Uses of Class
org.drip.state.govvie.GovvieCurve

Packages that use GovvieCurve

Package	Description
org.drip.param.creator
org.drip.param.market
org.drip.service.product
org.drip.service.template
org.drip.state.boot
org.drip.state.creator
org.drip.state.credit
org.drip.state.curve
org.drip.state.govvie
org.drip.state.nonlinear

Uses of GovvieCurve in org.drip.param.creator

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

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.Govvie(MergedDiscountForwardCurve dcFunding, GovvieCurve gc) Create a Market Parameters instance with the rates discount curve and the treasury discount curve alone

Uses of GovvieCurve in org.drip.param.market

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

Modifier and Type	Method and Description
GovvieCurve	CurveSurfaceQuoteContainer.govvieState(GovvieLabel govvieLabel) Retrieve the Government State for the specified Label

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

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	DiscountCurveScenarioContainer.cookScenarioDC(ValuationParams valParams, GovvieCurve gc, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblBump, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp, int iDCMode) Generate the set of discount curves from the scenario specified, and the instrument quotes
boolean	CurveSurfaceQuoteContainer.setGovvieState(GovvieCurve gc) (Re)-set the Govvie State Curve

Uses of GovvieCurve in org.drip.service.product

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

Modifier and Type	Method and Description
static PositionChangeComponents	TreasuryAPI.HorizonChangeAttribution(GovvieCurve gcFirst, GovvieCurve gcSecond, CaseInsensitiveHashMap<GovvieCurve> mapRollDownGovvieCurve, java.lang.String strMaturityTenor, java.lang.String strCode) Compute the Horizon Change Attribution Details for the Specified Treasury Bond

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

Modifier and Type	Method and Description
static PositionChangeComponents	TreasuryAPI.HorizonChangeAttribution(GovvieCurve gcFirst, GovvieCurve gcSecond, CaseInsensitiveHashMap<GovvieCurve> mapRollDownGovvieCurve, java.lang.String strMaturityTenor, java.lang.String strCode) Compute the Horizon Change Attribution Details for the Specified Treasury Bond

Uses of GovvieCurve in org.drip.service.template

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

Modifier and Type	Method and Description
static GovvieCurve	LatentMarketStateBuilder.GovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, int iLatentStateType) Construct a Govvie Curve from the Treasury Instruments
static GovvieCurve	LatentMarketStateBuilder.GovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, SegmentCustomBuilderControl scbc) Construct a Govvie Curve from the Treasury Instruments
static GovvieCurve	LatentMarketStateBuilder.ShapePreservingGovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure) Construct a Shape Preserving Govvie Curve from the Treasury Instruments
static GovvieCurve	LatentMarketStateBuilder.SmoothGovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure) Construct a Smooth Govvie Curve from the Treasury Instruments

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

Modifier and Type	Method and Description
static CaseInsensitiveTreeMap<GovvieCurve>	LatentMarketStateBuilder.BumpedGovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, int iLatentStateType, double dblBump, boolean bIsProportional) Construct a Tenor + Parallel Map of Govvie Curves from the Treasury Instruments

Uses of GovvieCurve in org.drip.state.boot

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

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 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 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 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
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
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

Uses of GovvieCurve in org.drip.state.creator

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

Modifier and Type	Method and Description
static GovvieCurve	ScenarioGovvieCurveBuilder.ConstantYield(int iEpochDate, java.lang.String strTreasuryCode, java.lang.String strCurrency, double dblYield) Construct a Govvie Curve from the Specified Date and Yield
static GovvieCurve	ScenarioGovvieCurveBuilder.CubicPolynomialCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strTreasuryCode, java.lang.String strCurrency, int[] aiMaturityDate, double[] adblYield) Create an Instance of the Cubic Polynomial Splined Govvie Yield Curve
static GovvieCurve	ScenarioGovvieCurveBuilder.CubicPolyShapePreserver(java.lang.String strName, java.lang.String strTreasuryCode, java.lang.String strCurrency, int iSpotDate, CalibratableComponent[] aComp, double[] adblQuote, java.lang.String strManifestMeasure) Construct an Instance of the Shape Preserver of the Cubic Polynomial Type, using the Specified Basis Set Builder Parameters.
static GovvieCurve	ScenarioGovvieCurveBuilder.CustomSplineCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strTreasuryCode, java.lang.String strCurrency, int[] aiMaturityDate, double[] adblYield, SegmentCustomBuilderControl scbc) Create an Instance of the Custom Splined Govvie Yield Curve
static GovvieCurve	ScenarioGovvieCurveBuilder.DateYield(int iEpochDate, java.lang.String strTreasuryCode, java.lang.String strCurrency, int[] aiDate, double[] adblYield) Construct a Govvie Curve from an Array of Dates and Yields
static GovvieCurve	ScenarioGovvieCurveBuilder.KaklisPandelisCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strTreasuryCode, java.lang.String strCurrency, int[] aiMaturityDate, double[] adblYield) Create an Instance of the Kaklis-Pandelis Splined Govvie Yield Curve
static GovvieCurve	ScenarioGovvieCurveBuilder.KLKHyperbolicCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strTreasuryCode, java.lang.String strCurrency, int[] aiMaturityDate, double[] adblYield, double dblTension) Create an Instance of the KLK Hyperbolic Splined Govvie Yield Curve
static GovvieCurve	ScenarioGovvieCurveBuilder.KLKRationalLinearCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strTreasuryCode, java.lang.String strCurrency, int[] aiMaturityDate, double[] adblYield, double dblTension) Create an Instance of the KLK Rational Linear Splined Govvie Yield Curve
static GovvieCurve	ScenarioGovvieCurveBuilder.KLKRationalQuadraticCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strTreasuryCode, java.lang.String strCurrency, int[] aiMaturityDate, double[] adblYield, double dblTension) Create an Instance of the KLK Rational Quadratic Splined Govvie Yield Curve
static GovvieCurve	ScenarioGovvieCurveBuilder.LinearPolyShapePreserver(java.lang.String strName, java.lang.String strTreasuryCode, java.lang.String strCurrency, int iSpotDate, CalibratableComponent[] aComp, double[] adblQuote, java.lang.String strManifestMeasure) Construct an Instance of the Shape Preserver of the Linear Polynomial Type, using the Specified Basis Set Builder Parameters.
static GovvieCurve	ScenarioGovvieCurveBuilder.QuarticPolynomialCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strTreasuryCode, java.lang.String strCurrency, int[] aiMaturityDate, double[] adblYield) Create an Instance of the Quartic Polynomial Splined Govvie Yield Curve
static GovvieCurve	ScenarioGovvieCurveBuilder.ShapePreservingGovvieCurve(LinearLatentStateCalibrator llsc, LatentStateStretchSpec[] aStretchSpec, java.lang.String strTreasuryCode, java.lang.String strCurrency, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqc, ValuationCustomizationParams vcp, double dblEpochResponse) Build the Shape Preserving Govvie Curve using the Custom Parameters
static GovvieCurve	ScenarioGovvieCurveBuilder.ShapePreservingGovvieCurve(java.lang.String strName, java.lang.String strTreasuryCode, java.lang.String strCurrency, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqc, ValuationCustomizationParams vcp, java.lang.String strBasisType, FunctionSetBuilderParams fsbp, SegmentInelasticDesignControl sdic, CalibratableComponent[] aCalibComp, java.lang.String strManifestMeasure, double[] adblQuote) Construct an Instance of the Shape Preserver of the desired Basis Spline Type, using the specified Basis Spline Set Builder Parameters.

Uses of GovvieCurve in org.drip.state.credit

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

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 GovvieCurve in org.drip.state.curve

Subclasses of GovvieCurve in org.drip.state.curve

Modifier and Type	Class and Description
class	BasisSplineGovvieYield BasisSplineGovvieYield manages the Basis Spline Latent State, using the Basis as the State Response Representation, for the Govvie Curve with Yield Quantification Metric.

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

Modifier and Type	Method and Description
static DerivedZeroRate	DerivedZeroRate.FromGovvieCurve(int iFreqZC, java.lang.String strDCZC, java.lang.String strCalendarZC, boolean bApplyEOMAdjZC, java.util.List<CompositePeriod> lsCouponPeriod, int iWorkoutDate, int iValueDate, int iCashPayDate, GovvieCurve gc, double dblZCBump, ValuationCustomizationParams vcp, SegmentCustomBuilderControl scbc) Construct an Instance from the Govvie Curve and the related Parameters

Uses of GovvieCurve in org.drip.state.govvie

Subclasses of GovvieCurve in org.drip.state.govvie

Modifier and Type	Class and Description
class	ExplicitBootGovvieCurve ExplicitBootGovvieCurve exposes the Functionality associated with the bootstrapped Govvie Curve.

Uses of GovvieCurve in org.drip.state.nonlinear

Subclasses of GovvieCurve in org.drip.state.nonlinear

Modifier and Type	Class and Description
class	FlatYieldGovvieCurve FlatYieldGovvieCurve manages the Govvie Latent State, using the Flat Yield as the State Response Representation.

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

Modifier and Type	Method and Description
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
static boolean	NonlinearCurveBuilder.DiscountCurve(ValuationParams valParams, Component[] aCalibComp, double[] adblCalibValue, java.lang.String[] astrCalibMeasure, double dblBump, boolean bFlat, ExplicitBootDiscountCurve ebdc, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Boot-strap a Discount Curve from the set of calibration components
static double	NonlinearCurveBuilder.DiscountCurveNode(ValuationParams valParams, Component comp, double dblCalibValue, java.lang.String strCalibMeasure, boolean bFlat, int iCurveSegmentIndex, ExplicitBootDiscountCurve ebdc, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a Single Discount Curve Segment from the corresponding Component