Package org.drip.historical.state

Class FundingCurveMetrics

java.lang.Object
org.drip.historical.state.FundingCurveMetrics
public class FundingCurveMetrics
extends java.lang.Object
FundingCurveMetrics holds the computed Metrics associated the Funding Curve State.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    FundingCurveMetrics​(JulianDate dtClose)
    FundingCurveMetrics Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean addNativeForwardRate​(java.lang.String strInTenor, java.lang.String strForTenor, double dblForwardRate)
    Add the Native Forward Rate for the specified In/For Start/Forward Tenors
    JulianDate close()
    Retrieve the Closing Date
    double nativeForwardRate​(java.lang.String strInTenor, java.lang.String strForTenor)
    Retrieve the Native Forward Rate given the In/For Tenors

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FundingCurveMetrics

      public FundingCurveMetrics​(JulianDate dtClose) throws java.lang.Exception
      FundingCurveMetrics Constructor
      Parameters:
      dtClose - The Closing Date
      Throws:
      java.lang.Exception - Thrown if Inputs are Invalid

  • Method Details

    • close

      public JulianDate close()
      Retrieve the Closing Date
      Returns:
      The Closing Date

    • addNativeForwardRate

      public boolean addNativeForwardRate​(java.lang.String strInTenor, java.lang.String strForTenor, double dblForwardRate)
      Add the Native Forward Rate for the specified In/For Start/Forward Tenors
      Parameters:
      strInTenor - "In" Start Tenor
      strForTenor - "For" Forward Tenor
      dblForwardRate - Forward Rate
      Returns:
      TRUE - The Native Forward Rate successfully added

    • nativeForwardRate

      public double nativeForwardRate​(java.lang.String strInTenor, java.lang.String strForTenor) throws java.lang.Exception
      Retrieve the Native Forward Rate given the In/For Tenors
      Parameters:
      strInTenor - "In" Start Tenor
      strForTenor - "For" Forward Tenor
      Returns:
      The Native Forward Rate
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid