Discount curve map
CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	DiscountCurveScenarioContainer.tenorBumpDown() Return the map of the tenor Bump Down Discount Curve
CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	DiscountCurveScenarioContainer.tenorBumpUp() Return the map of the tenor Bump Up Discount Curve

Methods in org.drip.param.market with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
boolean	CreditCurveScenarioContainer.cookCustomCC(java.lang.String strName, java.lang.String strCustomName, ValuationParams valParams, MergedDiscountForwardCurve dc, GovvieCurve gc, java.lang.String[] astrCalibMeasure, double[] adblQuote, double dblRecovery, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp, boolean bFlat, ManifestMeasureTweak rvtpDC, ManifestMeasureTweak rvtpTSY, ManifestMeasureTweak rvtpCC) Cook the credit curve according to the desired tweak parameters
boolean	CreditCurveScenarioContainer.cookScenarioCC(java.lang.String strName, ValuationParams valParams, MergedDiscountForwardCurve dc, GovvieCurve gc, java.lang.String[] astrCalibMeasure, double[] adblQuote, double dblRecovery, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp, boolean bFlat, int iScenario) Cook and save the credit curves corresponding to the scenario specified
boolean	CurveSurfaceQuoteContainer.setFundingState(MergedDiscountForwardCurve dc) (Re)-set the Funding State
boolean	CurveSurfaceQuoteContainer.setOvernightState(MergedDiscountForwardCurve dcOvernight) (Re)-set the Overnight State
boolean	CurveSurfaceQuoteContainer.setPayCurrencyCollateralCurrencyCurve(java.lang.String strPayCurrency, java.lang.String strCollateralCurrency, MergedDiscountForwardCurve dcPayCurrencyCollateralCurrency) Set the Discount Curve associated with the Pay Cash-flow Collateralized using a different Collateral Currency Numeraire
boolean	CurveSurfaceQuoteContainer.setRatingCurve(RatingLabel ratingLabel, MergedDiscountForwardCurve dcRating) (Re)-set the Rating State for the specified Rating Latent State Label

Uses of MergedDiscountForwardCurve in org.drip.pricer.option

Methods in org.drip.pricer.option with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
Greeks	FokkerPlanckGenerator.greeks(int iSpotDate, int iExpiryDate, double dblStrike, MergedDiscountForwardCurve dcFunding, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblIntegratedSurfaceVariance) Carry out a Sensitivity Run and generate the Pricing related measure set
Greeks	FokkerPlanckGenerator.greeks(int iSpotDate, int iExpiryDate, double dblStrike, MergedDiscountForwardCurve dcFunding, double dblUnderlier, boolean bIsPut, boolean bIsForward, R1ToR1 funcVolatilityR1ToR1) Carry out a Sensitivity Run and generate the Pricing related measure set
double	FokkerPlanckGenerator.impliedVolatilityFromPrice(int iSpotDate, int iExpiryDate, double dblStrike, MergedDiscountForwardCurve dcFunding, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblPrice) Imply the Effective Volatility From the Option Price
double	FokkerPlanckGenerator.payoff(int iSpotDate, int iExpiryDate, double dblStrike, MergedDiscountForwardCurve dcFunding, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblInitialVolatility, boolean bAsPrice) Compute the Expected Payoff of the Option from the Inputs
double	FokkerPlanckGenerator.payoff(int iSpotDate, int iExpiryDate, double dblStrike, MergedDiscountForwardCurve dcFunding, double dblUnderlier, boolean bIsPut, boolean bIsForward, R1ToR1 funcVolatilityR1ToR1, boolean bAsPrice) Compute the Expected Payoff of the Option from the Inputs

Uses of MergedDiscountForwardCurve in org.drip.product.fx

Methods in org.drip.product.fx with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
double	FXForwardComponent.FXBasisCalibrator.calibrateDCBasisFromFwdPriceNR(ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, double dblFXSpot, double dblMarketFXFwdPrice, boolean bBasisOnDenom) Calibrate the discount curve basis from FXForward using Newton-Raphson methodology
double	FXForwardComponent.discountCurveBasis(ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, double dblFXSpot, double dblMarketFXFwdPrice, boolean bBasisOnDenom) Calculate the basis to either the numerator or the denominator discount curve
double	FXForwardComponent.fxForward(ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, double dblFXSpot, boolean bFwdAsPIP) Imply the FX Forward

Uses of MergedDiscountForwardCurve in org.drip.product.option

Methods in org.drip.product.option with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
double	EuropeanCallPut.implyVolatilityFromCallPrice(ValuationParams valParams, double dblUnderlier, boolean bIsForward, MergedDiscountForwardCurve dc, double dblCallPrice) Imply the Option Volatility given the Call Price
double	EuropeanCallPut.implyVolatilityFromPutPrice(ValuationParams valParams, double dblUnderlier, boolean bIsForward, MergedDiscountForwardCurve dc, double dblPutPrice) Imply the Option Volatility given the Put Price
CaseInsensitiveTreeMap<java.lang.Double>	EuropeanCallPut.value(ValuationParams valParams, double dblUnderlier, boolean bIsForward, MergedDiscountForwardCurve dc, R1ToR1 auVolatility, FokkerPlanckGenerator fpg) Generate the Measure Set for the Option

Uses of MergedDiscountForwardCurve in org.drip.sample.bloomberg

Methods in org.drip.sample.bloomberg with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
static ForwardCurve	SWPM_NEW.MakeForwardCurve(JulianDate dtValue, MergedDiscountForwardCurve dcOvernight, java.lang.String strForwardTenor)

Uses of MergedDiscountForwardCurve in org.drip.sample.dual

Methods in org.drip.sample.dual with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
static void	CCBSForwardCurve.ForwardCurveReferenceComponentBasis(java.lang.String strReferenceCurrency, java.lang.String strDerivedCurrency, JulianDate dtValue, MergedDiscountForwardCurve dcReference, ForwardCurve fc6MReference, ForwardCurve fc3MReference, MergedDiscountForwardCurve dcDerived, ForwardCurve fc6MDerived, double dblRefDerFX, SegmentCustomBuilderControl scbc, java.lang.String[] astrTenor, double[] adblCrossCurrencyBasis, boolean bBasisOnDerivedLeg)
static void	CCBSDiscountCurve.MakeDiscountCurve(java.lang.String strReferenceCurrency, java.lang.String strDerivedCurrency, JulianDate dtValue, MergedDiscountForwardCurve dcReference, ForwardCurve fc6MReference, ForwardCurve fc3MReference, double dblRefDerFX, SegmentCustomBuilderControl scbc, java.lang.String[] astrTenor, double[] adblCrossCurrencyBasis, double[] adblSwapRate, boolean bBasisOnDerivedLeg)

Uses of MergedDiscountForwardCurve in org.drip.sample.forward

Methods in org.drip.sample.forward that return MergedDiscountForwardCurve

Modifier and Type	Method and Description
static MergedDiscountForwardCurve	OvernightIndexCurve.MakeDC(JulianDate dtSpot, java.lang.String strCurrency) Construct an elaborate EONIA Discount Curve
static MergedDiscountForwardCurve	OvernightIndexCurve.MakeDC(java.lang.String strCurrency, JulianDate dtSpot, int[] aiDepositMaturityDays, double[] adblDepositQuote, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String[] astrOISFutureTenor, java.lang.String[] astrOISFutureMaturityTenor, double[] adblOISFutureQuote, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, SegmentCustomBuilderControl scbc, FloaterIndex fi)

Methods in org.drip.sample.forward with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
static ForwardCurve	IBORCurve.CustomIBORBuilderSample(MergedDiscountForwardCurve dc, ForwardCurve fcReference, ForwardLabel fri, SegmentCustomBuilderControl scbc, java.lang.String[] astrDepositTenor, double[] adblDepositQuote, java.lang.String strDepositCalibMeasure, java.lang.String[] astrFRATenor, double[] adblFRAQuote, java.lang.String strFRACalibMeasure, java.lang.String[] astrFixFloatTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatCalibMeasure, java.lang.String[] astrFloatFloatTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatCalibMeasure, java.lang.String[] astrSyntheticFloatFloatTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatCalibMeasure, java.lang.String strHeaderComment, boolean bPrintMetric)
static ForwardCurve	IBORCurve.CustomIBORBuilderSample2(MergedDiscountForwardCurve dc, ForwardCurve fcReference, ForwardLabel fri, SegmentCustomBuilderControl scbc, java.lang.String[] astrDepositTenor, double[] adblDepositQuote, java.lang.String strDepositCalibMeasure, java.lang.String[] astrFRATenor, double[] adblFRAQuote, java.lang.String strFRACalibMeasure, java.lang.String[] astrFixFloatTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatCalibMeasure, java.lang.String[] astrComponentPairTenor, double[] adblComponentPairQuote, java.lang.String strComponentPairCalibMeasure, java.lang.String[] astrSyntheticComponentPairTenor, double[] adblSyntheticComponentPairQuote, java.lang.String strSyntheticComponentPairCalibMeasure, java.lang.String strHeaderComment, boolean bPrintMetric)
static ForwardCurve	IBOR3MCubicPolyVanilla.Make3MForward(java.lang.String strTenor, java.lang.String strCurrency, JulianDate dtValue, MergedDiscountForwardCurve dcEONIA, ForwardCurve fc6M, SegmentCustomBuilderControl scbc, boolean bPrintMetric)

Uses of MergedDiscountForwardCurve in org.drip.sample.fra

Methods in org.drip.sample.fra with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
static org.drip.sample.fra.MultiCurveFRAMarketAnalysis.FRAMktConvexityCorrection	MultiCurveFRAMarketAnalysis.FRAMktMetric(JulianDate dtValue, MergedDiscountForwardCurve dcEONIA, ForwardCurve fcEURIBOR6M, java.lang.String strForwardStartTenor, VolatilityCurve vcEONIA, VolatilityCurve vcEURIBOR6M, double dblEONIAEURIBOR6MCorrelation)

Uses of MergedDiscountForwardCurve in org.drip.service.api

Methods in org.drip.service.api that return MergedDiscountForwardCurve

Modifier and Type	Method and Description
MergedDiscountForwardCurve	DateDiscountCurvePair.dc() Retrieve the Discount Curve

Constructors in org.drip.service.api with parameters of type MergedDiscountForwardCurve

Constructor and Description
DateDiscountCurvePair(JulianDate dt, MergedDiscountForwardCurve dc, java.util.List<java.lang.String> lsstrDump) DateDiscountCurvePair constructor

Uses of MergedDiscountForwardCurve in org.drip.service.product

Methods in org.drip.service.product with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
static PositionChangeComponents	FixFloatAPI.HorizonChangeAttribution(MergedDiscountForwardCurve dcFirst, MergedDiscountForwardCurve dcSecond, CaseInsensitiveHashMap<MergedDiscountForwardCurve> mapRollDownDiscountCurve, java.lang.String strMaturityTenor) Compute the Horizon Change Attribution Details for the Specified Fix-Float Swap

Method parameters in org.drip.service.product with type arguments of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
static PositionChangeComponents	FixFloatAPI.HorizonChangeAttribution(MergedDiscountForwardCurve dcFirst, MergedDiscountForwardCurve dcSecond, CaseInsensitiveHashMap<MergedDiscountForwardCurve> mapRollDownDiscountCurve, java.lang.String strMaturityTenor) Compute the Horizon Change Attribution Details for the Specified Fix-Float Swap

Uses of MergedDiscountForwardCurve in org.drip.service.state

Methods in org.drip.service.state that return types with arguments of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
static java.util.Map<JulianDate,MergedDiscountForwardCurve>	FundingCurveAPI.HistoricalMap(JulianDate[] adtSpot, java.lang.String[] astrFixFloatMaturityTenor, double[][] aadblFixFloatQuote, java.lang.String strCurrency, int iLatentStateType) Generate the Funding Curve Map

Uses of MergedDiscountForwardCurve in org.drip.service.template

Methods in org.drip.service.template that return MergedDiscountForwardCurve

Modifier and Type	Method and Description
static MergedDiscountForwardCurve	LatentMarketStateBuilder.FundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, int iLatentStateType) Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments
static MergedDiscountForwardCurve	LatentMarketStateBuilder.FundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, SegmentCustomBuilderControl scbc) Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified Spline
static MergedDiscountForwardCurve	LatentMarketStateBuilder.OvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure, int iLatentStateType) Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
static MergedDiscountForwardCurve	LatentMarketStateBuilder.OvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure, SegmentCustomBuilderControl scbc) Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
static MergedDiscountForwardCurve	LatentMarketStateBuilder.ShapePreservingFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure) Construct a Shape Preserving Funding Curve Based off of the Input Exchange/OTC Market Instruments
static MergedDiscountForwardCurve	LatentMarketStateBuilder.ShapePreservingOvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure) Construct a Shape Preserving Overnight Curve from Overnight Exchange/OTC Market Instruments
static MergedDiscountForwardCurve	LatentMarketStateBuilder.SmoothFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure) Construct a Smooth Funding Curve Based off of the Input Exchange/OTC Market Instruments
static MergedDiscountForwardCurve	LatentMarketStateBuilder.SmoothOvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure) Construct a Smooth Overnight Curve from Overnight Exchange/OTC Market Instruments

Methods in org.drip.service.template that return types with arguments of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
static CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	LatentMarketStateBuilder.BumpedFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, int iLatentStateType, double dblBump, boolean bIsProportional) Construct a Map of Tenor Bumped Funding Curve Based off of the Input Exchange/OTC Market Instruments
static CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	LatentMarketStateBuilder.BumpedOvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure, int iLatentStateType, double dblBump, boolean bIsProportional) Construct a Map of Tenor + Parallel Bumped Overnight Curves

Methods in org.drip.service.template with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
static CaseInsensitiveTreeMap<CreditCurve>	LatentMarketStateBuilder.BumpedCreditCurve(JulianDate dtSpot, java.lang.String strCredit, java.lang.String[] astrMaturityTenor, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc, double dblBump, boolean bIsProportional) Construct a Tenor + Parallel Map of Bumped Credit Curves from Overnight Exchange/OTC Market Instruments
static CaseInsensitiveTreeMap<ForwardCurve>	LatentMarketStateBuilder.BumpedForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference, int iLatentStateType, double dblBump, boolean bIsProportional) Construct a Map of Tenor Bumped Forward Curve Based off of the Input Exchange/OTC Market Instruments
static CaseInsensitiveTreeMap<VolatilityCurve>	LatentMarketStateBuilder.BumpedForwardVolatilityCurve(JulianDate dtSpot, ForwardLabel forwardLabel, boolean bIsCap, java.lang.String[] astrMaturityTenor, double[] adblStrike, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc, ForwardCurve fc, double dblBump, boolean bIsProportional) Construct a Tenor + Parallel Forward Volatility Latent State Construction from Cap/Floor Instruments
static CreditCurve	LatentMarketStateBuilder.CreditCurve(JulianDate dtSpot, CreditDefaultSwap[] aCDS, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc) Construct a Credit Curve from the specified Calibration CDS Instruments
static CreditCurve	LatentMarketStateBuilder.CreditCurve(JulianDate dtSpot, java.lang.String strCredit, java.lang.String[] astrMaturityTenor, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc) Construct a Credit Curve from Overnight Exchange/OTC Market Instruments
static ForwardCurve	LatentMarketStateBuilder.ForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference, int iLatentStateType) Construct a Instance of the Smooth/Shape Preserving Forward Curve off of Exchange/OTC Market Instruments
static ForwardCurve	LatentMarketStateBuilder.ForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference, SegmentCustomBuilderControl scbc) Construct a Instance of the Forward Curve off of Exchange/OTC Market Instruments
static VolatilityCurve	LatentMarketStateBuilder.ForwardRateVolatilityCurve(JulianDate dtSpot, ForwardLabel forwardLabel, boolean bIsCap, java.lang.String[] astrMaturityTenor, double[] adblStrike, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc, ForwardCurve fc) Forward Rate Volatility Latent State Construction from Cap/Floor Instruments
static ForwardCurve	LatentMarketStateBuilder.ShapePreservingForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference) Construct a Instance of the Shape Preserving Forward Curve off of Exchange/OTC Market Instruments
static ForwardCurve	LatentMarketStateBuilder.SmoothForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference) Construct a Instance of Smooth Forward Curve off of Exchange/OTC Market Instruments

Uses of MergedDiscountForwardCurve in org.drip.state.boot

Methods in org.drip.state.boot that return MergedDiscountForwardCurve

Modifier and Type	Method and Description
static MergedDiscountForwardCurve	DiscountCurveScenario.Standard(ValuationParams valParams, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblBump, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a discount curve
static MergedDiscountForwardCurve[]	DiscountCurveScenario.Tenor(ValuationParams valParams, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblBump, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate an array of tenor bumped discount curves

Methods in org.drip.state.boot that return types with arguments of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
static CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	DiscountCurveScenario.TenorMap(ValuationParams valParams, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblBump, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a tenor map of tenor bumped discount curves

Methods in org.drip.state.boot with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
static CreditCurve	CreditCurveScenario.Standard(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblRecovery, boolean bFlat, MergedDiscountForwardCurve dc, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a Credit Curve
static VolatilityCurve	VolatilityCurveScenario.Standard(java.lang.String strName, ValuationParams valParams, LatentStateLabel lslUnderlying, FRAStandardCapFloor[] aFRACapFloor, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, boolean bFlat, MergedDiscountForwardCurve dc, ForwardCurve fc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a Volatility Curve
static CreditCurve[]	CreditCurveScenario.Tenor(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblRecovery, boolean bFlat, double dblBump, MergedDiscountForwardCurve dc, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Create an array of tenor bumped credit curves
static VolatilityCurve[]	VolatilityCurveScenario.Tenor(java.lang.String strName, ValuationParams valParams, LatentStateLabel lslUnderlying, FRAStandardCapFloor[] aFRACapFloor, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, boolean bFlat, double dblBump, MergedDiscountForwardCurve dc, ForwardCurve fc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Create an array of tenor bumped Volatility curves
static CaseInsensitiveTreeMap<CreditCurve>	CreditCurveScenario.TenorMap(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblRecovery, boolean bFlat, double dblBump, MergedDiscountForwardCurve dc, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Create an tenor named map of tenor bumped credit curves
CaseInsensitiveTreeMap<VolatilityCurve>	VolatilityCurveScenario.TenorMap(java.lang.String strName, ValuationParams valParams, LatentStateLabel lslUnderlying, FRAStandardCapFloor[] aFRACapFloor, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, boolean bFlat, double dblBump, MergedDiscountForwardCurve dc, ForwardCurve fc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Create an tenor named map of tenor bumped Volatility curves

Uses of MergedDiscountForwardCurve in org.drip.state.creator

Methods in org.drip.state.creator that return MergedDiscountForwardCurve

Modifier and Type	Method and Description
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.BuildFromDF(JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblDF) Build a Discount Curve from an array of discount factors
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.CubicKLKHyperbolicDFRateShapePreserver(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibComp1, double[] adblQuote1, java.lang.String[] astrManifestMeasure1, CalibratableComponent[] aCalibComp2, double[] adblQuote2, java.lang.String[] astrManifestMeasure2, boolean bZeroSmooth) Construct an instance of the Shape Preserver of the KLK Hyperbolic Tension Type, using the specified basis set builder parameters.
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.CubicPolyDFRateShapePreserver(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibComp1, double[] adblQuote1, java.lang.String[] astrManifestMeasure1, CalibratableComponent[] aCalibComp2, double[] adblQuote2, java.lang.String[] astrManifestMeasure2, boolean bZeroSmooth) Construct an instance of the Shape Preserver of the Cubic Polynomial Type, using the specified basis set builder parameters.
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.CubicPolynomialDiscountCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblDF) Create an Instance of the Cubic Polynomial Splined DF Discount Curve
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.CustomDENSE(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibComp1, double[] adblQuote1, java.lang.String strTenor1, java.lang.String[] astrManifestMeasure1, CalibratableComponent[] aCalibComp2, double[] adblQuote2, java.lang.String strTenor2, java.lang.String[] astrManifestMeasure2, TurnListDiscountFactor tldf) Customizable DENSE Curve Creation Methodology - the references are: - Sankar, L.
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.CustomSplineDiscountCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblDF, SegmentCustomBuilderControl scbc) Create an Instance of the Custom Splined Discount Curve
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.DENSE(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibComp1, double[] adblQuote1, java.lang.String[] astrManifestMeasure1, CalibratableComponent[] aCalibComp2, double[] adblQuote2, java.lang.String[] astrManifestMeasure2, TurnListDiscountFactor tldf) The Standard DENSE Curve Creation Methodology - this uses no re-construction set for the short term, and uses 3M dense re-construction for the Swap Set.
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.DFRateShapePreserver(java.lang.String strName, ValuationParams valParams, CreditPricerParams pricerParam, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParam, java.lang.String strBasisType, FunctionSetBuilderParams fsbp, CalibratableComponent[] aCalibComp1, double[] adblQuote1, java.lang.String[] astrManifestMeasure1, CalibratableComponent[] aCalibComp2, double[] adblQuote2, java.lang.String[] astrManifestMeasure2, double dblEpochResponse, boolean bZeroSmooth) Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set builder parameters.
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.DUALDENSE(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibComp1, double[] adblQuote1, java.lang.String strTenor1, java.lang.String[] astrManifestMeasure1, CalibratableComponent[] aCalibComp2, double[] adblQuote2, java.lang.String strTenor2, java.lang.String[] astrManifestMeasure2, TurnListDiscountFactor tldf) The DUAL DENSE Curve Creation Methodology - this uses configurable re-construction set for the short term, and another configurable re-construction for the Swap Set.
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.KaklisPandelisDiscountCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblDF) Create an Instance of the Kaklis-Pandelis Splined DF Discount Curve
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.KLKExponentialDiscountCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblDF, double dblTension) Create an Instance of the KLK Exponential Splined DF Discount Curve
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.KLKHyperbolicDiscountCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblDF, double dblTension) Create an Instance of the KLK Hyperbolic Splined DF Discount Curve
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.KLKRationalLinearDiscountCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblDF, double dblTension) Create an Instance of the KLK Linear Rational Splined DF Discount Curve
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.KLKRationalQuadraticDiscountCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblDF, double dblTension) Create an Instance of the KLK Quadratic Rational Splined DF Discount Curve
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.NonlinearBuild(JulianDate dt, java.lang.String strCurrency, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, LatentStateFixingsContainer lsfc) Create Discount Curve from the Calibration Instruments
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.QuarticPolynomialDiscountCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblDF) Create an Instance of the Quartic Polynomial Splined DF Discount Curve
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.ShapePreservingDFBuild(java.lang.String strCurrency, LinearLatentStateCalibrator llsc, LatentStateStretchSpec[] aStretchSpec, ValuationParams valParam, CreditPricerParams pricerParam, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParam, double dblEpochResponse) Build the Shape Preserving Discount Curve using the Custom Parameters
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.SmoothingGlobalControlBuild(MergedDiscountForwardCurve dcShapePreserver, LinearLatentStateCalibrator llsc, GlobalControlCurveParams gccp, ValuationParams valParam, CreditPricerParams pricerParam, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParam) Build a Globally Smoothed Instance of the Discount Curve using the Custom Parameters
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.SmoothingLocalControlBuild(MergedDiscountForwardCurve dcShapePreserver, LinearLatentStateCalibrator llsc, LocalControlCurveParams lccp, ValuationParams valParam, CreditPricerParams pricerParam, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParam) Build a Locally Smoothed Instance of the Discount Curve using the Custom Parameters

Methods in org.drip.state.creator with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
static CreditCurve	ScenarioCreditCurveBuilder.Custom(java.lang.String strName, JulianDate dtSpot, CalibratableComponent[] aCalibInst, MergedDiscountForwardCurve dc, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblRecovery, boolean bFlat) Calibrate the base credit curve from the input credit instruments, measures, and the quotes
static VolatilityCurve	ScenarioLocalVolatilityBuilder.NonlinearBuild(java.lang.String strName, JulianDate dtSpot, LatentStateLabel lslUnderlying, FRAStandardCapFloor[] aFRACapFloor, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, MergedDiscountForwardCurve dc, ForwardCurve fc, LatentStateFixingsContainer lsfc) Create a Volatility Curve from the Calibration Instruments
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.SmoothingGlobalControlBuild(MergedDiscountForwardCurve dcShapePreserver, LinearLatentStateCalibrator llsc, GlobalControlCurveParams gccp, ValuationParams valParam, CreditPricerParams pricerParam, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParam) Build a Globally Smoothed Instance of the Discount Curve using the Custom Parameters
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.SmoothingLocalControlBuild(MergedDiscountForwardCurve dcShapePreserver, LinearLatentStateCalibrator llsc, LocalControlCurveParams lccp, ValuationParams valParam, CreditPricerParams pricerParam, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParam) Build a Locally Smoothed Instance of the Discount Curve using the Custom Parameters

Uses of MergedDiscountForwardCurve in org.drip.state.credit

Methods in org.drip.state.credit with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
void	CreditCurve.setInstrCalibInputs(ValuationParams valParam, boolean bFlat, MergedDiscountForwardCurve dc, GovvieCurve gc, CreditPricerParams pricerParam, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, LatentStateFixingsContainer lsfc, ValuationCustomizationParams quotingParams) Set the calibration inputs for the CreditCurve

Uses of MergedDiscountForwardCurve in org.drip.state.curve

Subclasses of MergedDiscountForwardCurve in org.drip.state.curve

Modifier and Type	Class and Description
class	DeterministicCollateralChoiceDiscountCurve DeterministicCollateralChoiceDiscountCurve implements the Dynamically Switchable Collateral Choice Discount Curve among the choice of provided "deterministic" collateral curves.
class	DiscountFactorDiscountCurve DiscountFactorDiscountCurve manages the Discounting Latent State, using the Discount Factor as the State Response Representation.
class	ForeignCollateralizedDiscountCurve ForeignCollateralizedDiscountCurve computes the discount factor corresponding to one unit of domestic currency collateralized by a foreign collateral.
class	ZeroRateDiscountCurve ZeroRateDiscountCurve manages the Discounting Latent State, using the Zero Rate as the State Response Representation.

Methods in org.drip.state.curve that return MergedDiscountForwardCurve

Modifier and Type	Method and Description
MergedDiscountForwardCurve	BasisSplineFXForward.bootstrapBasisDC(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom)
MergedDiscountForwardCurve	ZeroRateDiscountCurve.customTweakManifestMeasure(java.lang.String strManifestMeasure, ManifestMeasureTweak rvtp)
MergedDiscountForwardCurve	DiscountFactorDiscountCurve.customTweakManifestMeasure(java.lang.String strManifestMeasure, ManifestMeasureTweak rvtp)
MergedDiscountForwardCurve	DeterministicCollateralChoiceDiscountCurve.customTweakManifestMeasure(java.lang.String strManifestMeasure, ManifestMeasureTweak rvtp)

Methods in org.drip.state.curve with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
double[]	BasisSplineFXForward.bootstrapBasis(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom)
MergedDiscountForwardCurve	BasisSplineFXForward.bootstrapBasisDC(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom)
double[]	BasisSplineFXForward.impliedNodeRates(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom)
double	BasisSplineFXForward.rate(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, int iDate, boolean bBasisOnDenom)
double[]	BasisSplineFXForward.zeroBasis(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom)

Constructors in org.drip.state.curve with parameters of type MergedDiscountForwardCurve

Constructor and Description
DeterministicCollateralChoiceDiscountCurve(MergedDiscountForwardCurve dcDomesticCollateralized, ForeignCollateralizedDiscountCurve[] aFCDC, int iDiscreteCollateralizationIncrement) DeterministicCollateralChoiceDiscountCurve constructor
ForeignCollateralizedDiscountCurve(java.lang.String strCurrency, MergedDiscountForwardCurve dcCollateralForeign, FXCurve fxForward, VolatilityCurve vcCollateralForeign, VolatilityCurve vcFX, R1ToR1 r1r1CollateralForeignFXCorrelation) ForeignCollateralizedDiscountCurve constructor

Uses of MergedDiscountForwardCurve in org.drip.state.discount

Subclasses of MergedDiscountForwardCurve in org.drip.state.discount

Modifier and Type	Class and Description
class	ExplicitBootDiscountCurve ExplicitBootDiscountCurve exposes the functionality associated with the bootstrapped Discount Curve.

Uses of MergedDiscountForwardCurve in org.drip.state.fx

Methods in org.drip.state.fx that return MergedDiscountForwardCurve

Modifier and Type	Method and Description
abstract MergedDiscountForwardCurve	FXCurve.bootstrapBasisDC(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom) Bootstrap the discount curve from the discount curve inputs

Methods in org.drip.state.fx with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
abstract double[]	FXCurve.bootstrapBasis(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom) Bootstrap the basis to the discount curve inputs
abstract MergedDiscountForwardCurve	FXCurve.bootstrapBasisDC(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom) Bootstrap the discount curve from the discount curve inputs
abstract double[]	FXCurve.impliedNodeRates(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom) Calculate the rates implied by the discount curve inputs
abstract double	FXCurve.rate(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, int iDate, boolean bBasisOnDenom) Calculate the rate implied by the discount curve inputs to a specified date
abstract double[]	FXCurve.zeroBasis(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom) Calculate the set of Zero basis given the input discount curves

Uses of MergedDiscountForwardCurve in org.drip.state.nonlinear

Subclasses of MergedDiscountForwardCurve in org.drip.state.nonlinear

Modifier and Type	Class and Description
class	FlatForwardDiscountCurve FlatForwardDiscountCurve manages the Discounting Latent State, using the Forward Rate as the State Response Representation.

Methods in org.drip.state.nonlinear that return MergedDiscountForwardCurve

Modifier and Type	Method and Description
MergedDiscountForwardCurve	FlatForwardFXCurve.bootstrapBasisDC(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom)

Methods in org.drip.state.nonlinear with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method and Description
double[]	FlatForwardFXCurve.bootstrapBasis(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom)
MergedDiscountForwardCurve	FlatForwardFXCurve.bootstrapBasisDC(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom)
static boolean	NonlinearCurveBuilder.CreditCurve(ValuationParams valParams, Component calibComp, double dblCalibValue, java.lang.String strCalibMeasure, boolean bFlat, int iCurveSegmentIndex, ExplicitBootCreditCurve ebcc, MergedDiscountForwardCurve dc, GovvieCurve gc, CreditPricerParams pricerParams, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a single Hazard Rate Node from the corresponding Component
double[]	FlatForwardFXCurve.impliedNodeRates(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom)
double	FlatForwardFXCurve.rate(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, int iDate, boolean bBasisOnDenom)
static boolean	NonlinearCurveBuilder.VolatilityCurve(ValuationParams valParams, Component[] aCalibComp, double[] adblCalibValue, java.lang.String[] astrCalibMeasure, double dblBump, boolean bFlat, ExplicitBootVolatilityCurve ebvc, MergedDiscountForwardCurve dc, ForwardCurve fc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Boot-strap a Volatility Curve from the set of calibration components
static double	NonlinearCurveBuilder.VolatilityCurveNode(ValuationParams valParams, Component comp, double dblCalibValue, java.lang.String strCalibMeasure, boolean bFlat, int iCurveSegmentIndex, ExplicitBootVolatilityCurve ebvc, MergedDiscountForwardCurve dc, ForwardCurve fc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a Single Volatility Curve Segment from the corresponding Component
double[]	FlatForwardFXCurve.zeroBasis(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom)