Package org.drip.state.nonlinear

Class FlatForwardGovvieCurve

java.lang.Object

org.drip.state.discount.DiscountCurve

org.drip.state.govvie.GovvieCurve

org.drip.state.govvie.ExplicitBootGovvieCurve

org.drip.state.nonlinear.FlatForwardGovvieCurve

All Implemented Interfaces:

Curve, ExplicitBootCurve, DiscountFactorEstimator, YieldEstimator, LatentState

public class FlatForwardGovvieCurve
extends ExplicitBootGovvieCurve

FlatForwardGovvieCurve manages the Govvie Latent State, using the Flat Forward Rate as the State Response Representation.

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
FlatForwardGovvieCurve(int epochDate, java.lang.String treasuryCode, java.lang.String currency, int[] dateArray, double[] forwardYieldArray)	Construct a Govvie Curve from an Array of Dates and Flat Forward Yields

Method Summary

Modifier and Type	Method	Description
boolean	bumpNodeValue(int nodeIndex, double value)	Bump the node value at the node specified the index by the value
WengertJacobian	jackDForwardDManifestMeasure(java.lang.String manifestMeasure, int date)	Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
boolean	setFlatValue(double value)	Set the flat value across all the nodes
boolean	setNodeValue(int nodeIndex, double value)	Set the Value/Slope at the Node specified by the Index
double	yld(int date)	Calculate the Yield to the given Date

Methods inherited from class org.drip.state.govvie.ExplicitBootGovvieCurve

calibComp, manifestMeasure, setCCIS

Methods inherited from class org.drip.state.govvie.GovvieCurve

currency, customTweakManifestMeasure, customTweakQuantificationMetric, dayCount, df, df, df, effectiveDF, effectiveDF, effectiveDF, epoch, forwardYield, freq, jackDForwardDManifestMeasure, jackDForwardDManifestMeasure, label, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, shiftManifestMeasure, yieldDF, yld, yld

Methods inherited from class org.drip.state.discount.DiscountCurve

flatForward, flatNativeForward, flatNativeForward, flatNativeForwardEI

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.drip.analytics.definition.Curve

currency, epoch, label

Methods inherited from interface org.drip.state.representation.LatentState

customTweakManifestMeasure, customTweakQuantificationMetric, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, shiftManifestMeasure

Constructor Details

FlatForwardGovvieCurve

public FlatForwardGovvieCurve(int epochDate,
java.lang.String treasuryCode,
java.lang.String currency,
int[] dateArray,
double[] forwardYieldArray)
                       throws java.lang.Exception

Construct a Govvie Curve from an Array of Dates and Flat Forward Yields

Parameters:

epochDate - Epoch Date

treasuryCode - Treasury Code

currency - Currency

dateArray - Array of Dates

forwardYieldArray - Array of Forward Yields

Throws:

java.lang.Exception - Thrown if the curve cannot be created

Method Details

yld

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

Description copied from interface: YieldEstimator

Calculate the Yield to the given Date

Parameters:

date - Date

Returns:

The Yield

Throws:

java.lang.Exception - Thrown if the Yield cannot be calculated

setNodeValue

public boolean setNodeValue(int nodeIndex,
double value)

Description copied from interface: ExplicitBootCurve

Set the Value/Slope at the Node specified by the Index

Parameters:

nodeIndex - Node Index

value - Node Value

Returns:

Success (true), failure (false)

bumpNodeValue

public boolean bumpNodeValue(int nodeIndex,
double value)

Description copied from interface: ExplicitBootCurve

Bump the node value at the node specified the index by the value

Parameters:

nodeIndex - node index

value - node bump value

Returns:

Success (true), failure (false)

setFlatValue

public boolean setFlatValue(double value)

Description copied from interface: ExplicitBootCurve

Set the flat value across all the nodes

Parameters:

value - node value

Returns:

Success (true), failure (false)

jackDForwardDManifestMeasure

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

Description copied from class: GovvieCurve

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

Specified by:

jackDForwardDManifestMeasure in class GovvieCurve

Parameters:

manifestMeasure - Manifest Measure

date - Date

Returns:

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