Package org.drip.state.csa

Interface CashFlowEstimator

All Superinterfaces:
DiscountFactorEstimator
All Known Implementing Classes:
MultilateralBasisCurve, MultilateralFlatForwardCurve
public interface CashFlowEstimator
extends DiscountFactorEstimator
CashFlowEstimator estimates the Cash Flow Rate to be applied between the specified Dates. It exports the following Functionality:
  • Calculate the Cash Flow Rate Effective to the given Date
  • Calculate the Cash Flow Rate Effective to the given Tenor
  • Calculate the Cash Flow Rate Effective between the Tenors
  • Calculate the Cash Flow Rate Effective between the Dates

Module Product Core Module
Library Fixed Income Analytics
Project Latent State Inference and Creation Utilities
Package Credit Support Annex Latent State
Author:
Lakshmi Krishnamurthy

  • Method Summary

    Modifier and Type Method Description
    double rate​(int date)
    Calculate the Cash Flow Rate Effective to the given Date
    double rate​(int date1, int date2)
    Calculate the Cash Flow Rate Effective between the Dates
    double rate​(java.lang.String tenor)
    Calculate the Cash Flow Rate Effective to the given Tenor
    double rate​(java.lang.String tenor1, java.lang.String tenor2)
    Calculate the Cash Flow Rate Effective between the Tenors
    double rate​(JulianDate date)
    Calculate the Cash Flow Rate Effective to the given date
    double rate​(JulianDate date1, JulianDate date2)
    Calculate the Cash Flow Rate Effective between the Dates

    Methods inherited from interface org.drip.state.discount.DiscountFactorEstimator

    df, df, df, effectiveDF, effectiveDF, effectiveDF, epoch

  • Method Details

    • rate

      double rate​(int date) throws java.lang.Exception
      Calculate the Cash Flow Rate Effective to the given Date
      Parameters:
      date - Date
      Returns:
      The Cash Flow Rate
      Throws:
      java.lang.Exception - Thrown if the Cash Flow Rate cannot be calculated

    • rate

      double rate​(JulianDate date) throws java.lang.Exception
      Calculate the Cash Flow Rate Effective to the given date
      Parameters:
      date - Date
      Returns:
      The Cash Flow Rate
      Throws:
      java.lang.Exception - Thrown if the Cash Flow Rate cannot be Calculated

    • rate

      double rate​(java.lang.String tenor) throws java.lang.Exception
      Calculate the Cash Flow Rate Effective to the given Tenor
      Parameters:
      tenor - Tenor
      Returns:
      The Cash Flow Rate
      Throws:
      java.lang.Exception - Thrown if the Cash Flow Rate cannot be calculated

    • rate

      double rate​(java.lang.String tenor1, java.lang.String tenor2) throws java.lang.Exception
      Calculate the Cash Flow Rate Effective between the Tenors
      Parameters:
      tenor1 - Tenor #1
      tenor2 - Tenor #2
      Returns:
      The Cash Flow Rate
      Throws:
      java.lang.Exception - Thrown if the Cash Flow Rate cannot be calculated

    • rate

      double rate​(int date1, int date2) throws java.lang.Exception
      Calculate the Cash Flow Rate Effective between the Dates
      Parameters:
      date1 - Date #1
      date2 - Date #2
      Returns:
      The Cash Flow Rate
      Throws:
      java.lang.Exception - Thrown if the Cash Flow Rate cannot be calculated

    • rate

      double rate​(JulianDate date1, JulianDate date2) throws java.lang.Exception
      Calculate the Cash Flow Rate Effective between the Dates
      Parameters:
      date1 - Date #1
      date2 - Date #2
      Returns:
      The Cash Flow Rate
      Throws:
      java.lang.Exception - Thrown if the Cash Flow Rate cannot be calculated