Package org.drip.state.curve

Class DerivedZeroRate

java.lang.Object

org.drip.state.discount.DiscountCurve

org.drip.state.discount.ZeroCurve

org.drip.state.curve.DerivedZeroRate

All Implemented Interfaces:

Curve, DiscountFactorEstimator, LatentState

public class DerivedZeroRate
extends ZeroCurve

DerivedZeroRate implements the delegated ZeroCurve functionality. Beyond discount factor/zero rate computation at specific cash pay nodes, all other functions are delegated to the embedded discount curve. It exports the following Functionality:

• Construct an Instance from the Discount Curve and the related Parameters
• Construct an Instance from the Govvie Curve and the related Parameters
• Construct an Instance from the Input Curve and the related 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

Method Summary

Modifier and Type	Method	Description
CalibratableComponent[]	calibComp()	Retrieve the Calibration Components
Curve	customTweakManifestMeasure(java.lang.String manifestMeasure, ManifestMeasureTweak manifestMeasureTweak)	Create a LatentState Instance from the Manifest Measure Tweak Parameters
LatentState	customTweakQuantificationMetric(ManifestMeasureTweak manifestMeasureTweak)	Create a LatentState Instance from the Quantification Metric Tweak Parameters
double	df(int date)	Calculate the Discount Factor to the given Date
double	df(java.lang.String tenor)	Calculate the Discount Factor to the given Tenor
double	df(JulianDate date)	Calculate the discount factor to the given date
double	effectiveDF(int date1, int date2)	Compute the time-weighted discount factor between 2 dates
double	effectiveDF(java.lang.String tenor1, java.lang.String tenor2)	Compute the time-weighted discount factor between 2 tenors
double	effectiveDF(JulianDate date1, JulianDate date2)	Compute the time-weighted discount factor between 2 dates
static DerivedZeroRate	FromBaseCurve(int frequency, java.lang.String dayCount, java.lang.String calendar, boolean applyEOMAdjustment, java.util.List<CompositePeriod> couponPeriodList, int workoutDate, int valuationDate, int cashPayDate, DiscountCurve discountCurve, double bump, ValuationCustomizationParams valuationCustomizationParams, SegmentCustomBuilderControl segmentCustomBuilderControl)	Construct an Instance from the Input Curve and the related Parameters
static DerivedZeroRate	FromDiscountCurve(int zeroCurveFrequency, java.lang.String zeroCurveDayCount, java.lang.String zeroCurveCalendar, boolean zeroCurveApplyEOMAdjustment, java.util.List<CompositePeriod> couponPeriodList, int workoutDate, int valuationDate, int cashPayDate, DiscountCurve discountCurve, double zeroCurveBump, ValuationCustomizationParams valuationCustomizationParams, SegmentCustomBuilderControl segmentCustomBuilderControl)	Construct an Instance from the Discount Curve and the related Parameters
static DerivedZeroRate	FromGovvieCurve(int zeroCurveFrequency, java.lang.String zeroCurveDayCountConvention, java.lang.String zeroCurveCalendar, boolean zeroCurveApplyEOMAdjustment, java.util.List<CompositePeriod> couponPeriodList, int workoutDate, int valuationDate, int cashPayDate, GovvieCurve govvieCurve, double zeroCurveBump, ValuationCustomizationParams valuationCustomizationParams, SegmentCustomBuilderControl segmentCustomBuilderControl)	Construct an Instance from the Govvie Curve and the related Parameters
LatentStateLabel	label()	Get the Curve Latent State Identifier Label
CaseInsensitiveTreeMap<java.lang.Double>	manifestMeasure(java.lang.String instrument)	Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve
Curve	parallelShiftManifestMeasure(java.lang.String manifestMeasure, double shift)	Create a LatentState Instance from the Manifest Measure Parallel Shift
LatentState	parallelShiftQuantificationMetric(double shift)	Create a LatentState Instance from the Quantification Metric Parallel Shift
boolean	setCCIS(CurveConstructionInputSet curveConstructionInputSet)	Set the Curve Construction Input Set Parameters
Curve	shiftManifestMeasure(int spanIndex, java.lang.String manifestMeasure, double shift)	Create a LatentState Instance from the Shift of the Specified Manifest Measure
double	zeroRate(int date)	Retrieve the zero rate corresponding to the given date

Methods inherited from class org.drip.state.discount.ZeroCurve

currency, epoch

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

Method Details

FromDiscountCurve

public static final DerivedZeroRate FromDiscountCurve(int zeroCurveFrequency,
java.lang.String zeroCurveDayCount,
java.lang.String zeroCurveCalendar,
boolean zeroCurveApplyEOMAdjustment,
java.util.List<CompositePeriod> couponPeriodList,
int workoutDate,
int valuationDate,
int cashPayDate,
DiscountCurve discountCurve,
double zeroCurveBump,
ValuationCustomizationParams valuationCustomizationParams,
SegmentCustomBuilderControl segmentCustomBuilderControl)

Construct an Instance from the Discount Curve and the related Parameters

Parameters:

zeroCurveFrequency - Zero Curve Frequency

zeroCurveDayCount - Zero Curve Day Count

zeroCurveCalendar - Zero Curve Calendar

zeroCurveApplyEOMAdjustment - Zero Coupon EOM Adjustment Flag

couponPeriodList - List of Bond coupon periods

workoutDate - Work-out Date

valuationDate - Value Date

cashPayDate - Cash-Pay Date

discountCurve - Underlying Discount Curve

zeroCurveBump - DC Bump

valuationCustomizationParams - Valuation Customization Parameters

segmentCustomBuilderControl - Segment Custom Builder Control Parameters

Returns:

The Derived Zero Rate Instance

FromGovvieCurve

public static final DerivedZeroRate FromGovvieCurve(int zeroCurveFrequency,
java.lang.String zeroCurveDayCountConvention,
java.lang.String zeroCurveCalendar,
boolean zeroCurveApplyEOMAdjustment,
java.util.List<CompositePeriod> couponPeriodList,
int workoutDate,
int valuationDate,
int cashPayDate,
GovvieCurve govvieCurve,
double zeroCurveBump,
ValuationCustomizationParams valuationCustomizationParams,
SegmentCustomBuilderControl segmentCustomBuilderControl)

Construct an Instance from the Govvie Curve and the related Parameters

Parameters:

zeroCurveFrequency - Zero Curve Frequency

zeroCurveDayCountConvention - Zero Curve Day Count

zeroCurveCalendar - Zero Curve Calendar

zeroCurveApplyEOMAdjustment - Zero Coupon EOM Adjustment Flag

couponPeriodList - List of bond coupon periods

workoutDate - Work-out Date

valuationDate - Value Date

cashPayDate - Cash-Pay Date

govvieCurve - Underlying Govvie Curve

zeroCurveBump - DC Bump

valuationCustomizationParams - Valuation Customization Parameters

segmentCustomBuilderControl - Segment Custom Builder Control Parameters

Returns:

The Derived Zero Rate Instance

FromBaseCurve

public static final DerivedZeroRate FromBaseCurve(int frequency,
java.lang.String dayCount,
java.lang.String calendar,
boolean applyEOMAdjustment,
java.util.List<CompositePeriod> couponPeriodList,
int workoutDate,
int valuationDate,
int cashPayDate,
DiscountCurve discountCurve,
double bump,
ValuationCustomizationParams valuationCustomizationParams,
SegmentCustomBuilderControl segmentCustomBuilderControl)

Construct an Instance from the Input Curve and the related Parameters

Parameters:

frequency - Zero Curve Frequency

dayCount - Zero Curve Day Count

calendar - Zero Curve Calendar

applyEOMAdjustment - Zero Coupon EOM Adjustment Flag

couponPeriodList - List of bond coupon periods

workoutDate - Work-out Date

valuationDate - Value Date

cashPayDate - Cash-Pay Date

discountCurve - Underlying Discount Curve

bump - DC Bump

valuationCustomizationParams - Valuation Customization Parameters

segmentCustomBuilderControl - Segment Custom Builder Control Parameters

Returns:

The Derived Zero Rate Instance

df

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

Description copied from interface: DiscountFactorEstimator

Calculate the Discount Factor to the given Date

Parameters:

date - Date

Returns:

Discount Factor

Throws:

java.lang.Exception - Thrown if the Discount Factor cannot be calculated

df

public double df(java.lang.String tenor)
          throws java.lang.Exception

Description copied from interface: DiscountFactorEstimator

Calculate the Discount Factor to the given Tenor

Parameters:

tenor - Tenor

Returns:

Discount factor

Throws:

java.lang.Exception - Thrown if the Discount Factor cannot be calculated

zeroRate

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

Description copied from class: ZeroCurve

Retrieve the zero rate corresponding to the given date

Specified by:

zeroRate in class ZeroCurve

Parameters:

date - Date for which the zero rate is requested

Returns:

Zero Rate

Throws:

java.lang.Exception - Thrown if the date is not represented in the map

manifestMeasure

public CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure(java.lang.String instrument)

Description copied from interface: Curve

Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve

Parameters:

instrument - The Calibration Instrument's Code whose Manifest Measure Map is sought

Returns:

The Manifest Measure Map of the given Instrument used to construct the Curve

calibComp

public CalibratableComponent[] calibComp()

Description copied from interface: Curve

Retrieve the Calibration Components

Returns:

Array of Calibration Components

label

public LatentStateLabel label()

Description copied from interface: Curve

Get the Curve Latent State Identifier Label

Returns:

The Curve Latent State Identifier Label

parallelShiftManifestMeasure

public Curve parallelShiftManifestMeasure(java.lang.String manifestMeasure,
double shift)

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Parallel Shift

Parameters:

manifestMeasure - The Specified Manifest Measure

shift - Parallel shift of the Manifest Measure

Returns:

New LatentState Instance corresponding to the Parallel Shifted Manifest Measure

shiftManifestMeasure

public Curve shiftManifestMeasure(int spanIndex,
java.lang.String manifestMeasure,
double shift)

Description copied from interface: LatentState

Create a LatentState Instance from the Shift of the Specified Manifest Measure

Parameters:

spanIndex - Index into the Span that identifies the Instrument

manifestMeasure - The Specified Manifest Measure

shift - Shift of the Manifest Measure

Returns:

New LatentState Instance corresponding to the Shift of the Specified Manifest Measure

customTweakManifestMeasure

public Curve customTweakManifestMeasure(java.lang.String manifestMeasure,
ManifestMeasureTweak manifestMeasureTweak)

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Tweak Parameters

Parameters:

manifestMeasure - The Specified Manifest Measure

manifestMeasureTweak - Manifest Measure Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Manifest Measure

setCCIS

public boolean setCCIS(CurveConstructionInputSet curveConstructionInputSet)

Description copied from interface: Curve

Set the Curve Construction Input Set Parameters

Parameters:

curveConstructionInputSet - The Curve Construction Input Set Parameters

Returns:

TRUE - Inputs successfully Set

parallelShiftQuantificationMetric

public LatentState parallelShiftQuantificationMetric(double shift)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Parallel Shift

Parameters:

shift - Parallel shift of the Quantification Metric

Returns:

New LatentState Instance corresponding to the Parallel Shifted Quantification Metric

customTweakQuantificationMetric

public LatentState customTweakQuantificationMetric(ManifestMeasureTweak manifestMeasureTweak)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Tweak Parameters

Parameters:

manifestMeasureTweak - Quantification Metric Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Quantification Metric

df

public double df(JulianDate date)
          throws java.lang.Exception

Description copied from interface: DiscountFactorEstimator

Calculate the discount factor to the given date

Parameters:

date - Date

Returns:

Discount factor

Throws:

java.lang.Exception - Thrown if the discount factor cannot be calculated

effectiveDF

public double effectiveDF(int date1,
int date2)
                   throws java.lang.Exception

Description copied from interface: DiscountFactorEstimator

Compute the time-weighted discount factor between 2 dates

Parameters:

date1 - First Date

date2 - Second Date

Returns:

Discount Factor

Throws:

java.lang.Exception - Thrown if the discount factor cannot be calculated

effectiveDF

public double effectiveDF(JulianDate date1,
JulianDate date2)
                   throws java.lang.Exception

Description copied from interface: DiscountFactorEstimator

Compute the time-weighted discount factor between 2 dates

Parameters:

date1 - First Date

date2 - Second Date

Returns:

Discount Factor

Throws:

java.lang.Exception - Thrown if the discount factor cannot be calculated

effectiveDF

public double effectiveDF(java.lang.String tenor1,
java.lang.String tenor2)
                   throws java.lang.Exception

Description copied from interface: DiscountFactorEstimator

Compute the time-weighted discount factor between 2 tenors

Parameters:

tenor1 - First Date

tenor2 - Second Date

Returns:

Discount Factor

Throws:

java.lang.Exception - Thrown if the discount factor cannot be calculated