org.drip.state.fx

Class FXCurve

java.lang.Object

org.drip.state.fx.FXCurve

All Implemented Interfaces:

Curve, LatentState

Direct Known Subclasses:

BasisSplineFXForward, ExplicitBootFXCurve

public abstract class FXCurve
extends java.lang.Object
implements Curve

FXCurve is the Stub for the FX Curve for the specified Currency Pair.

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
abstract double[]	bootstrapBasis(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom) Bootstrap the basis to the discount curve inputs
abstract MergedDiscountForwardCurve	bootstrapBasisDC(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom) Bootstrap the discount curve from the discount curve inputs
CalibratableComponent[]	calibComp() Retrieve the Calibration Components
java.lang.String	currency() Get the Currency
CurrencyPair	currencyPair() Return the CurrencyPair
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
abstract double	fx(int iDate) Calculate the FX Forward to the given Date
double	fx(JulianDate dt) Calculate the FX Forward to the given date
double	fx(java.lang.String strTenor) Calculate the FX Forward to the given date
abstract double[]	impliedNodeRates(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom) Calculate the rates implied by the discount curve inputs
abstract WengertJacobian	jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, int iDate) 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 strInstr) 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
abstract double	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
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
abstract double[]	zeroBasis(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom) Calculate the set of Zero basis given the input discount curves

Methods inherited from class java.lang.Object

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

Method Detail

fx

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

Calculate the FX Forward to the given Date

Parameters:

iDate - Date

Returns:

The FX Forward

Throws:

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

zeroBasis

public abstract double[] zeroBasis(int[] aiDateNode,
                                   ValuationParams valParams,
                                   MergedDiscountForwardCurve dcNum,
                                   MergedDiscountForwardCurve dcDenom,
                                   boolean bBasisOnDenom)

Calculate the set of Zero basis given the input discount curves

Parameters:

aiDateNode - Array of Date Nodes

valParams - Valuation Parameters

dcNum - Discount Curve Numerator

dcDenom - Discount Curve Denominator

bBasisOnDenom - True if the basis is calculated on the denominator discount curve

Returns:

Array of the computed basis

bootstrapBasis

public abstract double[] bootstrapBasis(int[] aiDateNode,
                                        ValuationParams valParams,
                                        MergedDiscountForwardCurve dcNum,
                                        MergedDiscountForwardCurve dcDenom,
                                        boolean bBasisOnDenom)

Bootstrap the basis to the discount curve inputs

Parameters:

aiDateNode - Array of Date Nodes

valParams - Valuation Parameters

dcNum - Discount Curve Numerator

dcDenom - Discount Curve Denominator

bBasisOnDenom - True if the basis is calculated on the denominator discount curve

Returns:

Array of the computed basis

bootstrapBasisDC

public abstract MergedDiscountForwardCurve bootstrapBasisDC(int[] aiDateNode,
                                                            ValuationParams valParams,
                                                            MergedDiscountForwardCurve dcNum,
                                                            MergedDiscountForwardCurve dcDenom,
                                                            boolean bBasisOnDenom)

Bootstrap the discount curve from the discount curve inputs

Parameters:

aiDateNode - Array of Date Nodes

valParams - Valuation Parameters

dcNum - Discount Curve Numerator

dcDenom - Discount Curve Denominator

bBasisOnDenom - True if the basis is calculated on the denominator discount curve

Returns:

Array of the computed basis

impliedNodeRates

public abstract double[] impliedNodeRates(int[] aiDateNode,
                                          ValuationParams valParams,
                                          MergedDiscountForwardCurve dcNum,
                                          MergedDiscountForwardCurve dcDenom,
                                          boolean bBasisOnDenom)

Calculate the rates implied by the discount curve inputs

Parameters:

aiDateNode - Array of Date Nodes

valParams - Valuation Parameters

dcNum - Discount Curve Numerator

dcDenom - Discount Curve Denominator

bBasisOnDenom - True if the basis is calculated on the denominator discount curve

Returns:

Array of the computed implied rates

rate

public abstract double rate(int[] aiDateNode,
                            ValuationParams valParams,
                            MergedDiscountForwardCurve dcNum,
                            MergedDiscountForwardCurve dcDenom,
                            int iDate,
                            boolean bBasisOnDenom)
                     throws java.lang.Exception

Calculate the rate implied by the discount curve inputs to a specified date

Parameters:

aiDateNode - Array of Date Nodes

valParams - ValuationParams

dcNum - Discount Curve Numerator

dcDenom - Discount Curve Denominator

iDate - Date to which the implied rate is sought

bBasisOnDenom - True if the implied rate is calculated on the denominator discount curve

Returns:

Implied rate

Throws:

java.lang.Exception - Thrown if the implied rate cannot be calculated

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

currencyPair

public CurrencyPair currencyPair()

Return the CurrencyPair

Returns:

CurrencyPair

fx

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

Calculate the FX Forward to the given date

Parameters:

dt - Date

Returns:

The FX Forward

Throws:

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

fx

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

Calculate the FX Forward to the given date

Parameters:

strTenor - The Tenor

Returns:

The FX Forward

Throws:

java.lang.Exception - Thrown if the FX Forward 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 strInstr)

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:

strInstr - 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 iDate)

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

Parameters:

strManifestMeasure - Manifest Measure

iDate - 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