Package org.drip.state.csa

Class MultilateralBasisCurve

java.lang.Object

org.drip.state.csa.MultilateralBasisCurve

All Implemented Interfaces:

CashFlowEstimator, DiscountFactorEstimator

public class MultilateralBasisCurve
extends java.lang.Object
implements CashFlowEstimator

MultilateralBasisCurve implements the CSA Cash Rate Curve as a Basis over an Overnight Curve. It exports the following Functionality:

• Retrieve the Overnight Curve
• Retrieve the Basis to the Overnight Curve

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

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
MultilateralBasisCurve()

Method Summary

Modifier and Type	Method	Description
double	basis()	Retrieve the Basis to the Overnight Curve
double	df(int date)	Calculate the Discount Factor to the given Date
double	df(java.lang.String tenor)	Calculate the Discount Factor to the given Tenor
double	df(JulianDate date)	Calculate the discount factor to the given date
double	effectiveDF(int date1, int date2)	Compute the time-weighted discount factor between 2 dates
double	effectiveDF(java.lang.String tenor1, java.lang.String tenor2)	Compute the time-weighted discount factor between 2 tenors
double	effectiveDF(JulianDate date1, JulianDate date2)	Compute the time-weighted discount factor between 2 dates
JulianDate	epoch()	Retrieve the Starting (Epoch) Date
MergedDiscountForwardCurve	overnightCurve()	Retrieve the Overnight Curve
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 class java.lang.Object

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

Constructor Details

MultilateralBasisCurve

public MultilateralBasisCurve()

Method Details

overnightCurve

public MergedDiscountForwardCurve overnightCurve()

Retrieve the Overnight Curve

Returns:

The Overnight Curve

basis

public double basis()

Retrieve the Basis to the Overnight Curve

Returns:

The Basis to the Overnight Curve

epoch

public JulianDate epoch()

Description copied from interface: DiscountFactorEstimator

Retrieve the Starting (Epoch) Date

Specified by:

epoch in interface DiscountFactorEstimator

Returns:

The Starting Date

df

public double df(int date)
          throws java.lang.Exception

Description copied from interface: DiscountFactorEstimator

Calculate the Discount Factor to the given Date

Specified by:

df in interface DiscountFactorEstimator

Parameters:

date - Date

Returns:

Discount Factor

Throws:

java.lang.Exception - Thrown if the Discount Factor cannot be calculated

df

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

Description copied from interface: DiscountFactorEstimator

Calculate the discount factor to the given date

Specified by:

df in interface DiscountFactorEstimator

Parameters:

date - Date

Returns:

Discount factor

Throws:

java.lang.Exception - Thrown if the discount factor cannot be calculated

df

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

Description copied from interface: DiscountFactorEstimator

Calculate the Discount Factor to the given Tenor

Specified by:

df in interface DiscountFactorEstimator

Parameters:

tenor - Tenor

Returns:

Discount factor

Throws:

java.lang.Exception - Thrown if the Discount Factor cannot be calculated

effectiveDF

public double effectiveDF(int date1,
int date2)
                   throws java.lang.Exception

Description copied from interface: DiscountFactorEstimator

Compute the time-weighted discount factor between 2 dates

Specified by:

effectiveDF in interface DiscountFactorEstimator

Parameters:

date1 - First Date

date2 - Second Date

Returns:

Discount Factor

Throws:

java.lang.Exception - Thrown if the discount factor cannot be calculated

effectiveDF

public double effectiveDF(JulianDate date1,
JulianDate date2)
                   throws java.lang.Exception

Description copied from interface: DiscountFactorEstimator

Compute the time-weighted discount factor between 2 dates

Specified by:

effectiveDF in interface DiscountFactorEstimator

Parameters:

date1 - First Date

date2 - Second Date

Returns:

Discount Factor

Throws:

java.lang.Exception - Thrown if the discount factor cannot be calculated

effectiveDF

public double effectiveDF(java.lang.String tenor1,
java.lang.String tenor2)
                   throws java.lang.Exception

Description copied from interface: DiscountFactorEstimator

Compute the time-weighted discount factor between 2 tenors

Specified by:

effectiveDF in interface DiscountFactorEstimator

Parameters:

tenor1 - First Date

tenor2 - Second Date

Returns:

Discount Factor

Throws:

java.lang.Exception - Thrown if the discount factor cannot be calculated

rate

public double rate(int date)
            throws java.lang.Exception

Description copied from interface: CashFlowEstimator

Calculate the Cash Flow Rate Effective to the given Date

Specified by:

rate in interface CashFlowEstimator

Parameters:

date - Date

Returns:

The Cash Flow Rate

Throws:

java.lang.Exception - Thrown if the Cash Flow Rate cannot be calculated

rate

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

Description copied from interface: CashFlowEstimator

Calculate the Cash Flow Rate Effective to the given date

Specified by:

rate in interface CashFlowEstimator

Parameters:

date - Date

Returns:

The Cash Flow Rate

Throws:

java.lang.Exception - Thrown if the Cash Flow Rate cannot be Calculated

rate

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

Description copied from interface: CashFlowEstimator

Calculate the Cash Flow Rate Effective to the given Tenor

Specified by:

rate in interface CashFlowEstimator

Parameters:

tenor - Tenor

Returns:

The Cash Flow Rate

Throws:

java.lang.Exception - Thrown if the Cash Flow Rate cannot be calculated

rate

public double rate(int date1,
int date2)
            throws java.lang.Exception

Description copied from interface: CashFlowEstimator

Calculate the Cash Flow Rate Effective between the Dates

Specified by:

rate in interface CashFlowEstimator

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

public double rate(JulianDate date1,
JulianDate date2)
            throws java.lang.Exception

Description copied from interface: CashFlowEstimator

Calculate the Cash Flow Rate Effective between the Dates

Specified by:

rate in interface CashFlowEstimator

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

public double rate(java.lang.String tenor1,
java.lang.String tenor2)
            throws java.lang.Exception

Description copied from interface: CashFlowEstimator

Calculate the Cash Flow Rate Effective between the Tenors

Specified by:

rate in interface CashFlowEstimator

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