Package org.drip.state.curve

Class BasisSplineBasisCurve

java.lang.Object

org.drip.state.basis.BasisCurve

org.drip.state.curve.BasisSplineBasisCurve

All Implemented Interfaces:

Curve, BasisEstimator, LatentState

public class BasisSplineBasisCurve
extends BasisCurve

BasisSplineBasisCurve manages the Basis Latent State, using the Basis as the State Response Representation. It exports the following functionality:

• BasisSplineBasisCurve Constructor
• Calculate implied forward rate / implied forward rate Jacobian

Module	Product Core Module
Library	Fixed Income Analytics
Project	Latent State Inference and Creation Utilities
Package	Basis Spline Based Latent States

Author:

Lakshmi Krishnamurthy

Field Summary

Fields inherited from class org.drip.state.basis.BasisCurve

LATENT_STATE_BASIS, QUANTIFICATION_METRIC_FORWARD_RATE

Constructor Summary

Constructors

Constructor	Description
BasisSplineBasisCurve(ForwardLabel referenceForwardLabel, ForwardLabel derivedForwardLabel, boolean basisOnReference, Span span)	BasisSplineBasisCurve constructor

Method Summary

Modifier and Type	Method	Description
double	basis(int date)	Calculate the Basis to the given Date
WengertJacobian	jackDForwardDManifestMeasure(java.lang.String manifestMeasure, int date)	Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date

Methods inherited from class org.drip.state.basis.BasisCurve

basis, basis, calibComp, currency, customTweakManifestMeasure, customTweakQuantificationMetric, derivedIndex, epoch, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, label, manifestMeasure, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, referenceIndex, setCCIS, shiftManifestMeasure

Methods inherited from class java.lang.Object

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

Constructor Details

BasisSplineBasisCurve

public BasisSplineBasisCurve(ForwardLabel referenceForwardLabel,
ForwardLabel derivedForwardLabel,
boolean basisOnReference,
Span span)
                      throws java.lang.Exception

BasisSplineBasisCurve constructor

Parameters:

referenceForwardLabel - The Reference Leg Forward Label

derivedForwardLabel - The Derived Leg Forward Label

basisOnReference - TRUE - Is the Quoted Basis On the Reference Leg/Derived Leg

span - The Span over which the Basis Representation is valid

Throws:

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

Method Details

basis

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

Description copied from interface: BasisEstimator

Calculate the Basis to the given Date

Parameters:

date - Date

Returns:

The Basis

Throws:

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

jackDForwardDManifestMeasure

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

Description copied from class: BasisCurve

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

Specified by:

jackDForwardDManifestMeasure in class BasisCurve

Parameters:

manifestMeasure - Manifest Measure

date - Date

Returns:

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