Package org.drip.regression.curve

Class ZeroCurveRegressor

java.lang.Object
org.drip.regression.curve.ZeroCurveRegressor
All Implemented Interfaces:
RegressorSet
public class ZeroCurveRegressor
extends java.lang.Object
implements RegressorSet
ZeroCurveRegressor implements the regression analysis set for the Zero Curve. The regression tests do the consists of the following:

  • Build a discount curve, followed by the zero curve
  • Regressor #1: Compute zero curve discount factors
  • Regressor #2: Compute zero curve zero rates




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ZeroCurveRegressor()
    ZeroCurveRegressor constructor - Creates the base zero curve and initializes the regression objects

  • 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

    • ZeroCurveRegressor

      public ZeroCurveRegressor()
      ZeroCurveRegressor constructor - Creates the base zero curve and initializes the regression objects

  • 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