Package org.drip.state.fx

Class FXCurve

java.lang.Object

org.drip.state.fx.FXCurve

All Implemented Interfaces:

Curve, LatentState

Direct Known Subclasses:

BasisSplineFXForward, ExplicitBootFXCurve

public abstract class FXCurve
extends java.lang.Object
implements Curve

FXCurve is the Stub for the FX Curve for the specified Currency Pair. It implements the following Functionality.

• Calculate the FX Forward to the given Date
• Calculate the set of Zero basis given the input discount curves
• Bootstrap the basis to the discount curve inputs
• Bootstrap the discount curve from the discount curve inputs
• Calculate the rates implied by the discount curve inputs
• Calculate the rate implied by the discount curve inputs to a specified date
• Return the Currency Pair
• Calculate the FX Forward to the given date
• Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
• Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor

Module	Product Core Module
Library	Fixed Income Analytics
Project	Latent State Inference and Creation Utilities
Package	FX Latent State Curve Estimator

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
abstract double[]	bootstrapBasis(int[] dateNodeArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)	Bootstrap the basis to the discount curve inputs
abstract MergedDiscountForwardCurve	bootstrapBasisDC(int[] dateNodeArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)	Bootstrap the discount curve from the discount curve inputs
CalibratableComponent[]	calibComp()	Retrieve the Calibration Components
java.lang.String	currency()	Get the Currency
CurrencyPair	currencyPair()	Return the Currency Pair
LatentState	customTweakManifestMeasure(java.lang.String manifestMeasure, ManifestMeasureTweak manifestMeasureTweak)	Create a LatentState Instance from the Manifest Measure Tweak Parameters
LatentState	customTweakQuantificationMetric(ManifestMeasureTweak manifestMeasureTweak)	Create a LatentState Instance from the Quantification Metric Tweak Parameters
JulianDate	epoch()	Get the Epoch Date
abstract double	fx(int date)	Calculate the FX Forward to the given Date
double	fx(java.lang.String tenor)	Calculate the FX Forward to the given date
double	fx(JulianDate date)	Calculate the FX Forward to the given date
abstract double[]	impliedNodeRates(int[] dateNodeArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)	Calculate the rates implied by the discount curve inputs
abstract WengertJacobian	jackDForwardDManifestMeasure(java.lang.String manifestMeasure, int date)	Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
WengertJacobian	jackDForwardDManifestMeasure(java.lang.String manifestMeasure, java.lang.String tenor)	Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor
WengertJacobian	jackDForwardDManifestMeasure(java.lang.String manifestMeasure, JulianDate date)	Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
LatentStateLabel	label()	Get the Curve Latent State Identifier Label
CaseInsensitiveTreeMap<java.lang.Double>	manifestMeasure(java.lang.String instrument)	Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve
LatentState	parallelShiftManifestMeasure(java.lang.String manifestMeasure, double shift)	Create a LatentState Instance from the Manifest Measure Parallel Shift
LatentState	parallelShiftQuantificationMetric(double shift)	Create a LatentState Instance from the Quantification Metric Parallel Shift
abstract double	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
boolean	setCCIS(CurveConstructionInputSet curveConstructionInputSet)	Set the Curve Construction Input Set Parameters
LatentState	shiftManifestMeasure(int spanIndex, java.lang.String manifestMeasure, double shift)	Create a LatentState Instance from the Shift of the Specified Manifest Measure
abstract double[]	zeroBasis(int[] dateNodeArray, ValuationParams valuationParams, MergedDiscountForwardCurve numeratorDiscountCurve, MergedDiscountForwardCurve denominatorDiscountCurve, boolean basisOnDenominator)	Calculate the set of Zero basis given the input discount curves

Methods inherited from class java.lang.Object

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

Method Details

fx

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

Calculate the FX Forward to the given Date

Parameters:

date - Date

Returns:

The FX Forward

Throws:

java.lang.Exception - Thrown if the FX Forward cannot be calculated

zeroBasis

public abstract double[] zeroBasis(int[] dateNodeArray,
ValuationParams valuationParams,
MergedDiscountForwardCurve numeratorDiscountCurve,
MergedDiscountForwardCurve denominatorDiscountCurve,
boolean basisOnDenominator)

Calculate the set of Zero basis given the input discount curves

Parameters:

dateNodeArray - Array of Date Nodes

valuationParams - Valuation Parameters

numeratorDiscountCurve - Discount Curve Numerator

denominatorDiscountCurve - Discount Curve Denominator

basisOnDenominator - True if the basis is calculated on the denominator discount curve

Returns:

Array of the computed basis

bootstrapBasis

public abstract double[] bootstrapBasis(int[] dateNodeArray,
ValuationParams valuationParams,
MergedDiscountForwardCurve numeratorDiscountCurve,
MergedDiscountForwardCurve denominatorDiscountCurve,
boolean basisOnDenominator)

Bootstrap the basis to the discount curve inputs

Parameters:

dateNodeArray - Array of Date Nodes

valuationParams - Valuation Parameters

numeratorDiscountCurve - Discount Curve Numerator

denominatorDiscountCurve - Discount Curve Denominator

basisOnDenominator - True if the basis is calculated on the denominator discount curve

Returns:

Array of the computed basis

bootstrapBasisDC

public abstract MergedDiscountForwardCurve bootstrapBasisDC(int[] dateNodeArray,
ValuationParams valuationParams,
MergedDiscountForwardCurve numeratorDiscountCurve,
MergedDiscountForwardCurve denominatorDiscountCurve,
boolean basisOnDenominator)

Bootstrap the discount curve from the discount curve inputs

Parameters:

dateNodeArray - Array of Date Nodes

valuationParams - Valuation Parameters

numeratorDiscountCurve - Discount Curve Numerator

denominatorDiscountCurve - Discount Curve Denominator

basisOnDenominator - True if the basis is calculated on the denominator discount curve

Returns:

Array of the computed basis

impliedNodeRates

public abstract double[] impliedNodeRates(int[] dateNodeArray,
ValuationParams valuationParams,
MergedDiscountForwardCurve numeratorDiscountCurve,
MergedDiscountForwardCurve denominatorDiscountCurve,
boolean basisOnDenominator)

Calculate the rates implied by the discount curve inputs

Parameters:

dateNodeArray - Array of Date Nodes

valuationParams - Valuation Parameters

numeratorDiscountCurve - Discount Curve Numerator

denominatorDiscountCurve - Discount Curve Denominator

basisOnDenominator - True if the basis is calculated on the denominator discount curve

Returns:

Array of the computed implied rates

rate

public abstract double rate(int[] dateNodeArray,
ValuationParams valuationParams,
MergedDiscountForwardCurve numeratorDiscountCurve,
MergedDiscountForwardCurve denominatorDiscountCurve,
int date,
boolean basisOnDenominator)
                     throws java.lang.Exception

Calculate the rate implied by the discount curve inputs to a specified date

Parameters:

dateNodeArray - Array of Date Nodes

valuationParams - ValuationParams

numeratorDiscountCurve - Discount Curve Numerator

denominatorDiscountCurve - Discount Curve Denominator

date - Date to which the implied rate is sought

basisOnDenominator - True if the implied rate is calculated on the denominator discount curve

Returns:

Implied rate

Throws:

java.lang.Exception - Thrown if the implied rate cannot be calculated

label

public LatentStateLabel label()

Description copied from interface: Curve

Get the Curve Latent State Identifier Label

Specified by:

label in interface Curve

Returns:

The Curve Latent State Identifier Label

currency

public java.lang.String currency()

Description copied from interface: Curve

Get the Currency

Specified by:

currency in interface Curve

Returns:

Currency

epoch

public JulianDate epoch()

Description copied from interface: Curve

Get the Epoch Date

Specified by:

epoch in interface Curve

Returns:

The Epoch Date

currencyPair

public CurrencyPair currencyPair()

Return the Currency Pair

Returns:

CurrencyPair

fx

public double fx(JulianDate date)
          throws java.lang.Exception

Calculate the FX Forward to the given date

Parameters:

date - Date

Returns:

The FX Forward

Throws:

java.lang.Exception - Thrown if the FX Forward cannot be calculated

fx

public double fx(java.lang.String tenor)
          throws java.lang.Exception

Calculate the FX Forward to the given date

Parameters:

tenor - The Tenor

Returns:

The FX Forward

Throws:

java.lang.Exception - Thrown if the FX Forward cannot be calculated

setCCIS

public boolean setCCIS(CurveConstructionInputSet curveConstructionInputSet)

Description copied from interface: Curve

Set the Curve Construction Input Set Parameters

Specified by:

setCCIS in interface Curve

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 instrument)

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:

instrument - 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

parallelShiftManifestMeasure

public LatentState parallelShiftManifestMeasure(java.lang.String manifestMeasure,
double shift)

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Parallel Shift

Specified by:

parallelShiftManifestMeasure in interface LatentState

Parameters:

manifestMeasure - The Specified Manifest Measure

shift - Parallel shift of the Manifest Measure

Returns:

New LatentState Instance corresponding to the Parallel Shifted Manifest Measure

shiftManifestMeasure

public LatentState shiftManifestMeasure(int spanIndex,
java.lang.String manifestMeasure,
double shift)

Description copied from interface: LatentState

Create a LatentState Instance from the Shift of the Specified Manifest Measure

Specified by:

shiftManifestMeasure in interface LatentState

Parameters:

spanIndex - Index into the Span that identifies the Instrument

manifestMeasure - The Specified Manifest Measure

shift - Shift of the Manifest Measure

Returns:

New LatentState Instance corresponding to the Shift of the Specified Manifest Measure

customTweakManifestMeasure

public LatentState customTweakManifestMeasure(java.lang.String manifestMeasure,
ManifestMeasureTweak manifestMeasureTweak)

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Tweak Parameters

Specified by:

customTweakManifestMeasure in interface LatentState

Parameters:

manifestMeasure - The Specified Manifest Measure

manifestMeasureTweak - Manifest Measure Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Manifest Measure

parallelShiftQuantificationMetric

public LatentState parallelShiftQuantificationMetric(double shift)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Parallel Shift

Specified by:

parallelShiftQuantificationMetric in interface LatentState

Parameters:

shift - Parallel shift of the Quantification Metric

Returns:

New LatentState Instance corresponding to the Parallel Shifted Quantification Metric

customTweakQuantificationMetric

public LatentState customTweakQuantificationMetric(ManifestMeasureTweak manifestMeasureTweak)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Tweak Parameters

Specified by:

customTweakQuantificationMetric in interface LatentState

Parameters:

manifestMeasureTweak - Quantification Metric Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Quantification Metric

jackDForwardDManifestMeasure

public abstract WengertJacobian jackDForwardDManifestMeasure(java.lang.String manifestMeasure,
int date)

Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date

Parameters:

manifestMeasure - Manifest Measure

date - Date

Returns:

The Manifest Measure Jacobian of the Forward Rate to the given date

jackDForwardDManifestMeasure

public WengertJacobian jackDForwardDManifestMeasure(java.lang.String manifestMeasure,
JulianDate date)

Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date

Parameters:

manifestMeasure - Manifest Measure

date - Date

Returns:

The Manifest Measure Jacobian of the Forward Rate to the given date

jackDForwardDManifestMeasure

public WengertJacobian jackDForwardDManifestMeasure(java.lang.String manifestMeasure,
java.lang.String tenor)

Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor

Parameters:

manifestMeasure - Manifest Measure

tenor - Tenor

Returns:

The Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor