Package org.drip.state.curve

Class BasisSplineMarketSurface

java.lang.Object

org.drip.analytics.definition.MarketSurface

org.drip.state.curve.BasisSplineMarketSurface

All Implemented Interfaces:

Curve, LatentState

public class BasisSplineMarketSurface
extends MarketSurface

BasisSplineMarketSurface implements the Market surface that holds the latent state Dynamics parameters.

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
BasisSplineMarketSurface(int epochDate, CustomLabel customLabel, java.lang.String currency, WireSurfaceStretch wireSurfaceStretch)	BasisSplineMarketSurface Constructor

Method Summary

Modifier and Type	Method	Description
double	node(double strike, double date)	Get the Market Node given the X and the Y Ordinates
NodeStructure	xAnchorTermStructure(double strikeAnchor)	Extract the Term Structure Constructed at the X Anchor Node
NodeStructure	yAnchorTermStructure(double maturityDateAnchor)	Extract the Term Structure Constructed at the Y Anchor Node

Methods inherited from class org.drip.analytics.definition.MarketSurface

calibComp, currency, customTweakManifestMeasure, customTweakQuantificationMetric, epoch, label, manifestMeasure, maturityAnchorTermStructure, node, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, setCCIS, shiftManifestMeasure

Methods inherited from class java.lang.Object

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

Constructor Details

BasisSplineMarketSurface

public BasisSplineMarketSurface(int epochDate,
CustomLabel customLabel,
java.lang.String currency,
WireSurfaceStretch wireSurfaceStretch)
                         throws java.lang.Exception

BasisSplineMarketSurface Constructor

Parameters:

epochDate - The Starting Date

customLabel - The Spline Market Surface Latent State Label

currency - The Currency

wireSurfaceStretch - Wire Surface Stretch Instance

Throws:

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

Method Details

node

public double node(double strike,
double date)
            throws java.lang.Exception

Description copied from class: MarketSurface

Get the Market Node given the X and the Y Ordinates

Specified by:

node in class MarketSurface

Parameters:

strike - X

date - Y

Returns:

The Latent State Metric Value evaluated from the Surface

Throws:

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

xAnchorTermStructure

public NodeStructure xAnchorTermStructure(double strikeAnchor)

Description copied from class: MarketSurface

Extract the Term Structure Constructed at the X Anchor Node

Specified by:

xAnchorTermStructure in class MarketSurface

Parameters:

strikeAnchor - The X Anchor Node

Returns:

The Term Structure Constructed at the X Anchor Node

yAnchorTermStructure

public NodeStructure yAnchorTermStructure(double maturityDateAnchor)

Description copied from class: MarketSurface

Extract the Term Structure Constructed at the Y Anchor Node

Specified by:

yAnchorTermStructure in class MarketSurface

Parameters:

maturityDateAnchor - The Y Anchor

Returns:

The Term Structure Constructed at the Y Anchor Node