Package org.drip.state.basis

Class BasisCurve

java.lang.Object

org.drip.state.basis.BasisCurve

All Implemented Interfaces:

Curve, BasisEstimator, LatentState

Direct Known Subclasses:

BasisSplineBasisCurve

public abstract class BasisCurve
extends java.lang.Object
implements BasisEstimator, Curve

BasisCurve is the Stub for the Basis between a Pair of Forward Curves. It exposes the following functions:

• Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
• Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor

Module	Product Core Module
Library	Fixed Income Analytics
Project	Latent State Inference and Creation Utilities
Package	Basis State Curve Construction/Estimation

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field	Description
static java.lang.String	LATENT_STATE_BASIS	Basis Latent State
static java.lang.String	QUANTIFICATION_METRIC_FORWARD_RATE	Basis Latent State Quantification Metric - Discount Factor

Method Summary

Modifier and Type	Method	Description
double	basis(java.lang.String tenor)	Calculate the Basis to the given Tenor
double	basis(JulianDate date)	Calculate the Basis to the given Date
CalibratableComponent[]	calibComp()	Retrieve the Calibration Components
java.lang.String	currency()	Get the Currency
LatentState	customTweakManifestMeasure(java.lang.String manifestMeasure, ManifestMeasureTweak manifestMeasureTweak)	Create a LatentState Instance from the Manifest Measure Tweak Parameters
LatentState	customTweakQuantificationMetric(ManifestMeasureTweak manifestMeasureTweak)	Create a LatentState Instance from the Quantification Metric Tweak Parameters
ForwardLabel	derivedIndex()	Retrieve the Derived Index
JulianDate	epoch()	Get the Epoch Date
abstract WengertJacobian	jackDForwardDManifestMeasure(java.lang.String manifestMeasure, int date)	Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
WengertJacobian	jackDForwardDManifestMeasure(java.lang.String manifestMeasure, java.lang.String tenor)	Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor
WengertJacobian	jackDForwardDManifestMeasure(java.lang.String manifestMeasure, JulianDate date)	Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
LatentStateLabel	label()	Get the Curve Latent State Identifier Label
CaseInsensitiveTreeMap<java.lang.Double>	manifestMeasure(java.lang.String instrument)	Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve
LatentState	parallelShiftManifestMeasure(java.lang.String manifestMeasure, double shift)	Create a LatentState Instance from the Manifest Measure Parallel Shift
LatentState	parallelShiftQuantificationMetric(double shift)	Create a LatentState Instance from the Quantification Metric Parallel Shift
ForwardLabel	referenceIndex()	Retrieve the Reference Index
boolean	setCCIS(CurveConstructionInputSet curveConstructionInputSet)	Set the Curve Construction Input Set Parameters
LatentState	shiftManifestMeasure(int spanIndex, java.lang.String manifestMeasure, double shift)	Create a LatentState Instance from the Shift of the Specified Manifest Measure

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.drip.state.basis.BasisEstimator

basis

Field Details

LATENT_STATE_BASIS

public static final java.lang.String LATENT_STATE_BASIS

Basis Latent State

See Also:

Constant Field Values

QUANTIFICATION_METRIC_FORWARD_RATE

public static final java.lang.String QUANTIFICATION_METRIC_FORWARD_RATE

Basis Latent State Quantification Metric - Discount Factor

See Also:

Constant Field Values

Method Details

label

public LatentStateLabel label()

Description copied from interface: Curve

Get the Curve Latent State Identifier Label

Specified by:

label in interface Curve

Returns:

The Curve Latent State Identifier Label

currency

public java.lang.String currency()

Description copied from interface: Curve

Get the Currency

Specified by:

currency in interface Curve

Returns:

Currency

epoch

public JulianDate epoch()

Description copied from interface: Curve

Get the Epoch Date

Specified by:

epoch in interface Curve

Returns:

The Epoch Date

referenceIndex

public ForwardLabel referenceIndex()

Description copied from interface: BasisEstimator

Retrieve the Reference Index

Specified by:

referenceIndex in interface BasisEstimator

Returns:

The Reference Index

derivedIndex

public ForwardLabel derivedIndex()

Description copied from interface: BasisEstimator

Retrieve the Derived Index

Specified by:

derivedIndex in interface BasisEstimator

Returns:

The Derived Index

basis

public double basis(JulianDate date)
             throws java.lang.Exception

Description copied from interface: BasisEstimator

Calculate the Basis to the given Date

Specified by:

basis in interface BasisEstimator

Parameters:

date - Date

Returns:

The Basis

Throws:

java.lang.Exception - Thrown if the Basis cannot be calculated

basis

public double basis(java.lang.String tenor)
             throws java.lang.Exception

Description copied from interface: BasisEstimator

Calculate the Basis to the given Tenor

Specified by:

basis in interface BasisEstimator

Parameters:

tenor - The Tenor

Returns:

The Basis

Throws:

java.lang.Exception - Thrown if the Basis cannot be calculated

setCCIS

public boolean setCCIS(CurveConstructionInputSet curveConstructionInputSet)

Description copied from interface: Curve

Set the Curve Construction Input Set Parameters

Specified by:

setCCIS in interface Curve

Parameters:

curveConstructionInputSet - The Curve Construction Input Set Parameters

Returns:

TRUE - Inputs successfully Set

calibComp

public CalibratableComponent[] calibComp()

Description copied from interface: Curve

Retrieve the Calibration Components

Specified by:

calibComp in interface Curve

Returns:

Array of Calibration Components

manifestMeasure

public CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure(java.lang.String instrument)

Description copied from interface: Curve

Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve

Specified by:

manifestMeasure in interface Curve

Parameters:

instrument - The Calibration Instrument's Code whose Manifest Measure Map is sought

Returns:

The Manifest Measure Map of the given Instrument used to construct the Curve

parallelShiftManifestMeasure

public LatentState parallelShiftManifestMeasure(java.lang.String manifestMeasure,
double shift)

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Parallel Shift

Specified by:

parallelShiftManifestMeasure in interface LatentState

Parameters:

manifestMeasure - The Specified Manifest Measure

shift - Parallel shift of the Manifest Measure

Returns:

New LatentState Instance corresponding to the Parallel Shifted Manifest Measure

shiftManifestMeasure

public LatentState shiftManifestMeasure(int spanIndex,
java.lang.String manifestMeasure,
double shift)

Description copied from interface: LatentState

Create a LatentState Instance from the Shift of the Specified Manifest Measure

Specified by:

shiftManifestMeasure in interface LatentState

Parameters:

spanIndex - Index into the Span that identifies the Instrument

manifestMeasure - The Specified Manifest Measure

shift - Shift of the Manifest Measure

Returns:

New LatentState Instance corresponding to the Shift of the Specified Manifest Measure

customTweakManifestMeasure

public LatentState customTweakManifestMeasure(java.lang.String manifestMeasure,
ManifestMeasureTweak manifestMeasureTweak)

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Tweak Parameters

Specified by:

customTweakManifestMeasure in interface LatentState

Parameters:

manifestMeasure - The Specified Manifest Measure

manifestMeasureTweak - Manifest Measure Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Manifest Measure

parallelShiftQuantificationMetric

public LatentState parallelShiftQuantificationMetric(double shift)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Parallel Shift

Specified by:

parallelShiftQuantificationMetric in interface LatentState

Parameters:

shift - Parallel shift of the Quantification Metric

Returns:

New LatentState Instance corresponding to the Parallel Shifted Quantification Metric

customTweakQuantificationMetric

public LatentState customTweakQuantificationMetric(ManifestMeasureTweak manifestMeasureTweak)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Tweak Parameters

Specified by:

customTweakQuantificationMetric in interface LatentState

Parameters:

manifestMeasureTweak - Quantification Metric Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Quantification Metric

jackDForwardDManifestMeasure

public abstract WengertJacobian jackDForwardDManifestMeasure(java.lang.String manifestMeasure,
int date)

Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date

Parameters:

manifestMeasure - Manifest Measure

date - Date

Returns:

The Manifest Measure Jacobian of the Forward Rate to the given date

jackDForwardDManifestMeasure

public WengertJacobian jackDForwardDManifestMeasure(java.lang.String manifestMeasure,
JulianDate date)

Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date

Parameters:

manifestMeasure - Manifest Measure

date - Date

Returns:

The Manifest Measure Jacobian of the Forward Rate to the given date

jackDForwardDManifestMeasure

public WengertJacobian jackDForwardDManifestMeasure(java.lang.String manifestMeasure,
java.lang.String tenor)

Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor

Parameters:

manifestMeasure - Manifest Measure

tenor - Tenor

Returns:

The Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor