Package org.drip.state.discount

Class ExplicitBootDiscountCurve

java.lang.Object
org.drip.state.discount.DiscountCurve
org.drip.state.discount.MergedDiscountForwardCurve
org.drip.state.discount.ExplicitBootDiscountCurve
All Implemented Interfaces:
Curve, ExplicitBootCurve, DiscountFactorEstimator, LatentState
Direct Known Subclasses:
FlatForwardDiscountCurve, ForeignCollateralizedDiscountCurve
public abstract class ExplicitBootDiscountCurve
extends MergedDiscountForwardCurve
implements ExplicitBootCurve
ExplicitBootDiscountCurve exposes the functionality associated with the bootstrapped Discount Curve. It implements the following Functionality:
  • Generate a curve shifted using targeted basis at specific nodes
  • Generate scenario tweaked Latent State from the base forward curve corresponding to mode adjusted (flat/parallel/custom) manifest measure/quantification metric
  • Retrieve array of latent state manifest measure, instrument quantification metric, and the array of calibration components
  • Set/retrieve curve construction input instrument sets

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 Details

    • createBasisRateShiftedCurve

      public abstract ExplicitBootDiscountCurve createBasisRateShiftedCurve​(int[] dateArray, double[] basisArray)
      Create a shifted curve from an array of basis shifts
      Parameters:
      dateArray - Array of dates
      basisArray - Array of basis
      Returns:
      Discount Curve

    • setCCIS

      public boolean setCCIS​(CurveConstructionInputSet curveConstructionInputSet)
      Description copied from interface: Curve
      Set the Curve Construction Input Set Parameters
      Specified by:
      setCCIS in interface Curve
      Overrides:
      setCCIS in class MergedDiscountForwardCurve
      Parameters:
      curveConstructionInputSet - The Curve Construction Input Set Parameters
      Returns:
      TRUE - Inputs successfully Set

    • calibComp

      public CalibratableComponent[] calibComp()
      Description copied from interface: Curve
      Retrieve the Calibration Components
      Specified by:
      calibComp in interface Curve
      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
      Specified by:
      manifestMeasure in interface 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