org.drip.state.nonlinear

Class FlatForwardFXCurve

java.lang.Object

org.drip.state.fx.FXCurve

org.drip.state.fx.ExplicitBootFXCurve

org.drip.state.nonlinear.FlatForwardFXCurve

All Implemented Interfaces:

Curve, ExplicitBootCurve, LatentState

public class FlatForwardFXCurve
extends ExplicitBootFXCurve

FlatForwardVolatilityCurve manages the Volatility Latent State, using the Forward Volatility as the State Response Representation.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FlatForwardFXCurve(int iEpochDate, CurrencyPair cp, double dblFXSpot, int[] aiPillarDate, double[] adblFXForward) FlatForwardVolatilityCurve Constructor

Method Summary

Modifier and Type	Method and Description
double[]	bootstrapBasis(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom) Bootstrap the basis to the discount curve inputs
MergedDiscountForwardCurve	bootstrapBasisDC(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom) Bootstrap the discount curve from the discount curve inputs
boolean	bumpNodeValue(int iNodeIndex, double dblValue) Bump the node value at the node specified the index by the value
double	fx(int iDate) Calculate the FX Forward to the given Date
double	fxSpot() Retrieve the FX Spot
double[]	impliedNodeRates(int[] aiDateNode, ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, boolean bBasisOnDenom) Calculate the rates implied by the discount curve inputs
WengertJacobian	jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, int iDate) Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
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	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
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 org.drip.state.fx.FXCurve

calibComp, currency, currencyPair, customTweakManifestMeasure, customTweakQuantificationMetric, epoch, fx, fx, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, label, manifestMeasure, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, setCCIS, shiftManifestMeasure

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

calibComp, currency, epoch, label, manifestMeasure, setCCIS

Methods inherited from interface org.drip.state.representation.LatentState

customTweakManifestMeasure, customTweakQuantificationMetric, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, shiftManifestMeasure

Constructor Detail

FlatForwardFXCurve

public FlatForwardFXCurve(int iEpochDate,
                          CurrencyPair cp,
                          double dblFXSpot,
                          int[] aiPillarDate,
                          double[] adblFXForward)
                   throws java.lang.Exception

FlatForwardVolatilityCurve Constructor

Parameters:

iEpochDate - Epoch Date

cp - Currency Pair

dblFXSpot - FX Spot

aiPillarDate - Array of the Pillar Dates

adblFXForward - Array of the corresponding FX Forward Nodes

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

fx

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

Description copied from class: FXCurve

Calculate the FX Forward to the given Date

Specified by:

fx in class FXCurve

Parameters:

iDate - Date

Returns:

The FX Forward

Throws:

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

fxSpot

public double fxSpot()

Retrieve the FX Spot

Returns:

The FX Spot

zeroBasis

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

Description copied from class: FXCurve

Calculate the set of Zero basis given the input discount curves

Specified by:

zeroBasis in class FXCurve

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

Description copied from class: FXCurve

Calculate the rates implied by the discount curve inputs

Specified by:

impliedNodeRates in class FXCurve

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

bootstrapBasis

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

Description copied from class: FXCurve

Bootstrap the basis to the discount curve inputs

Specified by:

bootstrapBasis in class FXCurve

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

Description copied from class: FXCurve

Bootstrap the discount curve from the discount curve inputs

Specified by:

bootstrapBasisDC in class FXCurve

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

rate

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

Description copied from class: FXCurve

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

Specified by:

rate in class FXCurve

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

jackDForwardDManifestMeasure

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

Description copied from class: FXCurve

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

Specified by:

jackDForwardDManifestMeasure in class FXCurve

Parameters:

strManifestMeasure - Manifest Measure

iDate - Date

Returns:

The Manifest Measure Jacobian of the Forward Rate 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)