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. It provides the following Functionality:
  • Generate the Overnight Curve Horizon Metrics for the Specified Date
  • Generate the Overnight Curve Horizon Metrics For an Array of Closing Dates

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
    OvernightCurveAPI()  

  • Method Summary

    Modifier and Type Method Description
    static FundingCurveMetrics DailyMetrics​(JulianDate spotDate, java.lang.String[] overnightCurveOISTenorAray, double[] overnightCurveOISQuoteGrid, java.lang.String[] inTenorArray, java.lang.String[] forTenorArray, java.lang.String currency, int latentStateType)
    Generate the Overnight Curve Horizon Metrics for the Specified Date
    static java.util.Map<JulianDate,​FundingCurveMetrics> HorizonMetrics​(JulianDate[] spotDateArray, java.lang.String[] overnightCurveOISTenorAray, double[][] overnightCurveOISQuoteGrid, java.lang.String[] inTenorArray, java.lang.String[] forTenorArray, java.lang.String currency, int latentStateType)
    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 spotDate, java.lang.String[] overnightCurveOISTenorAray, double[] overnightCurveOISQuoteGrid, java.lang.String[] inTenorArray, java.lang.String[] forTenorArray, java.lang.String currency, int latentStateType)
      Generate the Overnight Curve Horizon Metrics for the Specified Date
      Parameters:
      spotDate - The Spot Date
      overnightCurveOISTenorAray - Array of Overnight Curve Fix Float OIS Maturity Tenors
      overnightCurveOISQuoteGrid - Array of Overnight Curve OIS Rates
      inTenorArray - Array of "In" Tenors
      forTenorArray - Array of "For" Tenors
      currency - Overnight Currency
      latentStateType - Latent State Type
      Returns:
      The Overnight Curve Horizon Metrics

    • HorizonMetrics

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