Package org.drip.feed.transformer

Class FundingFixFloatMarksReconstitutor

java.lang.Object
org.drip.feed.transformer.FundingFixFloatMarksReconstitutor
public class FundingFixFloatMarksReconstitutor
extends java.lang.Object
FundingFixFloatMarksReconstitutor transforms the Funding Instrument Manifest Measures (e.g., Forward Rate for Deposits, Forward Rate for Futures, and Swap Rates for Fix/Float Swap) Feed Inputs into Formats appropriate for Funding Curve Construction and Measure Generation.

Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static java.lang.String[] s_astrDepositTenor
    The Standard Deposit Maturity Tenors
    static java.lang.String[] s_astrFixFloatTenor
    The Standard Fix Float Maturity Tenors
    static double s_dblScaler
    The Standard Funding Input Calibration Manifest Measure Scaler

  • Constructor Summary

    Constructors
    Constructor Description
    FundingFixFloatMarksReconstitutor()  

  • Method Summary

    Modifier and Type Method Description
    static boolean RegularizeMarks​(java.lang.String strCurrency, java.util.Map<JulianDate,​InstrumentSetTenorQuote> mapISTQ, int iLatentStateType)
    Dump the Regularized Marks of the ISTQ Map
    static boolean ShapePreservingRegularization​(java.lang.String strCurrency, java.lang.String strMarksLocation)
    Re-constitute the Horizon Quote Marks Using a Shape Preserving Re-constructor
    static boolean SmoothRegularization​(java.lang.String strCurrency, java.lang.String strMarksLocation)
    Re-constitute the Horizon Quote Marks Using a Smooth Re-constructor

    Methods inherited from class java.lang.Object

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

  • Field Details

    • s_dblScaler

      public static final double s_dblScaler
      The Standard Funding Input Calibration Manifest Measure Scaler
      See Also:
      Constant Field Values

    • s_astrDepositTenor

      public static final java.lang.String[] s_astrDepositTenor
      The Standard Deposit Maturity Tenors

    • s_astrFixFloatTenor

      public static final java.lang.String[] s_astrFixFloatTenor
      The Standard Fix Float Maturity Tenors

  • Constructor Details

    • FundingFixFloatMarksReconstitutor

      public FundingFixFloatMarksReconstitutor()

  • Method Details

    • RegularizeMarks

      public static final boolean RegularizeMarks​(java.lang.String strCurrency, java.util.Map<JulianDate,​InstrumentSetTenorQuote> mapISTQ, int iLatentStateType)
      Dump the Regularized Marks of the ISTQ Map
      Parameters:
      strCurrency - Currency
      mapISTQ - The ISTQ Map
      iLatentStateType - SHAPE PRESERVING/SMOOTH
      Returns:
      TRUE - The Regularized ISTQ Map Successfully Dumped

    • ShapePreservingRegularization

      public static final boolean ShapePreservingRegularization​(java.lang.String strCurrency, java.lang.String strMarksLocation)
      Re-constitute the Horizon Quote Marks Using a Shape Preserving Re-constructor
      Parameters:
      strCurrency - Currency
      strMarksLocation - The Location of the CSV Marks File
      Returns:
      The Transformed Horizon Quote Marks

    • SmoothRegularization

      public static final boolean SmoothRegularization​(java.lang.String strCurrency, java.lang.String strMarksLocation)
      Re-constitute the Horizon Quote Marks Using a Smooth Re-constructor
      Parameters:
      strCurrency - Currency
      strMarksLocation - The Location of the CSV Marks File
      Returns:
      The Transformed Horizon Quote Marks