org.drip.state.govvie

Class GovvieCurve

java.lang.Object

org.drip.state.govvie.GovvieCurve

All Implemented Interfaces:

Curve, DiscountCurve, DiscountFactorEstimator, YieldEstimator, LatentState

Direct Known Subclasses:

BasisSplineGovvieYield, ExplicitBootGovvieCurve

public abstract class GovvieCurve
extends java.lang.Object
implements DiscountCurve, YieldEstimator

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

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
java.lang.String	dayCount() Retrieve the Yield Day Count
double	df(int iDate) Calculate the Discount Factor to the given Date
double	df(JulianDate dt) Calculate the discount factor to the given date
double	df(java.lang.String strTenor) Calculate the Discount Factor to the given Tenor
double	effectiveDF(int iDate1, int iDate2) Compute the time-weighted discount factor between 2 dates
double	effectiveDF(JulianDate dt1, JulianDate dt2) Compute the time-weighted discount factor between 2 dates
double	effectiveDF(java.lang.String strTenor1, java.lang.String strTenor2) Compute the time-weighted discount factor between 2 tenors
JulianDate	epoch() Get the Epoch Date
int	freq() Retrieve the Yield Frequency
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
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
double	yield(JulianDate dt) Calculate the Yield to the given Date
double	yield(java.lang.String strTenor) Calculate the Yield to the Tenor implied by the given Date
double	yieldDF(int iDate, double dblDCF) Calculate the Discount Factor to the given Date Using the specified DCF

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.drip.state.govvie.YieldEstimator

yield

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

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

yield

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

Description copied from interface: YieldEstimator

Calculate the Yield to the given Date

Specified by:

yield in interface YieldEstimator

Parameters:

dt - Date

Returns:

The Yield

Throws:

java.lang.Exception - Thrown if the Yield cannot be calculated

yield

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

Description copied from interface: YieldEstimator

Calculate the Yield to the Tenor implied by the given Date

Specified by:

yield in interface YieldEstimator

Parameters:

strTenor - The Tenor

Returns:

The Yield

Throws:

java.lang.Exception - Thrown if the Yield cannot be calculated

df

public double df(int iDate)
          throws java.lang.Exception

Description copied from interface: DiscountFactorEstimator

Calculate the Discount Factor to the given Date

Specified by:

df in interface DiscountFactorEstimator

Parameters:

iDate - Date

Returns:

Discount Factor

Throws:

java.lang.Exception - Thrown if the Discount Factor cannot be calculated

df

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

Description copied from interface: DiscountFactorEstimator

Calculate the discount factor to the given date

Specified by:

df in interface DiscountFactorEstimator

Parameters:

dt - Date

Returns:

Discount factor

Throws:

java.lang.Exception - Thrown if the discount factor cannot be calculated

df

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

Description copied from interface: DiscountFactorEstimator

Calculate the Discount Factor to the given Tenor

Specified by:

df in interface DiscountFactorEstimator

Parameters:

strTenor - Tenor

Returns:

Discount factor

Throws:

java.lang.Exception - Thrown if the Discount Factor cannot be calculated

effectiveDF

public double effectiveDF(int iDate1,
                          int iDate2)
                   throws java.lang.Exception

Description copied from interface: DiscountFactorEstimator

Compute the time-weighted discount factor between 2 dates

Specified by:

effectiveDF in interface DiscountFactorEstimator

Parameters:

iDate1 - First Date

iDate2 - Second Date

Returns:

Discount Factor

Throws:

java.lang.Exception - Thrown if the discount factor cannot be calculated

effectiveDF

public double effectiveDF(JulianDate dt1,
                          JulianDate dt2)
                   throws java.lang.Exception

Description copied from interface: DiscountFactorEstimator

Compute the time-weighted discount factor between 2 dates

Specified by:

effectiveDF in interface DiscountFactorEstimator

Parameters:

dt1 - First Date

dt2 - Second Date

Returns:

Discount Factor

Throws:

java.lang.Exception - Thrown if the discount factor cannot be calculated

effectiveDF

public double effectiveDF(java.lang.String strTenor1,
                          java.lang.String strTenor2)
                   throws java.lang.Exception

Description copied from interface: DiscountFactorEstimator

Compute the time-weighted discount factor between 2 tenors

Specified by:

effectiveDF in interface DiscountFactorEstimator

Parameters:

strTenor1 - First Date

strTenor2 - Second Date

Returns:

Discount Factor

Throws:

java.lang.Exception - Thrown if the discount factor cannot be calculated

yieldDF

public double yieldDF(int iDate,
                      double dblDCF)
               throws java.lang.Exception

Description copied from interface: YieldEstimator

Calculate the Discount Factor to the given Date Using the specified DCF

Specified by:

yieldDF in interface YieldEstimator

Parameters:

iDate - Date

dblDCF - The Day Count Fraction

Returns:

Discount Factor

Throws:

java.lang.Exception - Thrown if the Discount Factor 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

freq

public int freq()

Retrieve the Yield Frequency

Returns:

The Yield Frequency

dayCount

public java.lang.String dayCount()

Retrieve the Yield Day Count

Returns:

The Yield Day Count

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