Package org.drip.state.discount

Class DiscountCurve

java.lang.Object

org.drip.state.discount.DiscountCurve

All Implemented Interfaces:

Curve, DiscountFactorEstimator, LatentState

Direct Known Subclasses:

GovvieCurve, MergedDiscountForwardCurve, ZeroCurve

public abstract class DiscountCurve
extends java.lang.Object
implements Curve, DiscountFactorEstimator

DiscountCurve Interface combines the Interfaces of Latent State Curve Representation and Discount Factor Estimator. It exposes the following functionality:

• Construct a Flat Forward Instance of the Curve at the specified Date Nodes
• Construct Flat Native Forward Instance of the Curve at the specified Date Nodes
• Construct Flat Native Forward Instance of the Curve at the specified Date Node Tenors
• Construct Flat Native Forward Instance of the Curve at the specified Date Nodes with (Exclusive/Inclusive) Bumps applied within the Tenors

Module	Product Core Module
Library	Fixed Income Analytics
Project	Latent State Inference and Creation Utilities
Package	Discount Curve Spline Latent State

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
DiscountCurve()

Method Summary

Modifier and Type	Method	Description
FlatForwardDiscountCurve	flatForward(java.lang.String dayCount, int frequency, int[] dateArray)	Construct a Flat Forward Instance of the Curve at the specified Date Nodes
FlatForwardDiscountCurve	flatNativeForward(int[] dateArray, double bump)	Construct Flat Native Forward Instance of the Curve at the specified Date Nodes
FlatForwardDiscountCurve	flatNativeForward(java.lang.String[] tenorArray, double bump)	Construct Flat Native Forward Instance of the Curve at the specified Date Node Tenors
FlatForwardDiscountCurve	flatNativeForwardEI(int[] dateArray, int bumpNodeIndex, double bump)	Construct Flat Native Forward Instance of the Curve at the specified Date Nodes with (Exclusive/Inclusive) Bumps applied within the Tenors

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

calibComp, currency, epoch, label, manifestMeasure, setCCIS

Methods inherited from interface org.drip.state.discount.DiscountFactorEstimator

df, df, df, effectiveDF, effectiveDF, effectiveDF, epoch

Methods inherited from interface org.drip.state.representation.LatentState

customTweakManifestMeasure, customTweakQuantificationMetric, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, shiftManifestMeasure

Constructor Details

DiscountCurve

public DiscountCurve()

Method Details

flatForward

public FlatForwardDiscountCurve flatForward(java.lang.String dayCount,
int frequency,
int[] dateArray)

Construct a Flat Forward Instance of the Curve at the specified Date Nodes

Parameters:

dayCount - Forward Curve Day Count

frequency - Forward Curve Frequency

dateArray - Array of Date Nodes

Returns:

The Flat Forward Instance

flatNativeForward

public FlatForwardDiscountCurve flatNativeForward(int[] dateArray,
double bump)

Construct Flat Native Forward Instance of the Curve at the specified Date Nodes

Parameters:

dateArray - Array of Date Nodes

bump - The Bump Amount

Returns:

The Flat Forward Instance

flatNativeForward

public FlatForwardDiscountCurve flatNativeForward(java.lang.String[] tenorArray,
double bump)

Construct Flat Native Forward Instance of the Curve at the specified Date Node Tenors

Parameters:

tenorArray - Array of Date Tenors

bump - The Bump Amount

Returns:

The Flat Forward Instance

flatNativeForwardEI

public FlatForwardDiscountCurve flatNativeForwardEI(int[] dateArray,
int bumpNodeIndex,
double bump)

Construct Flat Native Forward Instance of the Curve at the specified Date Nodes with (Exclusive/Inclusive) Bumps applied within the Tenors

Parameters:

dateArray - Array of Date Nodes

bumpNodeIndex - The Node to be Bumped

bump - The Bump Amount

Returns:

The Flat Forward Instance