Package org.drip.state.discount

Class TurnListDiscountFactor

java.lang.Object
org.drip.state.discount.TurnListDiscountFactor
public class TurnListDiscountFactor
extends java.lang.Object
TurnListDiscountFactor implements the discounting based off of the turns list. Its functions add a turn instance to the current set, and concurrently apply the discount factor inside the range to each relevant turn. It exposes the following functionality:
  • TurnListDiscountFactor constructor
  • Add a Turn Instance to the Discount Curve
  • Apply the Turns' DF Adjustment

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
    TurnListDiscountFactor()
    Empty TurnListDiscountFactor constructor

  • Method Summary

    Modifier and Type Method Description
    boolean addTurn​(Turn turn)
    Add a Turn Instance to the Discount Curve
    double turnAdjust​(int startDate, int finishDate)
    Apply the Turns' DF Adjustment

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • TurnListDiscountFactor

      public TurnListDiscountFactor()
      Empty TurnListDiscountFactor constructor

  • Method Details

    • addTurn

      public boolean addTurn​(Turn turn)
      Add a Turn Instance to the Discount Curve
      Parameters:
      turn - The Turn Instance to be added
      Returns:
      TRUE - Successfully added

    • turnAdjust

      public double turnAdjust​(int startDate, int finishDate) throws java.lang.Exception
      Apply the Turns' DF Adjustment
      Parameters:
      startDate - Turn Start Date
      finishDate - Turn Finish Date
      Returns:
      Turns' DF Adjustment
      Throws:
      java.lang.Exception - Thrown if the Inputs are invalid