Package org.drip.feed.transformer

Class GovvieTreasuryMarksReconstitutor

java.lang.Object
org.drip.feed.transformer.GovvieTreasuryMarksReconstitutor
public class GovvieTreasuryMarksReconstitutor
extends java.lang.Object
GovvieTreasuryMarksReconstitutor transforms the Treasury Marks (e.g., Yield) Feed Inputs into Formats appropriate for Govvie Curve Construction and Measure Generation.

Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static java.lang.String[] s_astrOutputBenchmarkTenor
    The Standard Treasury Market Yield Re-constitution Benchmark Tenors
    static double s_dblScaler
    The Standard Treasury Input Calibration Manifest Measure Scaler
    static java.lang.String s_strCalibrationMeasure
    The Standard Treasury Input Calibration Manifest Measure

  • Constructor Summary

    Constructors
    Constructor Description
    GovvieTreasuryMarksReconstitutor()  

  • Method Summary

    Modifier and Type Method Description
    static boolean RegularizeBenchmarkMarks​(java.lang.String strMarksLocation, java.lang.String strTreasuryType)
    Re-constitute the Horizon Benchmark Marks
    static boolean RegularizeBenchmarkMarks​(java.lang.String strTreasuryType, java.util.Map<JulianDate,​java.util.Map<java.lang.Double,​java.lang.Double>> mapClosingMarks)
    Re-constitute the Horizon Benchmark Marks
    static boolean RegularizeBenchmarkMarks​(java.lang.String strTreasuryType, java.util.Map<JulianDate,​java.util.Map<java.lang.Double,​java.lang.Double>> mapClosingMarks, java.lang.String strManifestMeasure, java.lang.String[] astrOutputBenchmarkTenor)
    Re-constitute the Horizon Benchmark Marks

    Methods inherited from class java.lang.Object

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

  • Field Details

    • s_strCalibrationMeasure

      public static final java.lang.String s_strCalibrationMeasure
      The Standard Treasury Input Calibration Manifest Measure
      See Also:
      Constant Field Values

    • s_dblScaler

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

    • s_astrOutputBenchmarkTenor

      public static final java.lang.String[] s_astrOutputBenchmarkTenor
      The Standard Treasury Market Yield Re-constitution Benchmark Tenors

  • Constructor Details

    • GovvieTreasuryMarksReconstitutor

      public GovvieTreasuryMarksReconstitutor()

  • Method Details

    • RegularizeBenchmarkMarks

      public static final boolean RegularizeBenchmarkMarks​(java.lang.String strTreasuryType, java.util.Map<JulianDate,​java.util.Map<java.lang.Double,​java.lang.Double>> mapClosingMarks, java.lang.String strManifestMeasure, java.lang.String[] astrOutputBenchmarkTenor)
      Re-constitute the Horizon Benchmark Marks
      Parameters:
      strTreasuryType - The Treasury Type
      mapClosingMarks - Map of the Dates Closing Marks
      strManifestMeasure - The Govvie Curve Calibration Manifest Measure
      astrOutputBenchmarkTenor - Tenors of the Output Benchmark Desired
      Returns:
      The Transformed Horizon Benchmark Yield

    • RegularizeBenchmarkMarks

      public static final boolean RegularizeBenchmarkMarks​(java.lang.String strTreasuryType, java.util.Map<JulianDate,​java.util.Map<java.lang.Double,​java.lang.Double>> mapClosingMarks)
      Re-constitute the Horizon Benchmark Marks
      Parameters:
      strTreasuryType - The Treasury Type
      mapClosingMarks - Map of the Dates Closing Marks
      Returns:
      The Transformed Horizon Benchmark Yield

    • RegularizeBenchmarkMarks

      public static final boolean RegularizeBenchmarkMarks​(java.lang.String strMarksLocation, java.lang.String strTreasuryType)
      Re-constitute the Horizon Benchmark Marks
      Parameters:
      strMarksLocation - The Location of the CSV Marks File
      strTreasuryType - The Treasury Type
      Returns:
      The Transformed Horizon Benchmark Yield