org.drip.state.representation

Interface LatentState

All Known Subinterfaces:

Curve, DiscountCurve, ExplicitBootCurve

All Known Implementing Classes:

BasisCurve, BasisSplineBasisCurve, BasisSplineDeterministicVolatility, BasisSplineForwardRate, BasisSplineFXForward, BasisSplineGovvieYield, BasisSplineMarketSurface, BasisSplineRepoCurve, BasisSplineTermStructure, CreditCurve, DerivedZeroRate, DeterministicCollateralChoiceDiscountCurve, DiscountFactorDiscountCurve, ExplicitBootCreditCurve, ExplicitBootDiscountCurve, ExplicitBootFXCurve, ExplicitBootGovvieCurve, ExplicitBootRepoCurve, ExplicitBootVolatilityCurve, FlatForwardDiscountCurve, FlatForwardForwardCurve, FlatForwardFXCurve, FlatForwardRepoCurve, FlatForwardVolatilityCurve, FlatYieldGovvieCurve, ForeignCollateralizedDiscountCurve, ForwardCurve, ForwardHazardCreditCurve, FXCurve, GovvieCurve, MarketSurface, MergedDiscountForwardCurve, NodeStructure, RepoCurve, VolatilityCurve, ZeroCurve, ZeroRateDiscountCurve

public interface LatentState

LatentState exposes the functionality to manipulate the hidden Variable's Latent State. Specifically it exports functions to: - Produce node shifted, parallel shifted, and custom manifest-measure tweaked variants of the Latent State - Produce parallel shifted and custom quantification metric tweaked variants of the Latent State

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
LatentState	customTweakManifestMeasure(java.lang.String strManifestMeasure, ManifestMeasureTweak rvtp) Create a LatentState Instance from the Manifest Measure Tweak Parameters
LatentState	customTweakQuantificationMetric(ManifestMeasureTweak rvtp) Create a LatentState Instance from the Quantification Metric Tweak Parameters
LatentState	parallelShiftManifestMeasure(java.lang.String strManifestMeasure, double dblShift) Create a LatentState Instance from the Manifest Measure Parallel Shift
LatentState	parallelShiftQuantificationMetric(double dblShift) Create a LatentState Instance from the Quantification Metric Parallel Shift
LatentState	shiftManifestMeasure(int iSpanIndex, java.lang.String strManifestMeasure, double dblShift) Create a LatentState Instance from the Shift of the Specified Manifest Measure

Method Detail

parallelShiftManifestMeasure

LatentState parallelShiftManifestMeasure(java.lang.String strManifestMeasure,
                                         double dblShift)

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

LatentState shiftManifestMeasure(int iSpanIndex,
                                 java.lang.String strManifestMeasure,
                                 double dblShift)

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

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

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

LatentState parallelShiftQuantificationMetric(double dblShift)

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

LatentState customTweakQuantificationMetric(ManifestMeasureTweak rvtp)

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