Package org.drip.state.curve

Class ForeignCollateralizedDiscountCurve

java.lang.Object

org.drip.state.discount.DiscountCurve

org.drip.state.discount.MergedDiscountForwardCurve

org.drip.state.discount.ExplicitBootDiscountCurve

org.drip.state.curve.ForeignCollateralizedDiscountCurve

All Implemented Interfaces:

Curve, ExplicitBootCurve, DiscountFactorEstimator, LatentState

public class ForeignCollateralizedDiscountCurve
extends ExplicitBootDiscountCurve

ForeignCollateralizedDiscountCurve computes the discount factor corresponding to one unit of domestic currency collateralized by a foreign collateral.

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
ForeignCollateralizedDiscountCurve(java.lang.String currency, MergedDiscountForwardCurve foreignCollateralizedDiscountCurve, FXCurve fxCurve, VolatilityCurve foreignCollateralizedVolatilityCurve, VolatilityCurve fxVolatilityCurve, R1ToR1 collateralForeignFXCorrelationFunction)	ForeignCollateralizedDiscountCurve constructor

Method Summary

Modifier and Type	Method	Description
boolean	bumpNodeValue(int nodeIndex, double value)	Bump the node value at the node specified the index by the value
java.util.Map<java.lang.Integer,java.lang.Double>	canonicalTruthness(java.lang.String latentQuantificationMetric)	Convert the inferred Formulation Constraint into a "Truthness" Entity
FlatForwardDiscountCurve	createBasisRateShiftedCurve(int[] dateArray, double[] basisArray)	Create a shifted curve from an array of basis shifts
ExplicitBootDiscountCurve	customTweakManifestMeasure(java.lang.String manifestMeasure, ManifestMeasureTweak manifestMeasureTweak)	Create a LatentState Instance from the Manifest Measure Tweak Parameters
Curve	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	forward(int date1, int date2)	Compute the Forward Rate between two Dates
ForwardRateEstimator	forwardRateEstimator(int date, ForwardLabel forwardLabel)	Retrieve the Forward Curve that might be implied by the Latent State of this Discount Curve Instance corresponding to the specified Floating Rate Index
WengertJacobian	jackDDFDManifestMeasure(int date, java.lang.String manifestMeasure)	Retrieve the Manifest Measure Jacobian of the Discount Factor to the given date
java.lang.String	latentStateQuantificationMetric()	Retrieve the Latent State Quantification Metric
FlatForwardDiscountCurve	parallelShiftManifestMeasure(java.lang.String manifestMeasure, double shift)	Create a LatentState Instance from the Manifest Measure Parallel Shift
FlatForwardDiscountCurve	parallelShiftQuantificationMetric(double shift)	Create a LatentState Instance from the Quantification Metric Parallel Shift
boolean	setFlatValue(double value)	Set the flat value across all the nodes
boolean	setNodeValue(int nodeIndex, double value)	Set the Value/Slope at the Node specified by the Index
FlatForwardDiscountCurve	shiftManifestMeasure(int spanIndex, java.lang.String manifestMeasure, double shift)	Create a LatentState Instance from the Shift of the Specified Manifest Measure
double	zero(int date)	Calculate the implied rate to the given date

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

calibComp, manifestMeasure, setCCIS

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

compJackDPVDManifestMeasure, compJackDPVDManifestMeasure, currency, df, df, effectiveDF, effectiveDF, effectiveDF, epoch, estimateManifestMeasure, forward, jackDDFDManifestMeasure, jackDDFDManifestMeasure, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, label, libor, libor, libor, libor, nativeForwardCurve, parSwapDV01, proxyManifestMeasure, setTurns, turnAdjust, zero, zeroRateJack, zeroRateJack

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

Methods inherited from interface org.drip.analytics.definition.Curve

currency, epoch, label

Constructor Details

ForeignCollateralizedDiscountCurve

public ForeignCollateralizedDiscountCurve(java.lang.String currency,
MergedDiscountForwardCurve foreignCollateralizedDiscountCurve,
FXCurve fxCurve,
VolatilityCurve foreignCollateralizedVolatilityCurve,
VolatilityCurve fxVolatilityCurve,
R1ToR1 collateralForeignFXCorrelationFunction)
                                   throws java.lang.Exception

ForeignCollateralizedDiscountCurve constructor

Parameters:

currency - The Currency

foreignCollateralizedDiscountCurve - The Collateralized Foreign Discount Curve

fxCurve - The FX Forward Curve

foreignCollateralizedVolatilityCurve - The Foreign Collateral Volatility Curve

fxVolatilityCurve - The FX Volatility Curve

collateralForeignFXCorrelationFunction - The FX Foreign Collateral Correlation Curve

Throws:

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

Method Details

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

forward

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

Description copied from class: MergedDiscountForwardCurve

Compute the Forward Rate between two Dates

Specified by:

forward in class MergedDiscountForwardCurve

Parameters:

date1 - First Date

date2 - Second Date

Returns:

The Forward Rate

Throws:

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

zero

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

Description copied from class: MergedDiscountForwardCurve

Calculate the implied rate to the given date

Specified by:

zero in class MergedDiscountForwardCurve

Parameters:

date - Date

Returns:

Implied rate

Throws:

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

forwardRateEstimator

public ForwardRateEstimator forwardRateEstimator(int date,
ForwardLabel forwardLabel)

Description copied from class: MergedDiscountForwardCurve

Retrieve the Forward Curve that might be implied by the Latent State of this Discount Curve Instance corresponding to the specified Floating Rate Index

Specified by:

forwardRateEstimator in class MergedDiscountForwardCurve

Parameters:

date - The Date

forwardLabel - The Floating Rate Index

Returns:

The Forward Curve Implied by the Discount Curve Latent State

canonicalTruthness

public java.util.Map<java.lang.Integer,java.lang.Double> canonicalTruthness(java.lang.String latentQuantificationMetric)

Description copied from class: MergedDiscountForwardCurve

Convert the inferred Formulation Constraint into a "Truthness" Entity

Overrides:

canonicalTruthness in class MergedDiscountForwardCurve

Parameters:

latentQuantificationMetric - Latent State Quantification Metric

Returns:

Map of the Truthness Entities

parallelShiftManifestMeasure

public FlatForwardDiscountCurve 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 FlatForwardDiscountCurve 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 ExplicitBootDiscountCurve 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

parallelShiftQuantificationMetric

public FlatForwardDiscountCurve 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 Curve 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

createBasisRateShiftedCurve

public FlatForwardDiscountCurve createBasisRateShiftedCurve(int[] dateArray,
double[] basisArray)

Description copied from class: ExplicitBootDiscountCurve

Create a shifted curve from an array of basis shifts

Specified by:

createBasisRateShiftedCurve in class ExplicitBootDiscountCurve

Parameters:

dateArray - Array of dates

basisArray - Array of basis

Returns:

Discount Curve

latentStateQuantificationMetric

public java.lang.String latentStateQuantificationMetric()

Description copied from class: MergedDiscountForwardCurve

Retrieve the Latent State Quantification Metric

Specified by:

latentStateQuantificationMetric in class MergedDiscountForwardCurve

Returns:

The Latent State Quantification Metric

jackDDFDManifestMeasure

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

Description copied from class: MergedDiscountForwardCurve

Retrieve the Manifest Measure Jacobian of the Discount Factor to the given date

Specified by:

jackDDFDManifestMeasure in class MergedDiscountForwardCurve

Parameters:

date - Date

manifestMeasure - Manifest Measure

Returns:

The Manifest Measure Jacobian of the Discount Factor to the given date

setNodeValue

public boolean setNodeValue(int nodeIndex,
double value)

Description copied from interface: ExplicitBootCurve

Set the Value/Slope at the Node specified by the Index

Parameters:

nodeIndex - Node Index

value - Node Value

Returns:

Success (true), failure (false)

bumpNodeValue

public boolean bumpNodeValue(int nodeIndex,
double value)

Description copied from interface: ExplicitBootCurve

Bump the node value at the node specified the index by the value

Parameters:

nodeIndex - node index

value - node bump value

Returns:

Success (true), failure (false)

setFlatValue

public boolean setFlatValue(double value)

Description copied from interface: ExplicitBootCurve

Set the flat value across all the nodes

Parameters:

value - node value

Returns:

Success (true), failure (false)