Package org.drip.product.calib

Class FRAComponentQuoteSet

java.lang.Object

org.drip.product.calib.ProductQuoteSet

org.drip.product.calib.FRAComponentQuoteSet

public class FRAComponentQuoteSet
extends ProductQuoteSet

FRAComponentQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the FRA Component. Currently it only exposes the FRA Rate Quote Field.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses
• Package = Curve/Surface Calibration Quote Sets

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
FRAComponentQuoteSet(LatentStateSpecification[] aLSS)	FRAComponentQuoteSet Constructor

Method Summary

Modifier and Type	Method	Description
boolean	containsFRARate()	Indicate if the FRA Rate Field exists
boolean	containsParForwardRate()	Indicate if the Par Forward Rate Field exists
double	fraRate()	Retrieve the FRA Rate
double	parForwardRate()	Retrieve the Par Forward Rate
boolean	setFRARate(double dblFRARate)	Set the FRA Rate
boolean	setParForwardRate(double dblParForwardRate)	Set the Par Forward Rate

Methods inherited from class org.drip.product.calib.ProductQuoteSet

contains, contains, containsLatentStateQuantificationMetric, containsLatentStateType, fields, forwardLabel, fundingLabel, fxLabel, get, govvieLabel, lss, set, volatilityLabel

Methods inherited from class java.lang.Object

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

Constructor Details

FRAComponentQuoteSet

public FRAComponentQuoteSet(LatentStateSpecification[] aLSS)
                     throws java.lang.Exception

FRAComponentQuoteSet Constructor

Parameters:

aLSS - Array of Latent State Specification

Throws:

java.lang.Exception - Thrown if Inputs are invalid

Method Details

setFRARate

public boolean setFRARate(double dblFRARate)

Set the FRA Rate

Parameters:

dblFRARate - The FRA Rate

Returns:

TRUE - The FRA Rate successfully set

containsFRARate

public boolean containsFRARate()

Indicate if the FRA Rate Field exists

Returns:

TRUE - FRA Rate Field Exists

fraRate

public double fraRate()
               throws java.lang.Exception

Retrieve the FRA Rate

Returns:

The FRA Rate

Throws:

java.lang.Exception - Thrown if the FRA Rate Field does not exist

setParForwardRate

public boolean setParForwardRate(double dblParForwardRate)

Set the Par Forward Rate

Parameters:

dblParForwardRate - The Par Forward Rate

Returns:

TRUE - The Par Forward Rate successfully set

containsParForwardRate

public boolean containsParForwardRate()

Indicate if the Par Forward Rate Field exists

Returns:

TRUE - Par Forward Rate Field Exists

parForwardRate

public double parForwardRate()
                      throws java.lang.Exception

Retrieve the Par Forward Rate

Returns:

The Par Forward Rate

Throws:

java.lang.Exception - Thrown if the Par Forward Rate Field does not exist