Package org.drip.state.govvie

Interface YieldEstimator

All Known Implementing Classes:
BasisSplineGovvieYield, ExplicitBootGovvieCurve, FlatForwardGovvieCurve, FlatYieldGovvieCurve, GovvieCurve
public interface YieldEstimator
YieldEstimator is the Interface that exposes the Computation of the Yield of a specified Issue. It implements the following Functionality.
  • Calculate the Yield to the given Date
  • Calculate the Yield to the Tenor implied by the given Date
  • Calculate the Discount Factor to the given Date Using the specified Day-count Fraction
  • Estimate the Forward Yield between the specified Dates

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

  • Method Summary

    Modifier and Type Method Description
    double forwardYield​(int date1, int date2)
    Estimate the Forward Yield between the specified Dates
    double yieldDF​(int date, double dayCountFraction)
    Calculate the Discount Factor to the given Date Using the specified Day Count Fraction
    double yld​(int date)
    Calculate the Yield to the given Date
    double yld​(java.lang.String tenor)
    Calculate the Yield to the Tenor implied by the given Date
    double yld​(JulianDate date)
    Calculate the Yield to the given Date

  • Method Details

    • yld

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

    • yld

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

    • yld

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

    • yieldDF

      double yieldDF​(int date, double dayCountFraction) throws java.lang.Exception
      Calculate the Discount Factor to the given Date Using the specified Day Count Fraction
      Parameters:
      date - Date
      dayCountFraction - The Day Count Fraction
      Returns:
      Discount Factor
      Throws:
      java.lang.Exception - Thrown if the Discount Factor cannot be calculated

    • forwardYield

      double forwardYield​(int date1, int date2) throws java.lang.Exception
      Estimate the Forward Yield between the specified Dates
      Parameters:
      date1 - First Date
      date2 - Second Date
      Returns:
      The Forward Yield
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid