Package org.drip.state.curve

Class BasisSplineRepoCurve

java.lang.Object

org.drip.state.repo.RepoCurve

org.drip.state.curve.BasisSplineRepoCurve

All Implemented Interfaces:

Curve, RepoEstimator, LatentState

public class BasisSplineRepoCurve
extends RepoCurve

BasisSplineRepoCurve manages the Basis Latent State, using the Repo as the State Response Representation.

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.repo.RepoCurve

LATENT_STATE_REPO, QUANTIFICATION_METRIC_REPO_RATE

Constructor Summary

Constructors

Constructor	Description
BasisSplineRepoCurve(Component component, Span span)	BasisSplineRepoCurve constructor

Method Summary

Modifier and Type	Method	Description
double	repo(int date)	Calculate the Repo Rate to the given Date

Methods inherited from class org.drip.state.repo.RepoCurve

calibComp, component, currency, customTweakManifestMeasure, customTweakQuantificationMetric, epoch, label, manifestMeasure, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, repo, repo, setCCIS, shiftManifestMeasure

Methods inherited from class java.lang.Object

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

Constructor Details

BasisSplineRepoCurve

public BasisSplineRepoCurve(Component component,
Span span)
                     throws java.lang.Exception

BasisSplineRepoCurve constructor

Parameters:

component - The Underlying Repo Component

span - The Span over which the Basis Representation is valid

Throws:

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

Method Details

repo

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

Description copied from interface: RepoEstimator

Calculate the Repo Rate to the given Date

Parameters:

date - Date

Returns:

The Repo Rate

Throws:

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