Package org.drip.state.forward

Interface ForwardRateEstimator

All Known Implementing Classes:
BasisSplineForwardRate, FlatForwardForwardCurve, ForwardCurve
public interface ForwardRateEstimator
ForwardRateEstimator is the interface that exposes the calculation of the Forward Rate for a specific Index. It exposes methods to compute forward rates to a given date/tenor, extract the forward rate index and the Tenor. It implements the following Functionality.
  • Retrieve the Forward Rate Index
  • Retrieve the Forward Rate Tenor
  • Calculate the Forward Rate to the given date
  • Calculate the Forward Rate to the tenor implied by the given date

Module Product Core Module
Library Fixed Income Analytics
Project Latent State Inference and Creation Utilities
Package Forward Latent State Curve Estimator
Author:
Lakshmi Krishnamurthy

  • Method Summary

    Modifier and Type Method Description
    double forward​(int date)
    Calculate the Forward Rate to the given Date
    double forward​(java.lang.String tenor)
    Calculate the Forward Rate to the tenor implied by the given date
    double forward​(JulianDate date)
    Calculate the Forward Rate to the given date
    ForwardLabel index()
    Retrieve the Forward Rate Index
    java.lang.String tenor()
    Retrieve the Forward Rate Tenor

  • Method Details

    • index

      ForwardLabel index()
      Retrieve the Forward Rate Index
      Returns:
      The Forward Rate Index

    • tenor

      java.lang.String tenor()
      Retrieve the Forward Rate Tenor
      Returns:
      The Forward Rate Tenor

    • forward

      double forward​(int date) throws java.lang.Exception
      Calculate the Forward Rate to the given Date
      Parameters:
      date - Date
      Returns:
      The Forward Rate
      Throws:
      java.lang.Exception - Thrown if the Forward Rate cannot be calculated

    • forward

      double forward​(JulianDate date) throws java.lang.Exception
      Calculate the Forward Rate to the given date
      Parameters:
      date - Date
      Returns:
      The Forward Rate
      Throws:
      java.lang.Exception - Thrown if the Forward Rate cannot be calculated

    • forward

      double forward​(java.lang.String tenor) throws java.lang.Exception
      Calculate the Forward Rate to the tenor implied by the given date
      Parameters:
      tenor - The Tenor
      Returns:
      The Forward Rate
      Throws:
      java.lang.Exception - Thrown if the Forward Rate cannot be calculated