org.drip.state.nonlinear

Class FlatForwardDiscountCurve

java.lang.Object

org.drip.state.discount.MergedDiscountForwardCurve

org.drip.state.discount.ExplicitBootDiscountCurve

org.drip.state.nonlinear.FlatForwardDiscountCurve

All Implemented Interfaces:

Curve, ExplicitBootCurve, DiscountCurve, DiscountFactorEstimator, LatentState

public class FlatForwardDiscountCurve
extends ExplicitBootDiscountCurve

FlatForwardDiscountCurve manages the Discounting Latent State, using the Forward Rate as the State Response Representation. It exports the following functionality: - Boot Methods - Set/Bump Specific Node Quantification Metric, or Set Flat Value - Boot Calibration - Initialize Run, Compute Calibration Metric - Compute the discount factor, forward rate, or the zero rate from the Forward Rate Latent State - Create a ForwardRateEstimator instance for the given Index - Retrieve Array of the Calibration Components - Retrieve the Curve Construction Input Set - Compute the Jacobian of the Discount Factor Latent State to the input Quote - Synthesize scenario Latent State by parallel shifting/custom tweaking the quantification metric - Synthesize scenario Latent State by parallel/custom shifting/custom tweaking the manifest measure

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FlatForwardDiscountCurve(JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblForwardRate, boolean bDiscreteCompounding, java.lang.String strCompoundingDayCount, int iCompoundingFreq) Boot-strap a constant forward discount curve from an array of dates and discount rates

Method Summary

Modifier and Type	Method and Description
boolean	bumpNodeValue(int iNodeIndex, double dblValue) Bump the node value at the node specified the index by the value
java.util.Map<java.lang.Integer,java.lang.Double>	canonicalTruthness(java.lang.String strLatentQuantificationMetric) Convert the inferred Formulation Constraint into a "Truthness" Entity
FlatForwardDiscountCurve	createBasisRateShiftedCurve(int[] aiDate, double[] adblBasis) Create a shifted curve from an array of basis shifts
ExplicitBootDiscountCurve	customTweakManifestMeasure(java.lang.String strManifestMeasure, ManifestMeasureTweak rvtp) Create a LatentState Instance from the Manifest Measure Tweak Parameters
Curve	customTweakQuantificationMetric(ManifestMeasureTweak rvtp) Create a LatentState Instance from the Quantification Metric Tweak Parameters
double	df(int iDate) Calculate the Discount Factor to the given Date
double	forward(int iDate1, int iDate2) Compute the Forward Rate between two Dates
ForwardRateEstimator	forwardRateEstimator(int iDate, ForwardLabel fri) Retrieve the Forward Curve that might be implied by the Latent State of this Discount Curve Instance corresponding to the specified Floating Rate Index
WengertJacobian	jackDDFDManifestMeasure(int iDate, java.lang.String strManifestMeasure) Retrieve the Manifest Measure Jacobian of the Discount Factor to the given date
java.lang.String	latentStateQuantificationMetric() Retrieve the Latent State Quantification Metric
FlatForwardDiscountCurve	parallelShiftManifestMeasure(java.lang.String strManifestMeasure, double dblShift) Create a LatentState Instance from the Manifest Measure Parallel Shift
FlatForwardDiscountCurve	parallelShiftQuantificationMetric(double dblShift) Create a LatentState Instance from the Quantification Metric Parallel Shift
boolean	setFlatValue(double dblValue) Set the flat value across all the nodes
boolean	setNodeValue(int iNodeIndex, double dblValue) Set the Value/Slope at the Node specified by the Index
FlatForwardDiscountCurve	shiftManifestMeasure(int iSpanIndex, java.lang.String strManifestMeasure, double dblShift) Create a LatentState Instance from the Shift of the Specified Manifest Measure
double	zero(int iDate) Calculate the implied rate to the given date

Methods inherited from class org.drip.state.discount.ExplicitBootDiscountCurve

calibComp, manifestMeasure, setCCIS

Methods inherited from class org.drip.state.discount.MergedDiscountForwardCurve

compJackDPVDManifestMeasure, compJackDPVDManifestMeasure, currency, df, df, effectiveDF, effectiveDF, effectiveDF, epoch, estimateManifestMeasure, forward, jackDDFDManifestMeasure, jackDDFDManifestMeasure, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, label, libor, libor, libor, libor, nativeForwardCurve, parSwapDV01, setTurns, turnAdjust, zero, zeroRateJack, zeroRateJack

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.drip.analytics.definition.Curve

currency, epoch, label

Constructor Detail

FlatForwardDiscountCurve

public FlatForwardDiscountCurve(JulianDate dtStart,
                                java.lang.String strCurrency,
                                int[] aiDate,
                                double[] adblForwardRate,
                                boolean bDiscreteCompounding,
                                java.lang.String strCompoundingDayCount,
                                int iCompoundingFreq)
                         throws java.lang.Exception

Boot-strap a constant forward discount curve from an array of dates and discount rates

Parameters:

dtStart - Epoch Date

strCurrency - Currency

aiDate - Array of Dates

adblForwardRate - Array of Forward Rates

bDiscreteCompounding - TRUE - Compounding is Discrete

strCompoundingDayCount - Day Count Convention to be used for Discrete Compounding

iCompoundingFreq - Frequency to be used for Discrete Compounding

Throws:

java.lang.Exception - Thrown if the curve cannot be created

Method Detail

df

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

Description copied from interface: DiscountFactorEstimator

Calculate the Discount Factor to the given Date

Parameters:

iDate - Date

Returns:

Discount Factor

Throws:

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

forward

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

Description copied from class: MergedDiscountForwardCurve

Compute the Forward Rate between two Dates

Specified by:

forward in class MergedDiscountForwardCurve

Parameters:

iDate1 - First Date

iDate2 - Second Date

Returns:

The Forward Rate

Throws:

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

zero

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

Description copied from class: MergedDiscountForwardCurve

Calculate the implied rate to the given date

Specified by:

zero in class MergedDiscountForwardCurve

Parameters:

iDate - Date

Returns:

Implied rate

Throws:

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

forwardRateEstimator

public ForwardRateEstimator forwardRateEstimator(int iDate,
                                                 ForwardLabel fri)

Description copied from class: MergedDiscountForwardCurve

Retrieve the Forward Curve that might be implied by the Latent State of this Discount Curve Instance corresponding to the specified Floating Rate Index

Specified by:

forwardRateEstimator in class MergedDiscountForwardCurve

Parameters:

iDate - The Date

fri - The Floating Rate Index

Returns:

The Forward Curve Implied by the Discount Curve Latent State

canonicalTruthness

public java.util.Map<java.lang.Integer,java.lang.Double> canonicalTruthness(java.lang.String strLatentQuantificationMetric)

Description copied from class: MergedDiscountForwardCurve

Convert the inferred Formulation Constraint into a "Truthness" Entity

Overrides:

canonicalTruthness in class MergedDiscountForwardCurve

Parameters:

strLatentQuantificationMetric - Latent State Quantification Metric

Returns:

Map of the Truthness Entities

parallelShiftManifestMeasure

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

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Parallel Shift

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 FlatForwardDiscountCurve 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

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 ExplicitBootDiscountCurve customTweakManifestMeasure(java.lang.String strManifestMeasure,
                                                            ManifestMeasureTweak rvtp)

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Tweak Parameters

Parameters:

strManifestMeasure - The Specified Manifest Measure

rvtp - Manifest Measure Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Manifest Measure

parallelShiftQuantificationMetric

public FlatForwardDiscountCurve parallelShiftQuantificationMetric(double dblShift)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Parallel Shift

Parameters:

dblShift - Parallel shift of the Quantification Metric

Returns:

New LatentState Instance corresponding to the Parallel Shifted Quantification Metric

customTweakQuantificationMetric

public Curve customTweakQuantificationMetric(ManifestMeasureTweak rvtp)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Tweak Parameters

Parameters:

rvtp - Quantification Metric Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Quantification Metric

createBasisRateShiftedCurve

public FlatForwardDiscountCurve createBasisRateShiftedCurve(int[] aiDate,
                                                            double[] adblBasis)

Description copied from class: ExplicitBootDiscountCurve

Create a shifted curve from an array of basis shifts

Specified by:

createBasisRateShiftedCurve in class ExplicitBootDiscountCurve

Parameters:

aiDate - Array of dates

adblBasis - Array of basis

Returns:

Discount Curve

latentStateQuantificationMetric

public java.lang.String latentStateQuantificationMetric()

Description copied from class: MergedDiscountForwardCurve

Retrieve the Latent State Quantification Metric

Specified by:

latentStateQuantificationMetric in class MergedDiscountForwardCurve

Returns:

The Latent State Quantification Metric

jackDDFDManifestMeasure

public WengertJacobian jackDDFDManifestMeasure(int iDate,
                                               java.lang.String strManifestMeasure)

Description copied from class: MergedDiscountForwardCurve

Retrieve the Manifest Measure Jacobian of the Discount Factor to the given date

Specified by:

jackDDFDManifestMeasure in class MergedDiscountForwardCurve

Parameters:

iDate - Date

strManifestMeasure - Manifest Measure

Returns:

The Manifest Measure Jacobian of the Discount Factor to the given date

setNodeValue

public boolean setNodeValue(int iNodeIndex,
                            double dblValue)

Description copied from interface: ExplicitBootCurve

Set the Value/Slope at the Node specified by the Index

Parameters:

iNodeIndex - Node Index

dblValue - Node Value

Returns:

Success (true), failure (false)

bumpNodeValue

public boolean bumpNodeValue(int iNodeIndex,
                             double dblValue)

Description copied from interface: ExplicitBootCurve

Bump the node value at the node specified the index by the value

Parameters:

iNodeIndex - node index

dblValue - node bump value

Returns:

Success (true), failure (false)

setFlatValue

public boolean setFlatValue(double dblValue)

Description copied from interface: ExplicitBootCurve

Set the flat value across all the nodes

Parameters:

dblValue - node value

Returns:

Success (true), failure (false)