Package org.drip.state.curve

Class ZeroRateDiscountCurve

java.lang.Object

org.drip.state.discount.DiscountCurve

org.drip.state.discount.MergedDiscountForwardCurve

org.drip.state.curve.ZeroRateDiscountCurve

All Implemented Interfaces:

Curve, DiscountFactorEstimator, LatentState

public class ZeroRateDiscountCurve
extends MergedDiscountForwardCurve

ZeroRateDiscountCurve manages the Discounting Latent State, using the Zero Rate as the State Response Representation. It exports the following functionality:

• ZeroRateDiscountCurve Constructor
• Compute the discount factor, forward rate, or the zero rate from the Zero Rate Latent State
• Create a ForwardRateEstimator instance for the given Index
• Retrieve Array of the Calibration Components
• Retrieve the Curve Construction Input Set
• Compute the Jacobian of the Discount Factor Latent State to the input Quote
• Synthesize scenario Latent State by parallel shifting/custom tweaking the quantification metric
• Synthesize scenario Latent State by parallel/custom shifting/custom tweaking the manifest measure
• Serialize into and de-serialize out of byte array

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
ZeroRateDiscountCurve(java.lang.String currency, Span span)	ZeroRateDiscountCurve constructor

Method Summary

Modifier and Type	Method	Description
CalibratableComponent[]	calibComp()	Retrieve the Calibration Components
MergedDiscountForwardCurve	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
CaseInsensitiveTreeMap<java.lang.Double>	manifestMeasure(java.lang.String instrumentCode)	Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve
ZeroRateDiscountCurve	parallelShiftManifestMeasure(java.lang.String manifestMeasure, double shift)	Create a LatentState Instance from the Manifest Measure Parallel Shift
ZeroRateDiscountCurve	parallelShiftQuantificationMetric(double shift)	Create a LatentState Instance from the Quantification Metric Parallel Shift
ZeroRateDiscountCurve	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.MergedDiscountForwardCurve

canonicalTruthness, compJackDPVDManifestMeasure, compJackDPVDManifestMeasure, currency, df, df, effectiveDF, effectiveDF, effectiveDF, epoch, estimateManifestMeasure, forward, jackDDFDManifestMeasure, jackDDFDManifestMeasure, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, label, libor, libor, libor, libor, nativeForwardCurve, parSwapDV01, proxyManifestMeasure, setCCIS, 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

Constructor Details

ZeroRateDiscountCurve

public ZeroRateDiscountCurve(java.lang.String currency,
Span span)
                      throws java.lang.Exception

ZeroRateDiscountCurve constructor

Parameters:

currency - Currency

span - The Span Instance

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

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

parallelShiftManifestMeasure

public ZeroRateDiscountCurve 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 ZeroRateDiscountCurve 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 MergedDiscountForwardCurve 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 ZeroRateDiscountCurve 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

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

calibComp

public CalibratableComponent[] calibComp()

Description copied from interface: Curve

Retrieve the Calibration Components

Returns:

Array of Calibration Components

manifestMeasure

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

Description copied from interface: Curve

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

Parameters:

instrumentCode - 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