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.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    FundingCurveAPI()  

  • Method Summary

    Modifier and Type Method Description
    static FundingCurveMetrics DailyMetrics​(JulianDate dtSpot, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String[] astrInTenor, java.lang.String[] astrForTenor, java.lang.String strCurrency, int iLatentStateType)
    Generate the Funding Curve Daily Metrics
    static java.util.Map<JulianDate,​MergedDiscountForwardCurve> HistoricalMap​(JulianDate[] adtSpot, java.lang.String[] astrFixFloatMaturityTenor, double[][] aadblFixFloatQuote, java.lang.String strCurrency, int iLatentStateType)
    Generate the Funding Curve Map
    static java.util.Map<JulianDate,​FundingCurveMetrics> HorizonMetrics​(JulianDate[] adtSpot, java.lang.String[] astrFixFloatMaturityTenor, double[][] aadblFixFloatQuote, java.lang.String[] astrInTenor, java.lang.String[] astrForTenor, java.lang.String strCurrency, int iLatentStateType)
    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 dtSpot, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String[] astrInTenor, java.lang.String[] astrForTenor, java.lang.String strCurrency, int iLatentStateType)
      Generate the Funding Curve Daily Metrics
      Parameters:
      dtSpot - The Spot Date
      astrFixFloatMaturityTenor - Array of Fix Float Maturity Tenors
      adblFixFloatQuote - Array of Fix Float Swap Rates
      astrInTenor - Array of "In" Tenors
      astrForTenor - Array of "For" Tenors
      strCurrency - Funding Currency
      iLatentStateType - Latent State Type
      Returns:
      The Funding Curve Daily Metrics

    • HorizonMetrics

      public static final java.util.Map<JulianDate,​FundingCurveMetrics> HorizonMetrics​(JulianDate[] adtSpot, java.lang.String[] astrFixFloatMaturityTenor, double[][] aadblFixFloatQuote, java.lang.String[] astrInTenor, java.lang.String[] astrForTenor, java.lang.String strCurrency, int iLatentStateType)
      Generate the Funding Curve Horizon Metrics
      Parameters:
      adtSpot - Array of Spot
      astrFixFloatMaturityTenor - Array of Fix Float Maturity Tenors
      aadblFixFloatQuote - Array of Fix Float Swap Rates
      astrInTenor - Array of "In" Tenors
      astrForTenor - Array of "For" Tenors
      strCurrency - Funding Currency
      iLatentStateType - Latent State Type
      Returns:
      The Funding Curve Horizon Metrics

    • HistoricalMap

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