org.drip.state.nonlinear

Class FlatForwardForwardCurve

java.lang.Object

org.drip.state.forward.ForwardCurve

org.drip.state.nonlinear.FlatForwardForwardCurve

All Implemented Interfaces:

Curve, ForwardRateEstimator, LatentState

public class FlatForwardForwardCurve
extends ForwardCurve

FlatForwardForwardCurve contains an implementation of the flat forward rate forward curve.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FlatForwardForwardCurve(JulianDate dtEpoch, ForwardLabel fri, double dblFlatForwardRate) FlatForwardForwardCurve constructor

Method Summary

Modifier and Type	Method and Description
double	forward(int iDate) Calculate the Forward Rate to the given Date
WengertJacobian	jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, int iDate) Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date

Methods inherited from class org.drip.state.forward.ForwardCurve

calibComp, currency, customTweakManifestMeasure, customTweakQuantificationMetric, epoch, forward, forward, index, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, label, manifestMeasure, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, setCCIS, shiftManifestMeasure, tenor

Methods inherited from class java.lang.Object

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

Constructor Detail

FlatForwardForwardCurve

public FlatForwardForwardCurve(JulianDate dtEpoch,
                               ForwardLabel fri,
                               double dblFlatForwardRate)
                        throws java.lang.Exception

FlatForwardForwardCurve constructor

Parameters:

dtEpoch - The Forward Curve Epoch Date

fri - The Floating Rate Index

dblFlatForwardRate - The Flat FOrward Rate

Throws:

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

Method Detail

forward

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

Description copied from interface: ForwardRateEstimator

Calculate the Forward Rate to the given Date

Parameters:

iDate - Date

Returns:

The Forward Rate

Throws:

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

jackDForwardDManifestMeasure

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

Description copied from class: ForwardCurve

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

Specified by:

jackDForwardDManifestMeasure in class ForwardCurve

Parameters:

strManifestMeasure - Manifest Measure

iDate - Date

Returns:

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