DiscountCurveRegressor

java.lang.Object

org.drip.regression.curve.DiscountCurveRegressor

All Implemented Interfaces:: RegressorSet

public class DiscountCurveRegressor
extends java.lang.Object
implements RegressorSet

DiscountCurveRegressor implements the regression set analysis for the Discount Curve. DiscountCurveRegressor regresses 11 scenarios:

#1: Create the discount curve from a set 30 instruments (cash/future/swap).
#2: Create the discount curve from a flat discount rate.
#3: Create the discount curve from a set of discount factors.
#4: Create the discount curve from the implied discount rates.
#5: Extract the discount curve instruments and quotes.
#6: Create a parallel shifted discount curve.
#7: Create a rate shifted discount curve.
#8: Create a basis rate shifted discount curve.
#9: Create a node tweaked discount curve.
#10: Compute the effective discount factor between 2 dates.
#11: Compute the effective implied rate between 2 dates.

Module = Computational Core Module
Library = Computation Support
Project = Regression Engine Core and the Unit Regressors
Package = Curve Construction/Reconciliation Regression Engine

Author:: Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor Description

DiscountCurveRegressor()
Do Nothing DiscountCurveRegressor constructor

Method Summary

Modifier and Type	Method	Description
`java.util.List<UnitRegressor>`	`getRegressorSet()`	Retrieve the list of regressors
`java.lang.String`	`getSetName()`	Retrieve the Regression Set Name
`boolean`	`setupRegressors()`	Set up the list of Regressors in the set

Methods inherited from class java.lang.Object

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

Constructor Details
- DiscountCurveRegressor
  
  public DiscountCurveRegressor()
  
  Do Nothing DiscountCurveRegressor constructor
Method Details
- setupRegressors
  
  public boolean setupRegressors()
  
  Description copied from interface: RegressorSet
  
  Set up the list of Regressors in the set
  
  Specified by:
  
  setupRegressors in interface RegressorSet
  
  Returns:
  
  TRUE if set up is successful
- getRegressorSet
  
  public java.util.List<UnitRegressor> getRegressorSet()
  
  Description copied from interface: RegressorSet
  
  Retrieve the list of regressors
  
  Specified by:
  
  getRegressorSet in interface RegressorSet
  
  Returns:
  
  List of regressors
- getSetName
  
  public java.lang.String getSetName()
  
  Description copied from interface: RegressorSet
  
  Retrieve the Regression Set Name
  
  Specified by:
  
  getSetName in interface RegressorSet
  
  Returns:
  
  Regression Set Name