Package org.drip.analytics.definition

Class NodeStructure

java.lang.Object

org.drip.analytics.definition.NodeStructure

All Implemented Interfaces:

Curve, LatentState

Direct Known Subclasses:

BasisSplineTermStructure, VolatilityCurve

public abstract class NodeStructure
extends java.lang.Object
implements Curve

NodeStructure exposes the stub that implements the latent state's Node Structure (e.g., a Deterministic Term Structure) - by Construction, this is expected to be non-local.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Date, Cash Flow, and Cash Flow Period Measure Generation Utilities
• Package = Latent State Curves, Surfaces, Turns

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
CalibratableComponent[]	calibComp()	Retrieve the Calibration Components
java.lang.String	currency()	Get the Currency
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
JulianDate	epoch()	Get the Epoch Date
LatentStateLabel	label()	Get the Curve Latent State Identifier Label
CaseInsensitiveTreeMap<java.lang.Double>	manifestMeasure(java.lang.String strInstr)	Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve
abstract double	node(int iPredictorOrdinate)	Get the Market Node at the given Predictor Ordinate
double	node(java.lang.String strTenor)	Get the Market Node at the given Maturity
double	node(JulianDate dt)	Get the Market Node at the given Maturity
abstract double	nodeDerivative(int iPredictorOrdinate, int iOrder)	Get the Market Node Derivative at the given Predictor Ordinate
double	nodeDerivative(java.lang.String strTenor, int iOrder)	Get the Market Node Derivative at the given Maturity
double	nodeDerivative(JulianDate dt, int iOrder)	Get the Market Node Derivative at the given Maturity
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
boolean	setCCIS(CurveConstructionInputSet ccis)	Set the Curve Construction Input Set Parameters
LatentState	shiftManifestMeasure(int iSpanIndex, java.lang.String strManifestMeasure, double dblShift)	Create a LatentState Instance from the Shift of the Specified Manifest Measure

Methods inherited from class java.lang.Object

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

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(int iPredictorOrdinate)
                     throws java.lang.Exception

Get the Market Node at the given Predictor Ordinate

Parameters:

iPredictorOrdinate - The Predictor Ordinate

Returns:

The Node evaluated from the Term Structure

Throws:

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

nodeDerivative

public abstract double nodeDerivative(int iPredictorOrdinate,
int iOrder)
                               throws java.lang.Exception

Get the Market Node Derivative at the given Predictor Ordinate

Parameters:

iPredictorOrdinate - The Predictor Ordinate

iOrder - Order of the Derivative

Returns:

The Node Derivative evaluated from the Term Structure

Throws:

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

node

public double node(JulianDate dt)
            throws java.lang.Exception

Get the Market Node at the given Maturity

Parameters:

dt - The Julian Maturity Date

Returns:

The Node evaluated from the Term Structure

Throws:

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

node

public double node(java.lang.String strTenor)
            throws java.lang.Exception

Get the Market Node at the given Maturity

Parameters:

strTenor - The Maturity Tenor

Returns:

The Node evaluated from the Term Structure

Throws:

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

nodeDerivative

public double nodeDerivative(JulianDate dt,
int iOrder)
                      throws java.lang.Exception

Get the Market Node Derivative at the given Maturity

Parameters:

dt - The Julian Maturity Date

iOrder - Order of the Derivative

Returns:

The Node Derivative evaluated from the Term Structure

Throws:

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

nodeDerivative

public double nodeDerivative(java.lang.String strTenor,
int iOrder)
                      throws java.lang.Exception

Get the Market Node Derivative at the given Maturity

Parameters:

strTenor - The Maturity Tenor

iOrder - Order of the Derivative

Returns:

The Node Derivative evaluated from the Term Structure

Throws:

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