Uses of Class
org.drip.state.discount.MergedDiscountForwardCurve

Packages that use MergedDiscountForwardCurve

Package	Description
org.drip.analytics.cashflow	Unit/Composite Cash Flow Periods.
org.drip.dynamics.lmm	LMM Based Latent State Evolution
org.drip.param.creator	Market Curves Surfaces Quotes Builder
org.drip.param.market	Curves Surfaces Quotes Fixings Container
org.drip.pricer.option	Deterministic/Stochastic Volatility Settings/Greeks
org.drip.product.fx	FX Forwards, Cross Currency Swaps
org.drip.product.option	Options on Fixed Income Components
org.drip.sample.dual	G7 Standard Cross Currency Swap
org.drip.sample.forward	IBOR Spline Forward Curve Construction
org.drip.service.api	Horizon Roll Attribution Service API
org.drip.service.product	Product Horizon PnL Attribution Decomposition
org.drip.service.state	Curve Based State Metric Generator
org.drip.service.template	Curve Construction Product Builder Templates
org.drip.state.boot	Bootable Discount, Credit, Volatility States
org.drip.state.creator	Scenario State Curve/Surface Builders
org.drip.state.credit	Credit Latent State Curve Representation
org.drip.state.csa	Credit Support Annex Latent State
org.drip.state.curve	Basis Spline Based Latent States
org.drip.state.discount	Discount Curve Spline Latent State
org.drip.state.fx	FX Latent State Curve Estimator
org.drip.state.nonlinear	Nonlinear (i.e., Boot) Latent State Construction

Uses of MergedDiscountForwardCurve in org.drip.analytics.cashflow

Methods in org.drip.analytics.cashflow with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
static LossQuadratureMetrics	LossQuadratureMetrics.MakeDefaultPeriod(int iStartDate, int iEndDate, double dblAccrualDCF, double dblEffectiveNotional, double dblEffectiveRecovery, MergedDiscountForwardCurve dc, CreditCurve cc, int iDefaultLag)	Create an Instance of the LossPeriodCurveFactors using the Period's Dates and Curves to generate the Curve Measures
static LossQuadratureMetrics	LossQuadratureMetrics.MakeDefaultPeriod(int iStartDate, int iEndDate, double dblAccrualDCF, double dblEffectiveNotional, MergedDiscountForwardCurve dc, CreditCurve cc, int iDefaultLag)	Create a LossPeriodCurveFactors Instance from the Period Dates and the Curve Measures

Uses of MergedDiscountForwardCurve in org.drip.dynamics.lmm

Methods in org.drip.dynamics.lmm that return MergedDiscountForwardCurve

Modifier and Type	Method	Description
MergedDiscountForwardCurve	BGMCurveUpdate.discountCurve()	Retrieve the Discount Factor Curve
MergedDiscountForwardCurve	LognormalLIBORPointEvolver.discountCurve()	Retrieve the Discount Curve Instance

Methods in org.drip.dynamics.lmm with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
double[]	LognormalLIBORVolatility.continuousForwardVolatility(int iTargetDate, MergedDiscountForwardCurve dc)	Compute the Volatility of the Continuously Compounded Forward Rate Up to the Target Date
static BGMCurveUpdate	BGMCurveUpdate.Create(FundingLabel lslFunding, ForwardLabel lslForward, int iInitialDate, int iFinalDate, ForwardCurve fc, Span spanLIBORIncrement, MergedDiscountForwardCurve dc, Span spanDiscountFactorIncrement, Span spanContinuousForwardRateIncrement, Span spanSpotRateIncrement, Span spanInstantaneousEffectiveForward, Span spanInstantaneousNominalForward, LognormalLIBORVolatility llv)	Construct an Instance of BGMCurveUpdate

Constructors in org.drip.dynamics.lmm with parameters of type MergedDiscountForwardCurve

Constructor	Description
LognormalLIBORPointEvolver(FundingLabel lslFunding, ForwardLabel lslForward, LognormalLIBORVolatility llv, ForwardCurve fc, MergedDiscountForwardCurve dc)	LognormalLIBORPointEvolver Constructor

Uses of MergedDiscountForwardCurve in org.drip.param.creator

Methods in org.drip.param.creator with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
static CurveSurfaceQuoteContainer	MarketParamsBuilder.Create(MergedDiscountForwardCurve dcFunding, ForwardCurve fc, GovvieCurve gc, CreditCurve cc, java.lang.String strComponentCode, ProductQuote compQuote, CaseInsensitiveTreeMap<ProductQuote> mTSYQuotes, LatentStateFixingsContainer lsfc)	Create a Market Parameters instance with the funding discount curve, the forward discount curve, the govvie curve, the credit curve, the component quote, the map of treasury benchmark quotes, and the Latent State Fixings Instance.
static CurveSurfaceQuoteContainer	MarketParamsBuilder.Create(MergedDiscountForwardCurve dcFunding, GovvieCurve gc, CreditCurve cc, java.lang.String strComponentCode, ProductQuote compQuote, CaseInsensitiveTreeMap<ProductQuote> mTSYQuotes, LatentStateFixingsContainer lsfc)	Create a Market Parameters Instance with the Funding Curve, the Govvie Curve, the Credit Curve, the component quote, the map of treasury benchmark quotes, and the Latent State Fixings Container
static CurveSurfaceQuoteContainer	MarketParamsBuilder.Credit(MergedDiscountForwardCurve dcFunding, CreditCurve cc)	Create a Market Parameters Instance with the Funding Curve and the credit curve
static CurveSurfaceQuoteContainer	MarketParamsBuilder.Discount(MergedDiscountForwardCurve dcFunding)	Create a Market Parameters instance with the Funding Curve alone
static CurveSurfaceQuoteContainer	MarketParamsBuilder.DiscountForward(MergedDiscountForwardCurve dcFunding, ForwardCurve fc)	Create a Market Parameters instance with the Funding Curve and the forward Curve
static CurveSurfaceQuoteContainer	MarketParamsBuilder.Govvie(MergedDiscountForwardCurve dcFunding, GovvieCurve gc)	Create a Market Parameters instance with the rates discount curve and the treasury discount curve alone

Uses of MergedDiscountForwardCurve in org.drip.param.market

Methods in org.drip.param.market that return MergedDiscountForwardCurve

Modifier and Type	Method	Description
MergedDiscountForwardCurve	DiscountCurveScenarioContainer.base()	Return the base Discount Curve
MergedDiscountForwardCurve	DiscountCurveScenarioContainer.bumpDown()	Return the Bump Down Discount Curve
MergedDiscountForwardCurve	DiscountCurveScenarioContainer.bumpUp()	Return the Bump Up Discount Curve
MergedDiscountForwardCurve	CurveSurfaceQuoteContainer.collateralChoiceDiscountCurve(java.lang.String strPayCurrency)	Retrieve the Collateral Choice Discount Curve for the specified Pay Currency
MergedDiscountForwardCurve	CurveSurfaceQuoteContainer.fundingState(FundingLabel fundingLabel)	Retrieve the Funding Latent State Corresponding to the Label
MergedDiscountForwardCurve	CurveSurfaceQuoteContainer.overnightState(OvernightLabel overnightLabel)	Retrieve the Overnight Latent State Corresponding to the Label
MergedDiscountForwardCurve	CurveSurfaceQuoteContainer.payCurrencyCollateralCurrencyCurve(java.lang.String strPayCurrency, java.lang.String strCollateralCurrency)	Retrieve the Discount Curve associated with the Pay Cash-flow Collateralized using a different Collateral Currency Numeraire
MergedDiscountForwardCurve	CurveSurfaceQuoteContainer.ratingState(RatingLabel ratingLabel)	Retrieve the Rating State for the specified Rating Latent State Label

Methods in org.drip.param.market that return types with arguments of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	DiscountCurveScenarioContainer.custom()	Return the Custom Discount curve map
CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	DiscountCurveScenarioContainer.tenorBumpDown()	Return the map of the tenor Bump Down Discount Curve
CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	DiscountCurveScenarioContainer.tenorBumpUp()	Return the map of the tenor Bump Up Discount Curve

Methods in org.drip.param.market with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
boolean	CreditCurveScenarioContainer.cookCustomCC(java.lang.String strName, java.lang.String strCustomName, ValuationParams valParams, MergedDiscountForwardCurve dc, GovvieCurve gc, java.lang.String[] astrCalibMeasure, double[] adblQuote, double dblRecovery, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp, boolean bFlat, ManifestMeasureTweak rvtpDC, ManifestMeasureTweak rvtpTSY, ManifestMeasureTweak rvtpCC)	Cook the credit curve according to the desired tweak parameters
boolean	CreditCurveScenarioContainer.cookScenarioCC(java.lang.String strName, ValuationParams valParams, MergedDiscountForwardCurve dc, GovvieCurve gc, java.lang.String[] astrCalibMeasure, double[] adblQuote, double dblRecovery, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp, boolean bFlat, int iScenario)	Cook and save the credit curves corresponding to the scenario specified
boolean	CurveSurfaceQuoteContainer.setFundingState(MergedDiscountForwardCurve dc)	(Re)-set the Funding State
boolean	CurveSurfaceQuoteContainer.setOvernightState(MergedDiscountForwardCurve dcOvernight)	(Re)-set the Overnight State
boolean	CurveSurfaceQuoteContainer.setPayCurrencyCollateralCurrencyCurve(java.lang.String strPayCurrency, java.lang.String strCollateralCurrency, MergedDiscountForwardCurve dcPayCurrencyCollateralCurrency)	Set the Discount Curve associated with the Pay Cash-flow Collateralized using a different Collateral Currency Numeraire
boolean	CurveSurfaceQuoteContainer.setRatingCurve(RatingLabel ratingLabel, MergedDiscountForwardCurve dcRating)	(Re)-set the Rating State for the specified Rating Latent State Label

Uses of MergedDiscountForwardCurve in org.drip.pricer.option

Methods in org.drip.pricer.option with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
Greeks	FokkerPlanckGenerator.greeks(int iSpotDate, int iExpiryDate, double dblStrike, MergedDiscountForwardCurve dcFunding, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblIntegratedSurfaceVariance)	Carry out a Sensitivity Run and generate the Pricing related measure set
Greeks	FokkerPlanckGenerator.greeks(int iSpotDate, int iExpiryDate, double dblStrike, MergedDiscountForwardCurve dcFunding, double dblUnderlier, boolean bIsPut, boolean bIsForward, R1ToR1 funcVolatilityR1ToR1)	Carry out a Sensitivity Run and generate the Pricing related measure set
double	FokkerPlanckGenerator.impliedVolatilityFromPrice(int iSpotDate, int iExpiryDate, double dblStrike, MergedDiscountForwardCurve dcFunding, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblPrice)	Imply the Effective Volatility From the Option Price
double	FokkerPlanckGenerator.payoff(int iSpotDate, int iExpiryDate, double dblStrike, MergedDiscountForwardCurve dcFunding, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblInitialVolatility, boolean bAsPrice)	Compute the Expected Payoff of the Option from the Inputs
double	FokkerPlanckGenerator.payoff(int iSpotDate, int iExpiryDate, double dblStrike, MergedDiscountForwardCurve dcFunding, double dblUnderlier, boolean bIsPut, boolean bIsForward, R1ToR1 funcVolatilityR1ToR1, boolean bAsPrice)	Compute the Expected Payoff of the Option from the Inputs

Uses of MergedDiscountForwardCurve in org.drip.product.fx

Methods in org.drip.product.fx with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
double	FXForwardComponent.FXBasisCalibrator.calibrateDCBasisFromFwdPriceNR(ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, double dblFXSpot, double dblMarketFXFwdPrice, boolean bBasisOnDenom)	Calibrate the discount curve basis from FXForward using Newton-Raphson methodology
double	FXForwardComponent.discountCurveBasis(ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, double dblFXSpot, double dblMarketFXFwdPrice, boolean bBasisOnDenom)	Calculate the basis to either the numerator or the denominator discount curve
double	FXForwardComponent.fxForward(ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, double dblFXSpot, boolean bFwdAsPIP)	Imply the FX Forward

Uses of MergedDiscountForwardCurve in org.drip.product.option

Methods in org.drip.product.option with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
double	EuropeanCallPut.implyVolatilityFromCallPrice(ValuationParams valParams, double dblUnderlier, boolean bIsForward, MergedDiscountForwardCurve dc, double dblCallPrice)	Imply the Option Volatility given the Call Price
double	EuropeanCallPut.implyVolatilityFromPutPrice(ValuationParams valParams, double dblUnderlier, boolean bIsForward, MergedDiscountForwardCurve dc, double dblPutPrice)	Imply the Option Volatility given the Put Price
CaseInsensitiveTreeMap<java.lang.Double>	EuropeanCallPut.value(ValuationParams valParams, double dblUnderlier, boolean bIsForward, MergedDiscountForwardCurve dc, R1ToR1 auVolatility, FokkerPlanckGenerator fpg)	Generate the Measure Set for the Option

Uses of MergedDiscountForwardCurve in org.drip.sample.dual

Methods in org.drip.sample.dual with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
static void	CCBSForwardCurve.ForwardCurveReferenceComponentBasis(java.lang.String strReferenceCurrency, java.lang.String strDerivedCurrency, JulianDate dtValue, MergedDiscountForwardCurve dcReference, ForwardCurve fc6MReference, ForwardCurve fc3MReference, MergedDiscountForwardCurve dcDerived, ForwardCurve fc6MDerived, double dblRefDerFX, SegmentCustomBuilderControl scbc, java.lang.String[] astrTenor, double[] adblCrossCurrencyBasis, boolean bBasisOnDerivedLeg)	Set the Forward Curve Reference Component Basis
static void	CCBSDiscountCurve.MakeDiscountCurve(java.lang.String strReferenceCurrency, java.lang.String strDerivedCurrency, JulianDate dtValue, MergedDiscountForwardCurve dcReference, ForwardCurve fc6MReference, ForwardCurve fc3MReference, double dblRefDerFX, SegmentCustomBuilderControl scbc, java.lang.String[] astrTenor, double[] adblCrossCurrencyBasis, double[] adblSwapRate, boolean bBasisOnDerivedLeg)	Construct the Discount Curve

Uses of MergedDiscountForwardCurve in org.drip.sample.forward

Methods in org.drip.sample.forward that return MergedDiscountForwardCurve

Modifier and Type	Method	Description
static MergedDiscountForwardCurve	OvernightIndexCurve.MakeDC(java.lang.String strCurrency, JulianDate dtSpot, int[] aiDepositMaturityDays, double[] adblDepositQuote, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String[] astrOISFutureTenor, java.lang.String[] astrOISFutureMaturityTenor, double[] adblOISFutureQuote, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, SegmentCustomBuilderControl scbc, FloaterIndex fi)	Construct the Merged Forward Discount Curve
static MergedDiscountForwardCurve	OvernightIndexCurve.MakeDC(JulianDate dtSpot, java.lang.String strCurrency)	Construct an elaborate EONIA Discount Curve

Methods in org.drip.sample.forward with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
static ForwardCurve	IBORCurve.CustomIBORBuilderSample(MergedDiscountForwardCurve dc, ForwardCurve fcReference, ForwardLabel fri, SegmentCustomBuilderControl scbc, java.lang.String[] astrDepositTenor, double[] adblDepositQuote, java.lang.String strDepositCalibMeasure, java.lang.String[] astrFRATenor, double[] adblFRAQuote, java.lang.String strFRACalibMeasure, java.lang.String[] astrFixFloatTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatCalibMeasure, java.lang.String[] astrFloatFloatTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatCalibMeasure, java.lang.String[] astrSyntheticFloatFloatTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatCalibMeasure, java.lang.String strHeaderComment, boolean bPrintMetric)	Construct the Custom IBOR Sample Curve
static ForwardCurve	IBORCurve.CustomIBORBuilderSample2(MergedDiscountForwardCurve dc, ForwardCurve fcReference, ForwardLabel fri, SegmentCustomBuilderControl scbc, java.lang.String[] astrDepositTenor, double[] adblDepositQuote, java.lang.String strDepositCalibMeasure, java.lang.String[] astrFRATenor, double[] adblFRAQuote, java.lang.String strFRACalibMeasure, java.lang.String[] astrFixFloatTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatCalibMeasure, java.lang.String[] astrComponentPairTenor, double[] adblComponentPairQuote, java.lang.String strComponentPairCalibMeasure, java.lang.String[] astrSyntheticComponentPairTenor, double[] adblSyntheticComponentPairQuote, java.lang.String strSyntheticComponentPairCalibMeasure, java.lang.String strHeaderComment, boolean bPrintMetric)	Construct the Custom IBOR Sample Curve #2

Uses of MergedDiscountForwardCurve in org.drip.service.api

Methods in org.drip.service.api that return MergedDiscountForwardCurve

Modifier and Type	Method	Description
MergedDiscountForwardCurve	DateDiscountCurvePair.dc()	Retrieve the Discount Curve

Constructors in org.drip.service.api with parameters of type MergedDiscountForwardCurve

Constructor	Description
DateDiscountCurvePair(JulianDate dt, MergedDiscountForwardCurve dc, java.util.List<java.lang.String> lsstrDump)	DateDiscountCurvePair constructor

Uses of MergedDiscountForwardCurve in org.drip.service.product

Methods in org.drip.service.product with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
static PositionChangeComponents	FixFloatAPI.HorizonChangeAttribution(MergedDiscountForwardCurve dcFirst, MergedDiscountForwardCurve dcSecond, CaseInsensitiveHashMap<MergedDiscountForwardCurve> mapRollDownDiscountCurve, java.lang.String strMaturityTenor)	Compute the Horizon Change Attribution Details for the Specified Fix-Float Swap

Method parameters in org.drip.service.product with type arguments of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
static PositionChangeComponents	FixFloatAPI.HorizonChangeAttribution(MergedDiscountForwardCurve dcFirst, MergedDiscountForwardCurve dcSecond, CaseInsensitiveHashMap<MergedDiscountForwardCurve> mapRollDownDiscountCurve, java.lang.String strMaturityTenor)	Compute the Horizon Change Attribution Details for the Specified Fix-Float Swap

Uses of MergedDiscountForwardCurve in org.drip.service.state

Methods in org.drip.service.state that return types with arguments of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
static java.util.Map<JulianDate,MergedDiscountForwardCurve>	FundingCurveAPI.HistoricalMap(JulianDate[] adtSpot, java.lang.String[] astrFixFloatMaturityTenor, double[][] aadblFixFloatQuote, java.lang.String strCurrency, int iLatentStateType)	Generate the Funding Curve Map

Uses of MergedDiscountForwardCurve in org.drip.service.template

Methods in org.drip.service.template that return MergedDiscountForwardCurve

Modifier and Type	Method	Description
static MergedDiscountForwardCurve	LatentMarketStateBuilder.FundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, int iLatentStateType)	Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments
static MergedDiscountForwardCurve	LatentMarketStateBuilder.FundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, SegmentCustomBuilderControl scbc)	Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified Spline
static MergedDiscountForwardCurve	LatentMarketStateBuilder.OvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure, int iLatentStateType)	Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
static MergedDiscountForwardCurve	LatentMarketStateBuilder.OvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure, SegmentCustomBuilderControl scbc)	Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
static MergedDiscountForwardCurve	LatentMarketStateBuilder.ShapePreservingFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure)	Construct a Shape Preserving Funding Curve Based off of the Input Exchange/OTC Market Instruments
static MergedDiscountForwardCurve	LatentMarketStateBuilder.ShapePreservingOvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure)	Construct a Shape Preserving Overnight Curve from Overnight Exchange/OTC Market Instruments
static MergedDiscountForwardCurve	LatentMarketStateBuilder.SingleStretchFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, int iLatentStateType)	Construct a Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments
static MergedDiscountForwardCurve	LatentMarketStateBuilder.SingleStretchFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, SegmentCustomBuilderControl scbc)	Construct a Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified Spline
static MergedDiscountForwardCurve	LatentMarketStateBuilder.SingleStretchShapePreservingFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure)	Construct a Shape Preserving Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments
static MergedDiscountForwardCurve	LatentMarketStateBuilder.SingleStretchSmoothFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure)	Construct a Smooth Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments
static MergedDiscountForwardCurve	LatentMarketStateBuilder.SmoothFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure)	Construct a Smooth Funding Curve Based off of the Input Exchange/OTC Market Instruments
static MergedDiscountForwardCurve	LatentMarketStateBuilder.SmoothOvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure)	Construct a Smooth Overnight Curve from Overnight Exchange/OTC Market Instruments

Methods in org.drip.service.template that return types with arguments of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
static CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	LatentMarketStateBuilder.BumpedForwardFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, int iLatentStateType, double dblBump, boolean bIsProportional)	Construct a Map of Tenor Bumped Funding Curve Based off of the Underlying Forward Curve Shift
static CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	LatentMarketStateBuilder.BumpedFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, int iLatentStateType, double dblBump, boolean bIsProportional)	Construct a Map of Tenor Bumped Funding Curve Based off of the Input Exchange/OTC Market Instruments
static CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	LatentMarketStateBuilder.BumpedOvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure, int iLatentStateType, double dblBump, boolean bIsProportional)	Construct a Map of Tenor + Parallel Bumped Overnight Curves

Methods in org.drip.service.template with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
static CaseInsensitiveTreeMap<CreditCurve>	LatentMarketStateBuilder.BumpedCreditCurve(JulianDate dtSpot, java.lang.String strCredit, java.lang.String[] astrMaturityTenor, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc, double dblBump, boolean bIsProportional)	Construct a Tenor + Parallel Map of Bumped Credit Curves from Overnight Exchange/OTC Market Instruments
static CaseInsensitiveTreeMap<ForwardCurve>	LatentMarketStateBuilder.BumpedForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference, int iLatentStateType, double dblBump, boolean bIsProportional)	Construct a Map of Tenor Bumped Forward Curve Based off of the Input Exchange/OTC Market Instruments
static CaseInsensitiveTreeMap<VolatilityCurve>	LatentMarketStateBuilder.BumpedForwardVolatilityCurve(JulianDate dtSpot, ForwardLabel forwardLabel, boolean bIsCap, java.lang.String[] astrMaturityTenor, double[] adblStrike, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc, ForwardCurve fc, double dblBump, boolean bIsProportional)	Construct a Tenor + Parallel Forward Volatility Latent State Construction from Cap/Floor Instruments
static CreditCurve	LatentMarketStateBuilder.CreditCurve(JulianDate dtSpot, java.lang.String strCredit, java.lang.String[] astrMaturityTenor, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc)	Construct a Credit Curve from Overnight Exchange/OTC Market Instruments
static CreditCurve	LatentMarketStateBuilder.CreditCurve(JulianDate dtSpot, CreditDefaultSwap[] aCDS, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc)	Construct a Credit Curve from the specified Calibration CDS Instruments
static ForwardCurve	LatentMarketStateBuilder.ForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference, int iLatentStateType)	Construct a Instance of the Smooth/Shape Preserving Forward Curve off of Exchange/OTC Market Instruments
static ForwardCurve	LatentMarketStateBuilder.ForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference, SegmentCustomBuilderControl scbc)	Construct a Instance of the Forward Curve off of Exchange/OTC Market Instruments
static VolatilityCurve	LatentMarketStateBuilder.ForwardRateVolatilityCurve(JulianDate dtSpot, ForwardLabel forwardLabel, boolean bIsCap, java.lang.String[] astrMaturityTenor, double[] adblStrike, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc, ForwardCurve fc)	Forward Rate Volatility Latent State Construction from Cap/Floor Instruments
static ForwardCurve	LatentMarketStateBuilder.ShapePreservingForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference)	Construct a Instance of the Shape Preserving Forward Curve off of Exchange/OTC Market Instruments
static ForwardCurve	LatentMarketStateBuilder.SmoothForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference)	Construct a Instance of Smooth Forward Curve off of Exchange/OTC Market Instruments

Uses of MergedDiscountForwardCurve in org.drip.state.boot

Methods in org.drip.state.boot that return MergedDiscountForwardCurve

Modifier and Type	Method	Description
static MergedDiscountForwardCurve	DiscountCurveScenario.Standard(ValuationParams valuationParams, CalibratableComponent[] calibratableComponentArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, double bump, GovvieCurve govvieCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Calibrate a discount curve
static MergedDiscountForwardCurve[]	DiscountCurveScenario.Tenor(ValuationParams valuationParams, CalibratableComponent[] calibratableComponentArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, double bump, GovvieCurve govvieCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Calibrate an array of tenor bumped discount curves

Methods in org.drip.state.boot that return types with arguments of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
static CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	DiscountCurveScenario.TenorMap(ValuationParams valuationParams, CalibratableComponent[] calibratableComponentArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, double bump, GovvieCurve govvieCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Calibrate a tenor map of tenor bumped discount curves

Methods in org.drip.state.boot with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
static CreditCurve	CreditCurveScenario.Standard(java.lang.String name, ValuationParams valuationParams, CalibratableComponent[] calibratableComponentArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, double recovery, boolean flat, MergedDiscountForwardCurve discountCurve, GovvieCurve govvieCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams, CalibrationParams calibrationParams)	Calibrate a Credit Curve
static VolatilityCurve	VolatilityCurveScenario.Standard(java.lang.String name, ValuationParams valuationParams, LatentStateLabel underlyingLatentStateLabel, FRAStandardCapFloor[] fraStandardCapFloorArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, boolean flat, MergedDiscountForwardCurve discountCurve, ForwardCurve forwardCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Calibrate a Volatility Curve
static CreditCurve[]	CreditCurveScenario.Tenor(java.lang.String name, ValuationParams valuationParams, CalibratableComponent[] calibratableComponentArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, double recovery, boolean flat, double bump, MergedDiscountForwardCurve discountCurve, GovvieCurve govvieCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Create an array of tenor bumped credit curves
static VolatilityCurve[]	VolatilityCurveScenario.Tenor(java.lang.String name, ValuationParams valuationParams, LatentStateLabel underlyingLatentStateLabel, FRAStandardCapFloor[] fraStandardCapFloorArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, boolean flat, double bump, MergedDiscountForwardCurve discountCurve, ForwardCurve forwardCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Create an array of tenor bumped Volatility curves
static CaseInsensitiveTreeMap<CreditCurve>	CreditCurveScenario.TenorMap(java.lang.String name, ValuationParams valuationParams, CalibratableComponent[] calibratableComponentArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, double recovery, boolean flat, double bump, MergedDiscountForwardCurve discountCurve, GovvieCurve govvieCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Create an tenor named map of tenor bumped credit curves
CaseInsensitiveTreeMap<VolatilityCurve>	VolatilityCurveScenario.TenorMap(java.lang.String name, ValuationParams valuationParams, LatentStateLabel underlyingLatentStateLabel, FRAStandardCapFloor[] fraStandardCapFloorArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, boolean flat, double bump, MergedDiscountForwardCurve discountCurve, ForwardCurve forwardCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Create an tenor named map of tenor bumped Volatility curves

Uses of MergedDiscountForwardCurve in org.drip.state.creator

Methods in org.drip.state.creator that return MergedDiscountForwardCurve

Modifier and Type	Method	Description
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.BuildFromDF(JulianDate startDate, java.lang.String currency, int[] dateArray, double[] discountFactorArray)	Build a Discount Curve from an array of discount factors
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.CubicKLKHyperbolicDFRateShapePreserver(java.lang.String name, ValuationParams valuationParams, CalibratableComponent[] calibrationComponentArray1, double[] calibrationQuoteArray1, java.lang.String[] manifestMeasureArray1, CalibratableComponent[] calibrationComponentArray2, double[] calibrationQuoteArray2, java.lang.String[] manifestMeasureArray2, boolean zeroSmooth)	Construct an instance of the Shape Preserver of the KLK Hyperbolic Tension Type, using the specified basis set builder parameters.
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.CubicPolyDFRateShapePreserver(java.lang.String name, ValuationParams valuationParams, CalibratableComponent[] calibrationComponentArray1, double[] calibrationQuoteArray1, java.lang.String[] manifestMeasureArray1, CalibratableComponent[] calibrationComponentArray2, double[] calibrationQuoteArray2, java.lang.String[] manifestMeasureArray2, boolean zeroSmooth)	Construct an instance of the Shape Preserver of the Cubic Polynomial Type, using the specified basis set builder parameters.
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.CubicPolynomialDiscountCurve(java.lang.String name, JulianDate startDate, java.lang.String currency, int[] dateArray, double[] discountFactorArray)	Create an Instance of the Cubic Polynomial Splined DF Discount Curve
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.CustomDENSE(java.lang.String name, ValuationParams valuationParams, CalibratableComponent[] calibrationComponentArray1, double[] calibrationQuoteArray1, java.lang.String tenor1, java.lang.String[] manifestMeasureArray1, CalibratableComponent[] calibrationComponentArray2, double[] calibrationQuoteArray2, java.lang.String tenor2, java.lang.String[] manifestMeasureArray2, TurnListDiscountFactor turnListDiscountFactor)	Customizable DENSE Curve Creation Methodology - the references are: - Sankar, L.
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.CustomSplineDiscountCurve(java.lang.String name, JulianDate startDate, java.lang.String currency, int[] dateArray, double[] discountFactorArray, SegmentCustomBuilderControl segmentCustomBuilderControl)	Create an Instance of the Custom Splined Discount Curve
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.DENSE(java.lang.String name, ValuationParams valuationParams, CalibratableComponent[] calibrationComponentArray1, double[] calibrationQuoteArray1, java.lang.String[] manifestMeasureArray1, CalibratableComponent[] calibrationComponentArray2, double[] calibrationQuoteArray2, java.lang.String[] manifestMeasureArray2, TurnListDiscountFactor turnListDiscountFactor)	The Standard DENSE Curve Creation Methodology - this uses no re-construction set for the short term, and uses 3M dense re-construction for the Swap Set.
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.DFRateShapePreserver(java.lang.String name, ValuationParams valuationParams, CreditPricerParams creditPricerParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, ValuationCustomizationParams valuationCustomizationParams, java.lang.String basisType, FunctionSetBuilderParams functionSetBuilderParams, CalibratableComponent[] calibrationComponentArray1, double[] calibrationQuoteArray1, java.lang.String[] manifestMeasureArray1, CalibratableComponent[] calibrationComponentArray2, double[] calibrationQuoteArray2, java.lang.String[] manifestMeasureArray2, double epochResponse, boolean zeroSmooth)	Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set builder parameters.
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.DUALDENSE(java.lang.String name, ValuationParams valuationParams, CalibratableComponent[] calibrationComponentArray1, double[] calibrationQuoteArray1, java.lang.String tenor1, java.lang.String[] manifestMeasureArray1, CalibratableComponent[] calibrationComponentArray2, double[] calibrationQuoteArray2, java.lang.String tenor2, java.lang.String[] manifestMeasureArray2, TurnListDiscountFactor turnListDiscountFactor)	The DUAL DENSE Curve Creation Methodology - this uses configurable re-construction set for the short term, and another configurable re-construction for the Swap Set.
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.KaklisPandelisDiscountCurve(java.lang.String name, JulianDate startDate, java.lang.String currency, int[] dateArray, double[] discountFactorArray)	Create an Instance of the Kaklis-Pandelis Splined DF Discount Curve
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.KLKExponentialDiscountCurve(java.lang.String name, JulianDate startDate, java.lang.String currency, int[] dateArray, double[] discountFactorArray, double tension)	Create an Instance of the KLK Exponential Splined DF Discount Curve
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.KLKHyperbolicDiscountCurve(java.lang.String name, JulianDate startDate, java.lang.String currency, int[] dateArray, double[] discountFactorArray, double tension)	Create an Instance of the KLK Hyperbolic Splined DF Discount Curve
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.KLKRationalLinearDiscountCurve(java.lang.String name, JulianDate startDate, java.lang.String currency, int[] dateArray, double[] discountFactorArray, double tension)	Create an Instance of the KLK Linear Rational Splined DF Discount Curve
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.KLKRationalQuadraticDiscountCurve(java.lang.String name, JulianDate startDate, java.lang.String currency, int[] dateArray, double[] discountFactorArray, double tension)	Create an Instance of the KLK Quadratic Rational Splined DF Discount Curve
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.NonlinearBuild(JulianDate date, java.lang.String currency, CalibratableComponent[] calibrationInstrumentArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, LatentStateFixingsContainer latentStateFixingsContainer)	Create Discount Curve from the Calibration Instruments
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.QuarticPolynomialDiscountCurve(java.lang.String name, JulianDate startDate, java.lang.String currency, int[] dateArray, double[] discountFactorArray)	Create an Instance of the Quartic Polynomial Splined DF Discount Curve
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.ShapePreservingDFBuild(java.lang.String currency, LinearLatentStateCalibrator linearLatentStateCalibrator, LatentStateStretchSpec[] latentStateStretchSpecArray, ValuationParams valuationParams, CreditPricerParams creditPricerParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, ValuationCustomizationParams valuationCustomizationParams, double epochResponse)	Build the Shape Preserving Discount Curve using the Custom Parameters
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.SmoothingGlobalControlBuild(MergedDiscountForwardCurve shapePreserverDiscountCurve, LinearLatentStateCalibrator linearLatentStateCalibrator, GlobalControlCurveParams globalControlCurveParams, ValuationParams valuationParams, CreditPricerParams creditPricerParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, ValuationCustomizationParams valuationCustomizationParams)	Build a Globally Smoothed Instance of the Discount Curve using the Custom Parameters
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.SmoothingLocalControlBuild(MergedDiscountForwardCurve shapePreserverDiscountCurve, LinearLatentStateCalibrator linearLatentStateCalibrator, LocalControlCurveParams localControlCurveParams, ValuationParams valuationParams, CreditPricerParams creditPricerParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, ValuationCustomizationParams valuationCustomizationParams)	Build a Locally Smoothed Instance of the Discount Curve using the Custom Parameters

Methods in org.drip.state.creator with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
static CreditCurve	ScenarioCreditCurveBuilder.Custom(java.lang.String name, JulianDate spotDate, CalibratableComponent[] calibratableComponentArray, MergedDiscountForwardCurve discountCurve, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, double recovery, boolean flat)	Calibrate the base credit curve from the input credit instruments, measures, and the quotes
static CreditCurve	ScenarioCreditCurveBuilder.Custom(java.lang.String name, JulianDate spotDate, CalibratableComponent[] calibratableComponentArray, MergedDiscountForwardCurve discountCurve, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, double recovery, boolean flat, CalibrationParams calibrationParams)	Calibrate the base credit curve from the input credit instruments, measures, and the quotes
static VolatilityCurve	ScenarioLocalVolatilityBuilder.NonlinearBuild(java.lang.String name, JulianDate spotDate, LatentStateLabel underlyingLatentStateLabel, FRAStandardCapFloor[] fraStandardCapFloorArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, MergedDiscountForwardCurve discountCurve, ForwardCurve forwardCurve, LatentStateFixingsContainer latentStateFixingsContainer)	Create a Volatility Curve from the Calibration Instruments
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.SmoothingGlobalControlBuild(MergedDiscountForwardCurve shapePreserverDiscountCurve, LinearLatentStateCalibrator linearLatentStateCalibrator, GlobalControlCurveParams globalControlCurveParams, ValuationParams valuationParams, CreditPricerParams creditPricerParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, ValuationCustomizationParams valuationCustomizationParams)	Build a Globally Smoothed Instance of the Discount Curve using the Custom Parameters
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.SmoothingLocalControlBuild(MergedDiscountForwardCurve shapePreserverDiscountCurve, LinearLatentStateCalibrator linearLatentStateCalibrator, LocalControlCurveParams localControlCurveParams, ValuationParams valuationParams, CreditPricerParams creditPricerParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, ValuationCustomizationParams valuationCustomizationParams)	Build a Locally Smoothed Instance of the Discount Curve using the Custom Parameters

Uses of MergedDiscountForwardCurve in org.drip.state.credit

Methods in org.drip.state.credit with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
void	CreditCurve.setInstrCalibInputs(ValuationParams valuationParams, boolean flat, MergedDiscountForwardCurve discountCurve, GovvieCurve govvieCurve, CreditPricerParams creditPricerParams, CalibratableComponent[] calibratableComponentArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Set the calibration inputs for the CreditCurve

Uses of MergedDiscountForwardCurve in org.drip.state.csa

Subclasses of MergedDiscountForwardCurve in org.drip.state.csa

Modifier and Type	Class	Description
class	MultilateralFlatForwardCurve	MultilateralFlatForwardCurve implements the CSA Cash Rate Curve using a Flat Forward CSA Rate.

Methods in org.drip.state.csa that return MergedDiscountForwardCurve

Modifier and Type	Method	Description
MergedDiscountForwardCurve	MultilateralBasisCurve.overnightCurve()	Retrieve the Overnight Curve

Uses of MergedDiscountForwardCurve in org.drip.state.curve

Subclasses of MergedDiscountForwardCurve in org.drip.state.curve

Modifier and Type	Class	Description
class	DeterministicCollateralChoiceDiscountCurve	DeterministicCollateralChoiceDiscountCurve implements the Dynamically Switchable Collateral Choice Discount Curve among the choice of provided "deterministic" collateral curves.
class	DiscountFactorDiscountCurve	DiscountFactorDiscountCurve manages the Discounting Latent State, using the Discount Factor as the State Response Representation.
class	ForeignCollateralizedDiscountCurve	ForeignCollateralizedDiscountCurve computes the discount factor corresponding to one unit of domestic currency collateralized by a foreign collateral.
class	ZeroRateDiscountCurve	ZeroRateDiscountCurve manages the Discounting Latent State, using the Zero Rate as the State Response Representation.

Methods in org.drip.state.curve that return MergedDiscountForwardCurve

Modifier and Type	Method	Description
MergedDiscountForwardCurve	BasisSplineFXForward.bootstrapBasisDC(int[] nodeDateArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)
MergedDiscountForwardCurve	DeterministicCollateralChoiceDiscountCurve.customTweakManifestMeasure(java.lang.String manifestMeasure, ManifestMeasureTweak manifestMeasureTweak)
MergedDiscountForwardCurve	DiscountFactorDiscountCurve.customTweakManifestMeasure(java.lang.String manifestMeasure, ManifestMeasureTweak manifestMeasureTweak)
MergedDiscountForwardCurve	ZeroRateDiscountCurve.customTweakManifestMeasure(java.lang.String manifestMeasure, ManifestMeasureTweak manifestMeasureTweak)

Methods in org.drip.state.curve with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
double[]	BasisSplineFXForward.bootstrapBasis(int[] nodeDateArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)
MergedDiscountForwardCurve	BasisSplineFXForward.bootstrapBasisDC(int[] nodeDateArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)
double[]	BasisSplineFXForward.impliedNodeRates(int[] nodeDateArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)
double	BasisSplineFXForward.rate(int[] nodeDateArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, int date, boolean basisOnDenominator)
double[]	BasisSplineFXForward.zeroBasis(int[] nodeDateArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)

Constructors in org.drip.state.curve with parameters of type MergedDiscountForwardCurve

Constructor	Description
DeterministicCollateralChoiceDiscountCurve(MergedDiscountForwardCurve domesticCollateralizedDiscountCurve, ForeignCollateralizedDiscountCurve[] foreignCollateralizedDiscountCurveArray, int discreteCollateralizationIncrement)	DeterministicCollateralChoiceDiscountCurve constructor
ForeignCollateralizedDiscountCurve(java.lang.String currency, MergedDiscountForwardCurve foreignCollateralizedDiscountCurve, FXCurve fxCurve, VolatilityCurve foreignCollateralizedVolatilityCurve, VolatilityCurve fxVolatilityCurve, R1ToR1 collateralForeignFXCorrelationFunction)	ForeignCollateralizedDiscountCurve constructor

Uses of MergedDiscountForwardCurve in org.drip.state.discount

Subclasses of MergedDiscountForwardCurve in org.drip.state.discount

Modifier and Type	Class	Description
class	ExplicitBootDiscountCurve	ExplicitBootDiscountCurve exposes the functionality associated with the bootstrapped Discount Curve.

Uses of MergedDiscountForwardCurve in org.drip.state.fx

Methods in org.drip.state.fx that return MergedDiscountForwardCurve

Modifier and Type	Method	Description
abstract MergedDiscountForwardCurve	FXCurve.bootstrapBasisDC(int[] dateNodeArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)	Bootstrap the discount curve from the discount curve inputs

Methods in org.drip.state.fx with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
abstract double[]	FXCurve.bootstrapBasis(int[] dateNodeArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)	Bootstrap the basis to the discount curve inputs
abstract MergedDiscountForwardCurve	FXCurve.bootstrapBasisDC(int[] dateNodeArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)	Bootstrap the discount curve from the discount curve inputs
abstract double[]	FXCurve.impliedNodeRates(int[] dateNodeArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)	Calculate the rates implied by the discount curve inputs
abstract double	FXCurve.rate(int[] dateNodeArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, int date, boolean basisOnDenominator)	Calculate the rate implied by the discount curve inputs to a specified date
abstract double[]	FXCurve.zeroBasis(int[] dateNodeArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)	Calculate the set of Zero basis given the input discount curves

Uses of MergedDiscountForwardCurve in org.drip.state.nonlinear

Subclasses of MergedDiscountForwardCurve in org.drip.state.nonlinear

Modifier and Type	Class	Description
class	FlatForwardDiscountCurve	FlatForwardDiscountCurve manages the Discounting Latent State, using the Forward Rate as the State Response Representation.

Methods in org.drip.state.nonlinear that return MergedDiscountForwardCurve

Modifier and Type	Method	Description
MergedDiscountForwardCurve	FlatForwardFXCurve.bootstrapBasisDC(int[] dateNodeArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)

Methods in org.drip.state.nonlinear with parameters of type MergedDiscountForwardCurve

Modifier and Type	Method	Description
double[]	FlatForwardFXCurve.bootstrapBasis(int[] dateNodeArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)
MergedDiscountForwardCurve	FlatForwardFXCurve.bootstrapBasisDC(int[] dateNodeArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)
static boolean	NonlinearCurveBuilder.CreditCurve(ValuationParams valuationParams, Component calibrationComponent, double calibrationValue, java.lang.String calibrationMeasure, boolean flat, int curveSegmentIndex, ExplicitBootCreditCurve explicitBootCreditCurve, MergedDiscountForwardCurve mergedDiscountForwardCurve, GovvieCurve govvieCurve, CreditPricerParams creditPricerParams, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams, CalibrationParams calibrationParams)	Calibrate a single Hazard Rate Node from the corresponding Component
double[]	FlatForwardFXCurve.impliedNodeRates(int[] dateNodeArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)
double	FlatForwardFXCurve.rate(int[] dateNodeArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, int date, boolean basisOnDenominator)
static boolean	NonlinearCurveBuilder.VolatilityCurve(ValuationParams valuationParams, Component[] calibrationComponentArray, double[] calibrationValueArray, java.lang.String[] calibrationMeasureArray, double bump, boolean flat, ExplicitBootVolatilityCurve explicitBootVolatilityCurve, MergedDiscountForwardCurve mergedDiscountForwardCurve, ForwardCurve forwardCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Boot-strap a Volatility Curve from the set of calibration components
static double	NonlinearCurveBuilder.VolatilityCurveNode(ValuationParams valuationParams, Component calibrationComponent, double calibrationValue, java.lang.String calibrationMeasure, boolean flat, int curveSegmentIndex, ExplicitBootVolatilityCurve explicitBootVolatilityCurve, MergedDiscountForwardCurve mergedDiscountForwardCurve, ForwardCurve forwardCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Calibrate a Single Volatility Curve Segment from the corresponding Component
double[]	FlatForwardFXCurve.zeroBasis(int[] dateNodeArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)