Package org.drip.state.discount

Interface DiscountFactorEstimator

All Known Subinterfaces:
CashFlowEstimator
All Known Implementing Classes:
BasisSplineGovvieYield, DerivedZeroRate, DeterministicCollateralChoiceDiscountCurve, DiscountCurve, DiscountFactorDiscountCurve, ExplicitBootDiscountCurve, ExplicitBootGovvieCurve, FlatForwardDiscountCurve, FlatForwardGovvieCurve, FlatYieldGovvieCurve, ForeignCollateralizedDiscountCurve, GovvieCurve, MergedDiscountForwardCurve, MultilateralBasisCurve, MultilateralFlatForwardCurve, ZeroCurve, ZeroRateDiscountCurve
public interface DiscountFactorEstimator
DiscountFactorEstimator is the interface that exposes the calculation of the Discount Factor for a specific Sovereign/Jurisdiction Span. It exposes the following functionality:
  • Retrieve the Starting (Epoch) Date
  • Calculate the Discount Factor to the given Date
  • Calculate the Discount Factor to the given Tenor
  • Compute the time-weighted discount factor between 2 dates
  • Compute the time-weighted discount factor between 2 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

  • Method Summary

    Modifier and Type Method Description
    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
    JulianDate epoch()
    Retrieve the Starting (Epoch) Date

  • Method Details

    • epoch

      JulianDate epoch()
      Retrieve the Starting (Epoch) Date
      Returns:
      The Starting Date

    • df

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

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

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

    • effectiveDF

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

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

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