Package org.drip.state.curve

Class BasisSplineTermStructure

java.lang.Object

org.drip.analytics.definition.NodeStructure

org.drip.state.curve.BasisSplineTermStructure

All Implemented Interfaces:

Curve, LatentState

public class BasisSplineTermStructure
extends NodeStructure

BasisSplineTermStructure implements the TermStructure Interface - if holds the latent states Term Structure 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
BasisSplineTermStructure(int epochDate, CustomLabel customLabel, java.lang.String currency, Span span)	BasisSplineTermStructure Constructor

Method Summary

Modifier and Type	Method	Description
double	node(int predictorOrdinate)	Get the Market Node at the given Predictor Ordinate
double	nodeDerivative(int predictorOrdinate, int order)	Get the Market Node Derivative at the given Predictor Ordinate

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

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

Methods inherited from class java.lang.Object

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

Constructor Details

BasisSplineTermStructure

public BasisSplineTermStructure(int epochDate,
CustomLabel customLabel,
java.lang.String currency,
Span span)
                         throws java.lang.Exception

BasisSplineTermStructure Constructor

Parameters:

epochDate - The Epoch Date

customLabel - Term Structure Latent State Label

currency - The Currency

span - The Latent State Span

Throws:

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

Method Details

node

public double node(int predictorOrdinate)
            throws java.lang.Exception

Description copied from class: NodeStructure

Get the Market Node at the given Predictor Ordinate

Specified by:

node in class NodeStructure

Parameters:

predictorOrdinate - The Predictor Ordinate

Returns:

The Node evaluated from the Term Structure

Throws:

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

nodeDerivative

public double nodeDerivative(int predictorOrdinate,
int order)
                      throws java.lang.Exception

Description copied from class: NodeStructure

Get the Market Node Derivative at the given Predictor Ordinate

Specified by:

nodeDerivative in class NodeStructure

Parameters:

predictorOrdinate - The Predictor Ordinate

order - Order of the Derivative

Returns:

The Node Derivative evaluated from the Term Structure

Throws:

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