Package org.drip.service.state

Class OvernightCurveAPI

java.lang.Object
org.drip.service.state.OvernightCurveAPI
public class OvernightCurveAPI
extends java.lang.Object
OvernightCurveAPI computes the Metrics associated the Overnight Curve State.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    OvernightCurveAPI()  

  • Method Summary

    Modifier and Type Method Description
    static FundingCurveMetrics DailyMetrics​(JulianDate dtSpot, java.lang.String[] astrOvernightCurveOISTenor, double[] adblOvernightCurveOISQuote, java.lang.String[] astrInTenor, java.lang.String[] astrForTenor, java.lang.String strCurrency, int iLatentStateType)
    Generate the Overnight Curve Horizon Metrics for the Specified Date
    static java.util.Map<JulianDate,​FundingCurveMetrics> HorizonMetrics​(JulianDate[] adtSpot, java.lang.String[] astrOvernightCurveOISTenor, double[][] aadblOvernightCurveOISQuote, java.lang.String[] astrInTenor, java.lang.String[] astrForTenor, java.lang.String strCurrency, int iLatentStateType)
    Generate the Overnight Curve Horizon Metrics For an Array of Closing Dates

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • OvernightCurveAPI

      public OvernightCurveAPI()

  • Method Details

    • DailyMetrics

      public static final FundingCurveMetrics DailyMetrics​(JulianDate dtSpot, java.lang.String[] astrOvernightCurveOISTenor, double[] adblOvernightCurveOISQuote, java.lang.String[] astrInTenor, java.lang.String[] astrForTenor, java.lang.String strCurrency, int iLatentStateType)
      Generate the Overnight Curve Horizon Metrics for the Specified Date
      Parameters:
      dtSpot - The Spot Date
      astrOvernightCurveOISTenor - Array of Overnight Curve Fix Float OIS Maturity Tenors
      adblOvernightCurveOISQuote - Array of Overnight Curve OIS Rates
      astrInTenor - Array of "In" Tenors
      astrForTenor - Array of "For" Tenors
      strCurrency - Overnight Currency
      iLatentStateType - Latent State Type
      Returns:
      The Overnight Curve Horizon Metrics

    • HorizonMetrics

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