Package org.drip.state.discount

Class ZeroCurve

java.lang.Object

org.drip.state.discount.DiscountCurve

org.drip.state.discount.ZeroCurve

All Implemented Interfaces:

Curve, DiscountFactorEstimator, LatentState

Direct Known Subclasses:

DerivedZeroRate

public abstract class ZeroCurve
extends DiscountCurve

ZeroCurve exposes the node set containing the zero curve node points. In addition to the discount curve functionality that it automatically provides by extension, it provides the functionality to calculate the zero rate.

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
java.lang.String	currency()	Get the Currency
JulianDate	epoch()	Get the Epoch Date
abstract double	zeroRate(int date)	Retrieve the zero rate corresponding to the given date

Methods inherited from class org.drip.state.discount.DiscountCurve

flatForward, flatNativeForward, flatNativeForward, flatNativeForwardEI

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, label, manifestMeasure, setCCIS

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

df, df, df, effectiveDF, effectiveDF, effectiveDF

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

customTweakManifestMeasure, customTweakQuantificationMetric, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, shiftManifestMeasure

Method Details

epoch

public JulianDate epoch()

Description copied from interface: Curve

Get the Epoch Date

Returns:

The Epoch Date

currency

public java.lang.String currency()

Description copied from interface: Curve

Get the Currency

Returns:

Currency

zeroRate

public abstract double zeroRate(int date)
                         throws java.lang.Exception

Retrieve the zero rate corresponding to the given date

Parameters:

date - Date for which the zero rate is requested

Returns:

Zero Rate

Throws:

java.lang.Exception - Thrown if the date is not represented in the map