Package org.drip.analytics.input

Class BootCurveConstructionInput

java.lang.Object

org.drip.analytics.input.BootCurveConstructionInput

All Implemented Interfaces:

CurveConstructionInputSet

public class BootCurveConstructionInput
extends java.lang.Object
implements CurveConstructionInputSet

BootCurveConstructionInput contains the Parameters needed for the Curve Calibration/Estimation. It contains the following:

• Calibration Valuation Parameters
• Calibration Quoting Parameters
• Array of Calibration Instruments
• Map of Calibration Quotes
• Map of Calibration Measures
• Latent State Fixings Container

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Date, Cash Flow, and Cash Flow Period Measure Generation Utilities
• Package = Curve Surface Construction Customization Inputs

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
BootCurveConstructionInput(ValuationParams valParam, ValuationCustomizationParams quotingParam, CalibratableComponent[] aCalibInst, CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mapQuote, CaseInsensitiveTreeMap<java.lang.String[]> mapMeasures, LatentStateFixingsContainer lsfc)	BootCurveConstructionInput constructor

Method Summary

Modifier and Type	Method	Description
CalibratableComponent[]	components()	Retrieve the Array of the Calibration Components
static BootCurveConstructionInput	Create(ValuationParams valParam, ValuationCustomizationParams quotingParam, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, LatentStateFixingsContainer lsfc)	Create an Instance of BootCurveConstructionInput from the given Calibration Inputs
LatentStateFixingsContainer	fixing()	Retrieve the Latent State Fixings Container
CurveSurfaceQuoteContainer	marketParameters()	Retrieve the Market Parameters
CaseInsensitiveTreeMap<java.lang.String[]>	measures()	Retrieve the Map containing the array of the Calibration Measures
CreditPricerParams	pricerParameter()	Retrieve the Pricer Parameters
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>	quoteMap()	Retrieve the Calibration Quote Map
ValuationCustomizationParams	quotingParameter()	Retrieve the Quoting Parameter
ValuationParams	valuationParameter()	Retrieve the Valuation Parameter

Methods inherited from class java.lang.Object

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

Constructor Details

BootCurveConstructionInput

public BootCurveConstructionInput(ValuationParams valParam,
ValuationCustomizationParams quotingParam,
CalibratableComponent[] aCalibInst,
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mapQuote,
CaseInsensitiveTreeMap<java.lang.String[]> mapMeasures,
LatentStateFixingsContainer lsfc)
                           throws java.lang.Exception

BootCurveConstructionInput constructor

Parameters:

valParam - Valuation Parameter

quotingParam - Quoting Parameter

aCalibInst - Array of Calibration Instruments

mapQuote - Map of the Calibration Instrument Quotes

mapMeasures - Map containing the Array of the Calibration Instrument Measures

lsfc - Latent State Fixings Container

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

Method Details

Create

public static final BootCurveConstructionInput Create(ValuationParams valParam,
ValuationCustomizationParams quotingParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
LatentStateFixingsContainer lsfc)

Create an Instance of BootCurveConstructionInput from the given Calibration Inputs

Parameters:

valParam - Valuation Parameters

quotingParam - Quoting Parameters

aCalibInst - Array of the Calibration Instruments

adblCalibQuote - Array of the Calibration Quotes

astrCalibMeasure - Array of the Calibration Measures

lsfc - Latent State Fixings Container

Returns:

Instance of BootCurveConstructionInput

valuationParameter

public ValuationParams valuationParameter()

Description copied from interface: CurveConstructionInputSet

Retrieve the Valuation Parameter

Specified by:

valuationParameter in interface CurveConstructionInputSet

Returns:

The Valuation Parameter

pricerParameter

public CreditPricerParams pricerParameter()

Description copied from interface: CurveConstructionInputSet

Retrieve the Pricer Parameters

Specified by:

pricerParameter in interface CurveConstructionInputSet

Returns:

The Pricer Parameters

marketParameters

public CurveSurfaceQuoteContainer marketParameters()

Description copied from interface: CurveConstructionInputSet

Retrieve the Market Parameters

Specified by:

marketParameters in interface CurveConstructionInputSet

Returns:

The Market Parameters

quotingParameter

public ValuationCustomizationParams quotingParameter()

Description copied from interface: CurveConstructionInputSet

Retrieve the Quoting Parameter

Specified by:

quotingParameter in interface CurveConstructionInputSet

Returns:

The Quoting Parameter

components

public CalibratableComponent[] components()

Description copied from interface: CurveConstructionInputSet

Retrieve the Array of the Calibration Components

Specified by:

components in interface CurveConstructionInputSet

Returns:

The Array of the Calibration Components

quoteMap

public CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> quoteMap()

Description copied from interface: CurveConstructionInputSet

Retrieve the Calibration Quote Map

Specified by:

quoteMap in interface CurveConstructionInputSet

Returns:

The Calibration Quote Map

measures

public CaseInsensitiveTreeMap<java.lang.String[]> measures()

Description copied from interface: CurveConstructionInputSet

Retrieve the Map containing the array of the Calibration Measures

Specified by:

measures in interface CurveConstructionInputSet

Returns:

The Map containing the array of the Calibration Measures

fixing

public LatentStateFixingsContainer fixing()

Description copied from interface: CurveConstructionInputSet

Retrieve the Latent State Fixings Container

Specified by:

fixing in interface CurveConstructionInputSet

Returns:

The Latent State Fixings Container