Package org.drip.state.curve

Class BasisSplineFXForward

java.lang.Object

org.drip.state.fx.FXCurve

org.drip.state.curve.BasisSplineFXForward

All Implemented Interfaces:

Curve, LatentState

public class BasisSplineFXForward
extends FXCurve

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

• BasisSplineFXForward Constructor
• Retrieve the FX Spot

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

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
BasisSplineFXForward(CurrencyPair currencyPair, Span span)	BasisSplineFXForward constructor

Method Summary

Modifier and Type	Method	Description
double[]	bootstrapBasis(int[] nodeDateArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)	Bootstrap the basis to the discount curve inputs
MergedDiscountForwardCurve	bootstrapBasisDC(int[] nodeDateArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)	Bootstrap the discount curve from the discount curve inputs
double	fx(int date)	Calculate the FX Forward to the given Date
double	fxSpot()	Retrieve the FX Spot
double[]	impliedNodeRates(int[] nodeDateArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)	Calculate the rates implied by the discount curve inputs
WengertJacobian	jackDForwardDManifestMeasure(java.lang.String manifestMeasure, int date)	Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
double	rate(int[] nodeDateArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, int date, boolean basisOnDenominator)	Calculate the rate implied by the discount curve inputs to a specified date
double[]	zeroBasis(int[] nodeDateArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)	Calculate the set of Zero basis given the input discount curves

Methods inherited from class org.drip.state.fx.FXCurve

calibComp, currency, currencyPair, customTweakManifestMeasure, customTweakQuantificationMetric, epoch, fx, fx, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, label, manifestMeasure, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, setCCIS, shiftManifestMeasure

Methods inherited from class java.lang.Object

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

Constructor Details

BasisSplineFXForward

public BasisSplineFXForward(CurrencyPair currencyPair,
Span span)
                     throws java.lang.Exception

BasisSplineFXForward constructor

Parameters:

currencyPair - The Currency Pair

span - The Span over which the Basis Representation is valid

Throws:

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

Method Details

fx

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

Description copied from class: FXCurve

Calculate the FX Forward to the given Date

Specified by:

fx in class FXCurve

Parameters:

date - Date

Returns:

The FX Forward

Throws:

java.lang.Exception - Thrown if the FX Forward cannot be calculated

fxSpot

public double fxSpot()

Retrieve the FX Spot

Returns:

The FX Spot

zeroBasis

public double[] zeroBasis(int[] nodeDateArray,
ValuationParams valuationParams,
MergedDiscountForwardCurve numeratorDiscountCurve,
MergedDiscountForwardCurve denominatorDiscountCurve,
boolean basisOnDenominator)

Description copied from class: FXCurve

Calculate the set of Zero basis given the input discount curves

Specified by:

zeroBasis in class FXCurve

Parameters:

nodeDateArray - Array of Date Nodes

valuationParams - Valuation Parameters

numeratorDiscountCurve - Discount Curve Numerator

denominatorDiscountCurve - Discount Curve Denominator

basisOnDenominator - True if the basis is calculated on the denominator discount curve

Returns:

Array of the computed basis

bootstrapBasis

public double[] bootstrapBasis(int[] nodeDateArray,
ValuationParams valuationParams,
MergedDiscountForwardCurve numeratorDiscountCurve,
MergedDiscountForwardCurve denominatorDiscountCurve,
boolean basisOnDenominator)

Description copied from class: FXCurve

Bootstrap the basis to the discount curve inputs

Specified by:

bootstrapBasis in class FXCurve

Parameters:

nodeDateArray - Array of Date Nodes

valuationParams - Valuation Parameters

numeratorDiscountCurve - Discount Curve Numerator

denominatorDiscountCurve - Discount Curve Denominator

basisOnDenominator - True if the basis is calculated on the denominator discount curve

Returns:

Array of the computed basis

impliedNodeRates

public double[] impliedNodeRates(int[] nodeDateArray,
ValuationParams valuationParams,
MergedDiscountForwardCurve numeratorDiscountCurve,
MergedDiscountForwardCurve denominatorDiscountCurve,
boolean basisOnDenominator)

Description copied from class: FXCurve

Calculate the rates implied by the discount curve inputs

Specified by:

impliedNodeRates in class FXCurve

Parameters:

nodeDateArray - Array of Date Nodes

valuationParams - Valuation Parameters

numeratorDiscountCurve - Discount Curve Numerator

denominatorDiscountCurve - Discount Curve Denominator

basisOnDenominator - True if the basis is calculated on the denominator discount curve

Returns:

Array of the computed implied rates

bootstrapBasisDC

public MergedDiscountForwardCurve bootstrapBasisDC(int[] nodeDateArray,
ValuationParams valuationParams,
MergedDiscountForwardCurve numeratorDiscountCurve,
MergedDiscountForwardCurve denominatorDiscountCurve,
boolean basisOnDenominator)

Description copied from class: FXCurve

Bootstrap the discount curve from the discount curve inputs

Specified by:

bootstrapBasisDC in class FXCurve

Parameters:

nodeDateArray - Array of Date Nodes

valuationParams - Valuation Parameters

numeratorDiscountCurve - Discount Curve Numerator

denominatorDiscountCurve - Discount Curve Denominator

basisOnDenominator - True if the basis is calculated on the denominator discount curve

Returns:

Array of the computed basis

rate

public double rate(int[] nodeDateArray,
ValuationParams valuationParams,
MergedDiscountForwardCurve numeratorDiscountCurve,
MergedDiscountForwardCurve denominatorDiscountCurve,
int date,
boolean basisOnDenominator)
            throws java.lang.Exception

Description copied from class: FXCurve

Calculate the rate implied by the discount curve inputs to a specified date

Specified by:

rate in class FXCurve

Parameters:

nodeDateArray - Array of Date Nodes

valuationParams - ValuationParams

numeratorDiscountCurve - Discount Curve Numerator

denominatorDiscountCurve - Discount Curve Denominator

date - Date to which the implied rate is sought

basisOnDenominator - True if the implied rate is calculated on the denominator discount curve

Returns:

Implied rate

Throws:

java.lang.Exception - Thrown if the implied rate cannot be calculated

jackDForwardDManifestMeasure

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

Description copied from class: FXCurve

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

Specified by:

jackDForwardDManifestMeasure in class FXCurve

Parameters:

manifestMeasure - Manifest Measure

date - Date

Returns:

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