Package org.drip.state.curve

Class BasisSplineGovvieYield

java.lang.Object

org.drip.state.discount.DiscountCurve

org.drip.state.govvie.GovvieCurve

org.drip.state.curve.BasisSplineGovvieYield

All Implemented Interfaces:

Curve, DiscountFactorEstimator, YieldEstimator, LatentState

public class BasisSplineGovvieYield
extends GovvieCurve

BasisSplineGovvieYield manages the Basis Spline Latent State, using the Basis as the State Response Representation, for the Govvie Curve with Yield Quantification Metric. It exports the following functionality:

• BasisSplineGovvieYield Constructor
• Construct a Flat Forward Instance of the Curve at the specified Date Nodes
• Construct a Flat Forward Instance of the Curve at the specified Date Node Tenors

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
BasisSplineGovvieYield(java.lang.String treasuryCode, java.lang.String currency, Span span)	BasisSplineGovvieYield Constructor

Method Summary

Modifier and Type	Method	Description
FlatForwardDiscountCurve	flatForward(int[] dateArray)	Construct a Flat Forward Instance of the Curve at the specified Date Nodes
FlatForwardDiscountCurve	flatForward(java.lang.String[] tenorArray)	Construct a Flat Forward Instance of the Curve at the specified Date Node Tenors
WengertJacobian	jackDForwardDManifestMeasure(java.lang.String manifestMeasure, int date)	Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
double	yld(int date)	Calculate the Yield to the given Date

Methods inherited from class org.drip.state.govvie.GovvieCurve

calibComp, currency, customTweakManifestMeasure, customTweakQuantificationMetric, dayCount, df, df, df, effectiveDF, effectiveDF, effectiveDF, epoch, forwardYield, freq, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, label, manifestMeasure, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, setCCIS, shiftManifestMeasure, yieldDF, yld, yld

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

Constructor Details

BasisSplineGovvieYield

public BasisSplineGovvieYield(java.lang.String treasuryCode,
java.lang.String currency,
Span span)
                       throws java.lang.Exception

BasisSplineGovvieYield Constructor

Parameters:

treasuryCode - Treasury Code

currency - Currency

span - Govvie Curve Span

Throws:

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

Method Details

yld

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

Description copied from interface: YieldEstimator

Calculate the Yield to the given Date

Parameters:

date - Date

Returns:

The Yield

Throws:

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

jackDForwardDManifestMeasure

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

Description copied from class: GovvieCurve

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

Specified by:

jackDForwardDManifestMeasure in class GovvieCurve

Parameters:

manifestMeasure - Manifest Measure

date - Date

Returns:

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

flatForward

public FlatForwardDiscountCurve flatForward(int[] dateArray)

Construct a Flat Forward Instance of the Curve at the specified Date Nodes

Parameters:

dateArray - Array of Date Nodes

Returns:

The Flat Forward Instance

flatForward

public FlatForwardDiscountCurve flatForward(java.lang.String[] tenorArray)

Construct a Flat Forward Instance of the Curve at the specified Date Node Tenors

Parameters:

tenorArray - Array of Date Node Tenors

Returns:

The Flat Forward Instance