org.drip.state.forward

Class ForwardCurve

java.lang.Object

org.drip.state.forward.ForwardCurve

All Implemented Interfaces:

Curve, ForwardRateEstimator, LatentState

Direct Known Subclasses:

BasisSplineForwardRate, FlatForwardForwardCurve

public abstract class ForwardCurve
extends java.lang.Object
implements ForwardRateEstimator, Curve

ForwardCurve is the stub for the forward curve functionality. It extends the Curve object by exposing the following functions: - The name/epoch of the forward rate instance. - The index/currency/tenor associated with the forward rate instance. - Forward Rate to a specific date/tenor. - 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
java.lang.String	currency() Get the Currency
LatentState	customTweakManifestMeasure(java.lang.String strManifestMeasure, ManifestMeasureTweak rvtp) Create a LatentState Instance from the Manifest Measure Tweak Parameters
LatentState	customTweakQuantificationMetric(ManifestMeasureTweak rvtp) Create a LatentState Instance from the Quantification Metric Tweak Parameters
JulianDate	epoch() Get the Epoch Date
double	forward(JulianDate dt) Calculate the Forward Rate to the given date
double	forward(java.lang.String strTenor) Calculate the Forward Rate to the tenor implied by the given date
ForwardLabel	index() Retrieve the Forward Rate Index
abstract WengertJacobian	jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, int dblDate) Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
WengertJacobian	jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, JulianDate dt) Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
WengertJacobian	jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, java.lang.String strTenor) Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor
LatentStateLabel	label() Get the Curve Latent State Identifier Label
CaseInsensitiveTreeMap<java.lang.Double>	manifestMeasure(java.lang.String strInstrumentCode) Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve
LatentState	parallelShiftManifestMeasure(java.lang.String strManifestMeasure, double dblShift) Create a LatentState Instance from the Manifest Measure Parallel Shift
LatentState	parallelShiftQuantificationMetric(double dblShift) Create a LatentState Instance from the Quantification Metric Parallel Shift
boolean	setCCIS(CurveConstructionInputSet ccis) Set the Curve Construction Input Set Parameters
LatentState	shiftManifestMeasure(int iSpanIndex, java.lang.String strManifestMeasure, double dblShift) Create a LatentState Instance from the Shift of the Specified Manifest Measure
java.lang.String	tenor() Retrieve the Forward Rate Tenor

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.drip.state.forward.ForwardRateEstimator

forward

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

Returns:

The Epoch Date

tenor

public java.lang.String tenor()

Description copied from interface: ForwardRateEstimator

Retrieve the Forward Rate Tenor

Specified by:

tenor in interface ForwardRateEstimator

Returns:

The Forward Rate Tenor

index

public ForwardLabel index()

Description copied from interface: ForwardRateEstimator

Retrieve the Forward Rate Index

Specified by:

index in interface ForwardRateEstimator

Returns:

The Forward Rate Index

forward

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

Description copied from interface: ForwardRateEstimator

Calculate the Forward Rate to the given date

Specified by:

forward in interface ForwardRateEstimator

Parameters:

dt - Date

Returns:

The Forward Rate

Throws:

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

forward

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

Description copied from interface: ForwardRateEstimator

Calculate the Forward Rate to the tenor implied by the given date

Specified by:

forward in interface ForwardRateEstimator

Parameters:

strTenor - The Tenor

Returns:

The Forward Rate

Throws:

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

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

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

parallelShiftManifestMeasure

public LatentState parallelShiftManifestMeasure(java.lang.String strManifestMeasure,
                                                double dblShift)

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Parallel Shift

Specified by:

parallelShiftManifestMeasure in interface LatentState

Parameters:

strManifestMeasure - The Specified Manifest Measure

dblShift - Parallel shift of the Manifest Measure

Returns:

New LatentState Instance corresponding to the Parallel Shifted Manifest Measure

shiftManifestMeasure

public LatentState shiftManifestMeasure(int iSpanIndex,
                                        java.lang.String strManifestMeasure,
                                        double dblShift)

Description copied from interface: LatentState

Create a LatentState Instance from the Shift of the Specified Manifest Measure

Specified by:

shiftManifestMeasure in interface LatentState

Parameters:

iSpanIndex - Index into the Span that identifies the Instrument

strManifestMeasure - The Specified Manifest Measure

dblShift - Shift of the Manifest Measure

Returns:

New LatentState Instance corresponding to the Shift of the Specified Manifest Measure

customTweakManifestMeasure

public LatentState customTweakManifestMeasure(java.lang.String strManifestMeasure,
                                              ManifestMeasureTweak rvtp)

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Tweak Parameters

Specified by:

customTweakManifestMeasure in interface LatentState

Parameters:

strManifestMeasure - The Specified Manifest Measure

rvtp - Manifest Measure Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Manifest Measure

parallelShiftQuantificationMetric

public LatentState parallelShiftQuantificationMetric(double dblShift)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Parallel Shift

Specified by:

parallelShiftQuantificationMetric in interface LatentState

Parameters:

dblShift - Parallel shift of the Quantification Metric

Returns:

New LatentState Instance corresponding to the Parallel Shifted Quantification Metric

customTweakQuantificationMetric

public LatentState customTweakQuantificationMetric(ManifestMeasureTweak rvtp)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Tweak Parameters

Specified by:

customTweakQuantificationMetric in interface LatentState

Parameters:

rvtp - Quantification Metric Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Quantification Metric

jackDForwardDManifestMeasure

public abstract WengertJacobian jackDForwardDManifestMeasure(java.lang.String strManifestMeasure,
                                                             int dblDate)

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

Parameters:

strManifestMeasure - Manifest Measure

dblDate - Date

Returns:

The Manifest Measure Jacobian of the Forward Rate to the given date

jackDForwardDManifestMeasure

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

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

Parameters:

strManifestMeasure - Manifest Measure

dt - Date

Returns:

The Manifest Measure Jacobian of the Forward Rate to the given date

jackDForwardDManifestMeasure

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

Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor

Parameters:

strManifestMeasure - Manifest Measure

strTenor - Tenor

Returns:

The Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor