org.drip.state.forward

Interface ForwardRateEstimator

All Known Implementing Classes:

BasisSplineForwardRate, FlatForwardForwardCurve, ForwardCurve

public interface ForwardRateEstimator

ForwardRateEstimator is the interface that exposes the calculation of the Forward Rate for a specific Index. It exposes methods to compute forward rates to a given date/tenor, extract the forward rate index and the Tenor.

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
double	forward(int iDate) Calculate the Forward Rate to the given 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
java.lang.String	tenor() Retrieve the Forward Rate Tenor

Method Detail

index

ForwardLabel index()

Retrieve the Forward Rate Index

Returns:

The Forward Rate Index

tenor

java.lang.String tenor()

Retrieve the Forward Rate Tenor

Returns:

The Forward Rate Tenor

forward

double forward(int iDate)
        throws java.lang.Exception

Calculate the Forward Rate to the given Date

Parameters:

iDate - Date

Returns:

The Forward Rate

Throws:

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

forward

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

Calculate the Forward Rate to the given date

Parameters:

dt - Date

Returns:

The Forward Rate

Throws:

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

forward

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

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

Parameters:

strTenor - The Tenor

Returns:

The Forward Rate

Throws:

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