Package org.drip.state.csa

Class MultilateralFlatForwardCurve

java.lang.Object

org.drip.state.discount.DiscountCurve

org.drip.state.discount.MergedDiscountForwardCurve

org.drip.state.discount.ExplicitBootDiscountCurve

org.drip.state.nonlinear.FlatForwardDiscountCurve

org.drip.state.csa.MultilateralFlatForwardCurve

All Implemented Interfaces:

Curve, ExplicitBootCurve, CashFlowEstimator, DiscountFactorEstimator, LatentState

public class MultilateralFlatForwardCurve
extends FlatForwardDiscountCurve
implements CashFlowEstimator

MultilateralFlatForwardCurve implements the CSA Cash Rate Curve using a Flat Forward CSA Rate.

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
MultilateralFlatForwardCurve(JulianDate epochDate, java.lang.String currency, int[] dateArray, double[] forwardRateArray, boolean discreteCompounding, java.lang.String compoundingDayCountConvention, int compoundingFrequency)	MultilateralFlatForwardCurve Constructor

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 class org.drip.state.nonlinear.FlatForwardDiscountCurve

bumpNodeValue, canonicalTruthness, compoundingDayCount, compoundingFrequency, createBasisRateShiftedCurve, customTweakManifestMeasure, customTweakQuantificationMetric, dates, df, discreteCompounding, forward, forwardRateEstimator, jackDDFDManifestMeasure, latentStateQuantificationMetric, nodeValues, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, setFlatValue, setNodeValue, shiftManifestMeasure, zero

Methods inherited from class org.drip.state.discount.ExplicitBootDiscountCurve

calibComp, manifestMeasure, setCCIS

Methods inherited from class org.drip.state.discount.MergedDiscountForwardCurve

compJackDPVDManifestMeasure, compJackDPVDManifestMeasure, currency, df, df, effectiveDF, effectiveDF, effectiveDF, epoch, estimateManifestMeasure, forward, jackDDFDManifestMeasure, jackDDFDManifestMeasure, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, label, libor, libor, libor, libor, nativeForwardCurve, parSwapDV01, proxyManifestMeasure, setTurns, turnAdjust, zero, zeroRateJack, zeroRateJack

Methods inherited from class org.drip.state.discount.DiscountCurve

flatForward, flatNativeForward, flatNativeForward, flatNativeForwardEI

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.drip.analytics.definition.Curve

currency, epoch, label

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

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

Constructor Details

MultilateralFlatForwardCurve

public MultilateralFlatForwardCurve(JulianDate epochDate,
java.lang.String currency,
int[] dateArray,
double[] forwardRateArray,
boolean discreteCompounding,
java.lang.String compoundingDayCountConvention,
int compoundingFrequency)
                             throws java.lang.Exception

MultilateralFlatForwardCurve Constructor

Parameters:

epochDate - Epoch Date

currency - Currency

dateArray - Array of Dates

forwardRateArray - Array of Forward Rates

discreteCompounding - TRUE - Compounding is Discrete

compoundingDayCountConvention - Day Count Convention to be used for Discrete Compounding

compoundingFrequency - Frequency to be used for Discrete Compounding

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

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