Uses of Class
org.drip.state.govvie.GovvieCurve

Packages that use GovvieCurve

Package	Description
org.drip.param.creator	Market Curves Surfaces Quotes Builder
org.drip.param.market	Curves Surfaces Quotes Fixings Container
org.drip.service.product	Product Horizon PnL Attribution Decomposition
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.curve	Basis Spline Based Latent States
org.drip.state.govvie	Govvie Latent State Curve Estimator
org.drip.state.nonlinear	Nonlinear (i.e., Boot) Latent State Construction
org.drip.state.sequence	Monte Carlo Path State Realizations

Uses of GovvieCurve in org.drip.param.creator

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

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.Govvie(MergedDiscountForwardCurve dcFunding, GovvieCurve gc)	Create a Market Parameters instance with the rates discount curve and the treasury discount curve alone

Uses of GovvieCurve in org.drip.param.market

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

Modifier and Type	Method	Description
GovvieCurve	CurveSurfaceQuoteContainer.govvieState(GovvieLabel govvieLabel)	Retrieve the Government State for the specified Label

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

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	DiscountCurveScenarioContainer.cookScenarioDC(ValuationParams valParams, GovvieCurve gc, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblBump, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp, int iDCMode)	Generate the set of discount curves from the scenario specified, and the instrument quotes
boolean	CurveSurfaceQuoteContainer.setGovvieState(GovvieCurve gc)	(Re)-set the Govvie State Curve

Uses of GovvieCurve in org.drip.service.product

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

Modifier and Type	Method	Description
static PositionChangeComponents	TreasuryAPI.HorizonChangeAttribution(GovvieCurve gcFirst, GovvieCurve gcSecond, CaseInsensitiveHashMap<GovvieCurve> mapRollDownGovvieCurve, java.lang.String strMaturityTenor, java.lang.String strCode)	Compute the Horizon Change Attribution Details for the Specified Treasury Bond

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

Modifier and Type	Method	Description
static PositionChangeComponents	TreasuryAPI.HorizonChangeAttribution(GovvieCurve gcFirst, GovvieCurve gcSecond, CaseInsensitiveHashMap<GovvieCurve> mapRollDownGovvieCurve, java.lang.String strMaturityTenor, java.lang.String strCode)	Compute the Horizon Change Attribution Details for the Specified Treasury Bond

Uses of GovvieCurve in org.drip.service.template

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

Modifier and Type	Method	Description
static GovvieCurve	LatentMarketStateBuilder.GovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, int iLatentStateType)	Construct a Govvie Curve from the Treasury Instruments
static GovvieCurve	LatentMarketStateBuilder.GovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, SegmentCustomBuilderControl scbc)	Construct a Govvie Curve from the Treasury Instruments
static GovvieCurve	LatentMarketStateBuilder.ShapePreservingGovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure)	Construct a Shape Preserving Govvie Curve from the Treasury Instruments
static GovvieCurve	LatentMarketStateBuilder.SmoothGovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure)	Construct a Smooth Govvie Curve from the Treasury Instruments

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

Modifier and Type	Method	Description
static CaseInsensitiveTreeMap<GovvieCurve>	LatentMarketStateBuilder.BumpedGovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, int iLatentStateType, double dblBump, boolean bIsProportional)	Construct a Tenor + Parallel Map of Govvie Curves from the Treasury Instruments

Uses of GovvieCurve in org.drip.state.boot

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

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 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 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 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
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
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

Uses of GovvieCurve in org.drip.state.creator

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

Modifier and Type	Method	Description
static GovvieCurve	ScenarioGovvieCurveBuilder.ConstantYield(int epochDate, java.lang.String treasuryCode, java.lang.String currency, double yield)	Construct a Govvie Curve from the Specified Date and Yield
static GovvieCurve	ScenarioGovvieCurveBuilder.CubicPolynomialCurve(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray)	Create an Instance of the Cubic Polynomial Splined Govvie Yield Curve
static GovvieCurve	ScenarioGovvieCurveBuilder.CubicPolyShapePreserver(java.lang.String name, java.lang.String treasuryCode, java.lang.String currency, int spotDate, CalibratableComponent[] calibratableComponentArray, double[] quoteArray, java.lang.String manifestMeasure)	Construct an Instance of the Shape Preserver of the Cubic Polynomial Type, using the Specified Basis Set Builder Parameters.
static GovvieCurve	ScenarioGovvieCurveBuilder.CustomSplineCurve(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray, SegmentCustomBuilderControl segmentCustomBuilderControl)	Create an Instance of the Custom Splined Govvie Yield Curve
static GovvieCurve	ScenarioGovvieCurveBuilder.DateYield(int epochDate, java.lang.String treasuryCode, java.lang.String currency, int[] dateArray, double[] yieldArray)	Construct a Govvie Curve from an Array of Dates and Yields
static GovvieCurve	ScenarioGovvieCurveBuilder.KaklisPandelisCurve(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray)	Create an Instance of the Kaklis-Pandelis Splined Govvie Yield Curve
static GovvieCurve	ScenarioGovvieCurveBuilder.KLKHyperbolicCurve(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray, double tension)	Create an Instance of the KLK Hyperbolic Splined Govvie Yield Curve
static GovvieCurve	ScenarioGovvieCurveBuilder.KLKRationalLinearCurve(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray, double tension)	Create an Instance of the KLK Rational Linear Splined Govvie Yield Curve
static GovvieCurve	ScenarioGovvieCurveBuilder.KLKRationalQuadraticCurve(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray, double tension)	Create an Instance of the KLK Rational Quadratic Splined Govvie Yield Curve
static GovvieCurve	ScenarioGovvieCurveBuilder.LinearPolynomialCurve(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray)	Create an Instance of the Linear Polynomial Splined Govvie Yield Curve
static GovvieCurve	ScenarioGovvieCurveBuilder.LinearPolyShapePreserver(java.lang.String name, java.lang.String treasuryCode, java.lang.String currency, int spotDate, CalibratableComponent[] calibratableComponentArray, double[] quoteArray, java.lang.String manifestMeasure)	Construct an Instance of the Shape Preserver of the Linear Polynomial Type, using the Specified Basis Set Builder Parameters.
static GovvieCurve	ScenarioGovvieCurveBuilder.QuarticPolynomialCurve(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray)	Create an Instance of the Quartic Polynomial Splined Govvie Yield Curve
static GovvieCurve	ScenarioGovvieCurveBuilder.ShapePreservingGovvieCurve(java.lang.String name, java.lang.String treasuryCode, java.lang.String currency, ValuationParams valuationParams, CreditPricerParams creditPricerParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, ValuationCustomizationParams valuationCustomizationParams, java.lang.String basisType, FunctionSetBuilderParams functionSetBuilderParams, SegmentInelasticDesignControl segmentInelasticDesignControl, CalibratableComponent[] calibratableComponentArray, java.lang.String manifestMeasure, double[] quoteArray)	Construct an Instance of the Shape Preserver of the desired Basis Spline Type, using the specified Basis Spline Set Builder Parameters.
static GovvieCurve	ScenarioGovvieCurveBuilder.ShapePreservingGovvieCurve(LinearLatentStateCalibrator linearLatentStateCalibrator, LatentStateStretchSpec[] latentStateStretchSpecArray, java.lang.String treasuryCode, java.lang.String currency, ValuationParams valuationParams, CreditPricerParams creditPricerParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, ValuationCustomizationParams valuationCustomizationParams, double epochResponse)	Build the Shape Preserving Govvie Curve using the Custom Parameters

Uses of GovvieCurve in org.drip.state.credit

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

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 GovvieCurve in org.drip.state.curve

Subclasses of GovvieCurve in org.drip.state.curve

Modifier and Type	Class	Description
class	BasisSplineGovvieYield	BasisSplineGovvieYield manages the Basis Spline Latent State, using the Basis as the State Response Representation, for the Govvie Curve with Yield Quantification Metric.

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

Modifier and Type	Method	Description
static DerivedZeroRate	DerivedZeroRate.FromGovvieCurve(int zeroCurveFrequency, java.lang.String zeroCurveDayCountConvention, java.lang.String zeroCurveCalendar, boolean zeroCurveApplyEOMAdjustment, java.util.List<CompositePeriod> couponPeriodList, int workoutDate, int valuationDate, int cashPayDate, GovvieCurve govvieCurve, double zeroCurveBump, ValuationCustomizationParams valuationCustomizationParams, SegmentCustomBuilderControl segmentCustomBuilderControl)	Construct an Instance from the Govvie Curve and the related Parameters

Uses of GovvieCurve in org.drip.state.govvie

Subclasses of GovvieCurve in org.drip.state.govvie

Modifier and Type	Class	Description
class	ExplicitBootGovvieCurve	ExplicitBootGovvieCurve exposes the Functionality associated with the bootstrapped Govvie Curve.

Uses of GovvieCurve in org.drip.state.nonlinear

Subclasses of GovvieCurve in org.drip.state.nonlinear

Modifier and Type	Class	Description
class	FlatForwardGovvieCurve	FlatForwardGovvieCurve manages the Govvie Latent State, using the Flat Forward Rate as the State Response Representation.
class	FlatYieldGovvieCurve	FlatYieldGovvieCurve manages the Govvie Latent State, using the Flat Yield as the State Response Representation.

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

Modifier and Type	Method	Description
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
static boolean	NonlinearCurveBuilder.DiscountCurve(ValuationParams valuationParams, Component[] calibrationComponentArray, double[] calibrationValueArray, java.lang.String[] calibrationMeasureArray, double bump, boolean flat, ExplicitBootDiscountCurve explicitBootDiscountCurve, GovvieCurve govvieCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Boot-strap a Discount Curve from the set of calibration components
static double	NonlinearCurveBuilder.DiscountCurveNode(ValuationParams valuationParams, Component component, double calibrationValue, java.lang.String calibrationMeasure, boolean flat, int curveSegmentIndex, ExplicitBootDiscountCurve explicitBootDiscountCurve, GovvieCurve govvieCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Calibrate a Single Discount Curve Segment from the corresponding Component

Uses of GovvieCurve in org.drip.state.sequence

Methods in org.drip.state.sequence that return GovvieCurve

Modifier and Type	Method	Description
GovvieCurve[]	PathGovvie.curveSequence(int pathCount)	Generate the Rd Path Govvie Curves using the Ground State Yield
GovvieCurve[][]	PathVertexGovvie.pathVertex(double timeIncrement)	Generate the Rd Path/Vertex Govvie Curves using the Initial Rd and a Fixed Evolution Time Width
GovvieCurve[][]	PathVertexGovvie.pathVertex(double[] timeIncrementArray)	Generate the Rd Path/Vertex Govvie Curves using the Initial Rd and the Evolution Time Increment Array
GovvieCurve[][]	PathVertexGovvie.pathVertex(int[] forwardEventDateArray)	Generate the Rd Path/Vertex Govvie Curves using the Initial Rd and the Array of Forward Evolution Dates
GovvieCurve[][]	PathVertexGovvie.pathVertex(java.lang.String[] forwardEvolutionTenorArray)	Generate the Rd Path/Vertex Govvie Curves using the Initial Rd and the Array of Forward Evolution Tenors