Package org.drip.analytics.input

Class LatentStateShapePreservingCCIS

java.lang.Object

org.drip.analytics.input.LatentStateShapePreservingCCIS

All Implemented Interfaces:

CurveConstructionInputSet

public class LatentStateShapePreservingCCIS
extends java.lang.Object
implements CurveConstructionInputSet

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

• Calibration Valuation Parameters
• Calibration Quoting Parameters
• Calibration Market Parameters
• Calibration Pricing Parameters
• Array of Calibration Span Representation
• Map of Calibration Quotes
• Map of Calibration Measures
• Double Map of the Date/Index Fixings
• The Shape Preserving Linear Latent State Calibrator

Additional functions provide for retrieval of the above and specific instrument quotes.

• 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
LatentStateShapePreservingCCIS(LinearLatentStateCalibrator llscShapePreserving, LatentStateStretchSpec[] aStretchSpec, ValuationParams valParam, CreditPricerParams pricerParam, ValuationCustomizationParams vcp, CurveSurfaceQuoteContainer csqs)	LatentStateShapePreservingCCIS constructor

Method Summary

Modifier and Type	Method	Description
CalibratableComponent[]	components()	Retrieve the Array of the Calibration Components
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
GlobalControlCurveParams	shapePreservingLLSC()	Retrieve the Shape Preserving Linear Latent State Calibrator
LatentStateStretchSpec[]	stretchSpec()	Retrieve the Array of Latent State Stretch Representation Specifications
ValuationParams	valuationParameter()	Retrieve the Valuation Parameter

Methods inherited from class java.lang.Object

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

Constructor Details

LatentStateShapePreservingCCIS

public LatentStateShapePreservingCCIS(LinearLatentStateCalibrator llscShapePreserving,
LatentStateStretchSpec[] aStretchSpec,
ValuationParams valParam,
CreditPricerParams pricerParam,
ValuationCustomizationParams vcp,
CurveSurfaceQuoteContainer csqs)
                               throws java.lang.Exception

LatentStateShapePreservingCCIS constructor

Parameters:

llscShapePreserving - Shape Preserving LinearLatentStateCalibrator instance

aStretchSpec - Array of the Latent State Stretch Representation Specifications

valParam - Valuation Parameters

pricerParam - Pricer Parameters

vcp - Valuation Customization Parameters

csqs - Market Parameters

Throws:

java.lang.Exception - Thrown if Inputs are invalid

Method Details

valuationParameter

public ValuationParams valuationParameter()

Description copied from interface: CurveConstructionInputSet

Retrieve the Valuation Parameter

Specified by:

valuationParameter in interface CurveConstructionInputSet

Returns:

The Valuation Parameter

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

pricerParameter

public CreditPricerParams pricerParameter()

Retrieve the Pricer Parameters

Specified by:

pricerParameter in interface CurveConstructionInputSet

Returns:

The Pricer Parameters

marketParameters

public CurveSurfaceQuoteContainer marketParameters()

Retrieve the Market Parameters

Specified by:

marketParameters in interface CurveConstructionInputSet

Returns:

The Market Parameters

stretchSpec

public LatentStateStretchSpec[] stretchSpec()

Retrieve the Array of Latent State Stretch Representation Specifications

Returns:

The Array of Latent State Stretch Representation Specifications

shapePreservingLLSC

public GlobalControlCurveParams shapePreservingLLSC()

Retrieve the Shape Preserving Linear Latent State Calibrator

Returns:

The Shape Preserving Linear Latent State Calibrator