Package org.drip.feed.transformer

Class OvernightIndexMarksReconstitutor

java.lang.Object

org.drip.feed.transformer.OvernightIndexMarksReconstitutor

public class OvernightIndexMarksReconstitutor
extends java.lang.Object

OvernightIndexMarksReconstitutor transforms the Overnight Instrument Manifest Measures (e.g., Deposits and OIS) Feed Inputs into Formats appropriate for Overnight Curve Construction and Measure Generation.

• Module = Computational Core Module
• Library = Computation Support
• Project = Load, Transform, and compute Target Metrics across Feeds
• Package = Market Data Reconstitutive Feed Transformer

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field	Description
static java.lang.String[]	s_astrMaturityTenor	The Standard Overnight Swap Maturity Tenors
static double	s_dblScaler	The Standard Overnight Input Calibration Manifest Measure Scaler

Constructor Summary

Constructors

Constructor	Description
OvernightIndexMarksReconstitutor()

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 Overnight Input Calibration Manifest Measure Scaler

See Also:

Constant Field Values

s_astrMaturityTenor

public static final java.lang.String[] s_astrMaturityTenor

The Standard Overnight Swap Maturity Tenors

Constructor Details

OvernightIndexMarksReconstitutor

public OvernightIndexMarksReconstitutor()

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