Package org.drip.analytics.definition

Class MarketSurface

java.lang.Object
org.drip.analytics.definition.MarketSurface
All Implemented Interfaces:
Curve, LatentState
Direct Known Subclasses:
BasisSplineMarketSurface
public abstract class MarketSurface
extends java.lang.Object
implements Curve
MarketSurface exposes the stub that implements the market surface that holds the latent state's Evolution parameters.

Author:
Lakshmi Krishnamurthy

  • Method Details

    • label

      public LatentStateLabel label()
      Description copied from interface: Curve
      Get the Curve Latent State Identifier Label
      Specified by:
      label in interface Curve
      Returns:
      The Curve Latent State Identifier Label

    • currency

      public java.lang.String currency()
      Description copied from interface: Curve
      Get the Currency
      Specified by:
      currency in interface Curve
      Returns:
      Currency

    • epoch

      public JulianDate epoch()
      Description copied from interface: Curve
      Get the Epoch Date
      Specified by:
      epoch in interface Curve
      Returns:
      The Epoch Date

    • setCCIS

      public boolean setCCIS​(CurveConstructionInputSet ccis)
      Description copied from interface: Curve
      Set the Curve Construction Input Set Parameters
      Specified by:
      setCCIS in interface Curve
      Parameters:
      ccis - The Curve Construction Input Set Parameters
      Returns:
      TRUE - Inputs successfully Set

    • calibComp

      public CalibratableComponent[] calibComp()
      Description copied from interface: Curve
      Retrieve the Calibration Components
      Specified by:
      calibComp in interface Curve
      Returns:
      Array of Calibration Components

    • manifestMeasure

      public CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure​(java.lang.String strInstr)
      Description copied from interface: Curve
      Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve
      Specified by:
      manifestMeasure in interface Curve
      Parameters:
      strInstr - The Calibration Instrument's Code whose Manifest Measure Map is sought
      Returns:
      The Manifest Measure Map of the given Instrument used to construct the Curve

    • parallelShiftManifestMeasure

      public LatentState parallelShiftManifestMeasure​(java.lang.String strManifestMeasure, double dblShift)
      Description copied from interface: LatentState
      Create a LatentState Instance from the Manifest Measure Parallel Shift
      Specified by:
      parallelShiftManifestMeasure in interface LatentState
      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 LatentState 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
      Specified by:
      shiftManifestMeasure in interface LatentState
      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 LatentState customTweakManifestMeasure​(java.lang.String strManifestMeasure, ManifestMeasureTweak rvtp)
      Description copied from interface: LatentState
      Create a LatentState Instance from the Manifest Measure Tweak Parameters
      Specified by:
      customTweakManifestMeasure in interface LatentState
      Parameters:
      strManifestMeasure - The Specified Manifest Measure
      rvtp - Manifest Measure Tweak Parameters
      Returns:
      New LatentState Instance corresponding to the Tweaked Manifest Measure

    • parallelShiftQuantificationMetric

      public LatentState parallelShiftQuantificationMetric​(double dblShift)
      Description copied from interface: LatentState
      Create a LatentState Instance from the Quantification Metric Parallel Shift
      Specified by:
      parallelShiftQuantificationMetric in interface LatentState
      Parameters:
      dblShift - Parallel shift of the Quantification Metric
      Returns:
      New LatentState Instance corresponding to the Parallel Shifted Quantification Metric

    • customTweakQuantificationMetric

      public LatentState customTweakQuantificationMetric​(ManifestMeasureTweak rvtp)
      Description copied from interface: LatentState
      Create a LatentState Instance from the Quantification Metric Tweak Parameters
      Specified by:
      customTweakQuantificationMetric in interface LatentState
      Parameters:
      rvtp - Quantification Metric Tweak Parameters
      Returns:
      New LatentState Instance corresponding to the Tweaked Quantification Metric

    • node

      public abstract double node​(double dblX, double dblY) throws java.lang.Exception
      Get the Market Node given the X and the Y Ordinates
      Parameters:
      dblX - X
      dblY - Y
      Returns:
      The Latent State Metric Value evaluated from the Surface
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • node

      public double node​(double dblStrike, java.lang.String strTenor) throws java.lang.Exception
      Get the Market Node given the Strike and the Tenor
      Parameters:
      dblStrike - The Strike
      strTenor - The Maturity Tenor
      Returns:
      The Volatility evaluated from the Volatility Surface
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • xAnchorTermStructure

      public abstract NodeStructure xAnchorTermStructure​(double dblXAnchor)
      Extract the Term Structure Constructed at the X Anchor Node
      Parameters:
      dblXAnchor - The X Anchor Node
      Returns:
      The Term Structure Constructed at the X Anchor Node

    • yAnchorTermStructure

      public abstract NodeStructure yAnchorTermStructure​(double dblYAnchor)
      Extract the Term Structure Constructed at the Y Anchor Node
      Parameters:
      dblYAnchor - The Y Anchor
      Returns:
      The Term Structure Constructed at the Y Anchor Node

    • maturityAnchorTermStructure

      public NodeStructure maturityAnchorTermStructure​(java.lang.String strTenorAnchor)
      Extract the Term Structure Constructed at the Maturity Anchor Tenor
      Parameters:
      strTenorAnchor - The Anchor Tenor
      Returns:
      The Term Structure Constructed at the Maturity Anchor Tenor