Package org.drip.state.curve

Class BasisSplineForwardRate

java.lang.Object

org.drip.state.forward.ForwardCurve

org.drip.state.curve.BasisSplineForwardRate

All Implemented Interfaces:

Curve, ForwardRateEstimator, LatentState

public class BasisSplineForwardRate
extends ForwardCurve

BasisSplineForwardRate manages the Forward Latent State, using the Forward Rate as the State Response Representation. It exports the following functionality:

• BasisSplineForwardRate Constructor
• Calculate implied forward rate / implied forward rate Jacobian
• Serialize into and de-serialize out of byte arrays

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
BasisSplineForwardRate(ForwardLabel forwardLabel, OverlappingStretchSpan span)	BasisSplineForwardRate constructor

Method Summary

Modifier and Type	Method	Description
double	forward(int date)	Calculate the Forward Rate 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.forward.ForwardCurve

calibComp, currency, customTweakManifestMeasure, customTweakQuantificationMetric, epoch, forward, forward, index, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, label, manifestMeasure, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, setCCIS, shiftManifestMeasure, tenor

Methods inherited from class java.lang.Object

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

Constructor Details

BasisSplineForwardRate

public BasisSplineForwardRate(ForwardLabel forwardLabel,
OverlappingStretchSpan span)
                       throws java.lang.Exception

BasisSplineForwardRate constructor

Parameters:

forwardLabel - The Floating Rate Index Forward Label

span - The Span over which the Forward Rate Representation is valid

Throws:

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

Method Details

forward

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

Description copied from interface: ForwardRateEstimator

Calculate the Forward Rate to the given Date

Parameters:

date - Date

Returns:

The Forward Rate

Throws:

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

jackDForwardDManifestMeasure

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

Description copied from class: ForwardCurve

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

Specified by:

jackDForwardDManifestMeasure in class ForwardCurve

Parameters:

manifestMeasure - Manifest Measure

date - Date

Returns:

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