Package org.drip.service.state

Class FundingCurveAPI

java.lang.Object
org.drip.service.state.FundingCurveAPI
public class FundingCurveAPI
extends java.lang.Object
FundingCurveAPI computes the Metrics associated the Funding Curve State. It provides the following Functionality:
  • Generate the Funding Curve Daily Metrics
  • Generate the Funding Curve Horizon Metrics
  • Generate the Funding Curve Map

Module Computational Core Module
Library Computation Support
Project Environment, Product/Definition Containers, and Scenario/State Manipulation APIs
Package Curve Based State Metric Generator

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    FundingCurveAPI()  

  • Method Summary

    Modifier and Type Method Description
    static FundingCurveMetrics DailyMetrics​(JulianDate spotDate, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteGrid, java.lang.String[] inTenorArray, java.lang.String[] forTenorArray, java.lang.String currency, int latentStateType)
    Generate the Funding Curve Daily Metrics
    static java.util.Map<JulianDate,​MergedDiscountForwardCurve> HistoricalMap​(JulianDate[] spotDateArray, java.lang.String[] fixFloatMaturityTenorArray, double[][] fixFloatQuoteGrid, java.lang.String currency, int latentStateType)
    Generate the Funding Curve Map
    static java.util.Map<JulianDate,​FundingCurveMetrics> HorizonMetrics​(JulianDate[] spotDateArray, java.lang.String[] fixFloatMaturityTenorArray, double[][] fixFloatQuoteGrid, java.lang.String[] inTenorArray, java.lang.String[] forTenorArray, java.lang.String currency, int latentStateType)
    Generate the Funding Curve Horizon Metrics

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FundingCurveAPI

      public FundingCurveAPI()

  • Method Details

    • DailyMetrics

      public static final FundingCurveMetrics DailyMetrics​(JulianDate spotDate, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteGrid, java.lang.String[] inTenorArray, java.lang.String[] forTenorArray, java.lang.String currency, int latentStateType)
      Generate the Funding Curve Daily Metrics
      Parameters:
      spotDate - The Spot Date
      fixFloatMaturityTenorArray - Array of Fix Float Maturity Tenors
      fixFloatQuoteGrid - Array of Fix Float Swap Rates
      inTenorArray - Array of "In" Tenors
      forTenorArray - Array of "For" Tenors
      currency - Funding Currency
      latentStateType - Latent State Type
      Returns:
      The Funding Curve Daily Metrics

    • HorizonMetrics

      public static final java.util.Map<JulianDate,​FundingCurveMetrics> HorizonMetrics​(JulianDate[] spotDateArray, java.lang.String[] fixFloatMaturityTenorArray, double[][] fixFloatQuoteGrid, java.lang.String[] inTenorArray, java.lang.String[] forTenorArray, java.lang.String currency, int latentStateType)
      Generate the Funding Curve Horizon Metrics
      Parameters:
      spotDateArray - Array of Spot
      fixFloatMaturityTenorArray - Array of Fix Float Maturity Tenors
      fixFloatQuoteGrid - Array of Fix Float Swap Rates
      inTenorArray - Array of "In" Tenors
      forTenorArray - Array of "For" Tenors
      currency - Funding Currency
      latentStateType - Latent State Type
      Returns:
      The Funding Curve Horizon Metrics

    • HistoricalMap

      public static final java.util.Map<JulianDate,​MergedDiscountForwardCurve> HistoricalMap​(JulianDate[] spotDateArray, java.lang.String[] fixFloatMaturityTenorArray, double[][] fixFloatQuoteGrid, java.lang.String currency, int latentStateType)
      Generate the Funding Curve Map
      Parameters:
      spotDateArray - Array of Spot
      fixFloatMaturityTenorArray - Array of Fix Float Maturity Tenors
      fixFloatQuoteGrid - Array of Fix Float Swap Rates
      currency - Funding Currency
      latentStateType - Latent State Type
      Returns:
      The Funding Curve Map