Package org.drip.state.curve

Basis Spline Based Latent States

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
BasisSplineBasisCurve	BasisSplineBasisCurve manages the Basis Latent State, using the Basis as the State Response Representation.
BasisSplineDeterministicVolatility	BasisSplineDeterministicVolatility extends the BasisSplineTermStructure for the specific case of the Implementation of the Deterministic Volatility Term Structure.
BasisSplineForwardRate	BasisSplineForwardRate manages the Forward Latent State, using the Forward Rate as the State Response Representation.
BasisSplineFXForward	BasisSplineFXForward manages the Basis Latent State, using the Basis as the State Response Representation.
BasisSplineGovvieYield	BasisSplineGovvieYield manages the Basis Spline Latent State, using the Basis as the State Response Representation, for the Govvie Curve with Yield Quantification Metric.
BasisSplineMarketSurface	BasisSplineMarketSurface implements the Market surface that holds the latent state Dynamics parameters.
BasisSplineRepoCurve	BasisSplineRepoCurve manages the Basis Latent State, using the Repo as the State Response Representation.
BasisSplineTermStructure	BasisSplineTermStructure implements the TermStructure Interface - if holds the latent states Term Structure Parameters.
DerivedZeroRate	DerivedZeroRate implements the delegated ZeroCurve functionality.
DeterministicCollateralChoiceDiscountCurve	DeterministicCollateralChoiceDiscountCurve implements the Dynamically Switchable Collateral Choice Discount Curve among the choice of provided "deterministic" collateral curves.
DiscountFactorDiscountCurve	DiscountFactorDiscountCurve manages the Discounting Latent State, using the Discount Factor as the State Response Representation.
ForeignCollateralizedDiscountCurve	ForeignCollateralizedDiscountCurve computes the discount factor corresponding to one unit of domestic currency collateralized by a foreign collateral.
ZeroRateDiscountCurve	ZeroRateDiscountCurve manages the Discounting Latent State, using the Zero Rate as the State Response Representation.