Package org.drip.state.nonlinear

Class FlatForwardForwardCurve

java.lang.Object

org.drip.state.forward.ForwardCurve

org.drip.state.nonlinear.FlatForwardForwardCurve

All Implemented Interfaces:

Curve, ForwardRateEstimator, LatentState

public class FlatForwardForwardCurve
extends ForwardCurve

FlatForwardForwardCurve contains an implementation of the flat forward rate forward curve.

Module	Product Core Module
Library	Fixed Income Analytics
Project	Latent State Inference and Creation Utilities
Package	Nonlinear (i.e., Boot) Latent State Construction

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
FlatForwardForwardCurve(JulianDate epochDate, ForwardLabel forwardLabel, double flatForwardRate)	FlatForwardForwardCurve constructor

Method Summary

Modifier and Type	Method	Description
double	forward(int date)	Calculate the Forward Rate to the given Date
WengertJacobian	jackDForwardDManifestMeasure(java.lang.String manifestMeasure, int date)	Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date

Methods inherited from class org.drip.state.forward.ForwardCurve

calibComp, currency, customTweakManifestMeasure, customTweakQuantificationMetric, epoch, forward, forward, index, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, label, manifestMeasure, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, setCCIS, shiftManifestMeasure, tenor

Methods inherited from class java.lang.Object

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

Constructor Details

FlatForwardForwardCurve

public FlatForwardForwardCurve(JulianDate epochDate,
ForwardLabel forwardLabel,
double flatForwardRate)
                        throws java.lang.Exception

FlatForwardForwardCurve constructor

Parameters:

epochDate - The Forward Curve Epoch Date

forwardLabel - The Floating Rate Index Forward Label

flatForwardRate - The Flat FOrward Rate

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

forward

public double forward(int date)
               throws java.lang.Exception

Description copied from interface: ForwardRateEstimator

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

jackDForwardDManifestMeasure

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

Description copied from class: ForwardCurve

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

Specified by:

jackDForwardDManifestMeasure in class ForwardCurve

Parameters:

manifestMeasure - Manifest Measure

date - Date

Returns:

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