org.drip.state.nonlinear

Class FlatYieldGovvieCurve

java.lang.Object

org.drip.state.govvie.GovvieCurve

org.drip.state.govvie.ExplicitBootGovvieCurve

org.drip.state.nonlinear.FlatYieldGovvieCurve

All Implemented Interfaces:

Curve, ExplicitBootCurve, DiscountCurve, DiscountFactorEstimator, YieldEstimator, LatentState

public class FlatYieldGovvieCurve
extends ExplicitBootGovvieCurve

FlatYieldGovvieCurve manages the Govvie Latent State, using the Flat Yield as the State Response Representation.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FlatYieldGovvieCurve(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

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
WengertJacobian	jackDForwardDManifestMeasure(java.lang.String strManifestMeasure, int iDate) Retrieve the Manifest Measure Jacobian of the Forward Rate to the given 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	yield(int iDate) Calculate the Yield to the given Date

Methods inherited from class org.drip.state.govvie.ExplicitBootGovvieCurve

calibComp, manifestMeasure, setCCIS

Methods inherited from class org.drip.state.govvie.GovvieCurve

currency, customTweakManifestMeasure, customTweakQuantificationMetric, dayCount, df, df, df, effectiveDF, effectiveDF, effectiveDF, epoch, freq, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, label, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, shiftManifestMeasure, yield, yield, yieldDF

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

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

customTweakManifestMeasure, customTweakQuantificationMetric, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, shiftManifestMeasure

Constructor Detail

FlatYieldGovvieCurve

public FlatYieldGovvieCurve(int iEpochDate,
                            java.lang.String strTreasuryCode,
                            java.lang.String strCurrency,
                            int[] aiDate,
                            double[] adblYield)
                     throws java.lang.Exception

Construct a Govvie curve from an array of dates and Yields

Parameters:

iEpochDate - Epoch Date

strTreasuryCode - Treasury Code

strCurrency - Currency

aiDate - Array of Dates

adblYield - Array of Yields

Throws:

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

Method Detail

yield

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

Description copied from interface: YieldEstimator

Calculate the Yield to the given Date

Parameters:

iDate - Date

Returns:

The Yield

Throws:

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

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)

jackDForwardDManifestMeasure

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

Description copied from class: GovvieCurve

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

Specified by:

jackDForwardDManifestMeasure in class GovvieCurve

Parameters:

strManifestMeasure - Manifest Measure

iDate - Date

Returns:

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