Package org.drip.state.nonlinear

Class FlatForwardRepoCurve

java.lang.Object

org.drip.state.repo.RepoCurve

org.drip.state.repo.ExplicitBootRepoCurve

org.drip.state.nonlinear.FlatForwardRepoCurve

All Implemented Interfaces:

Curve, ExplicitBootCurve, RepoEstimator, LatentState

public class FlatForwardRepoCurve
extends ExplicitBootRepoCurve

FlatForwardRepoCurve manages the Repo Latent State, using the Forward Repo 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

Field Summary

Fields inherited from class org.drip.state.repo.RepoCurve

LATENT_STATE_REPO, QUANTIFICATION_METRIC_REPO_RATE

Constructor Summary

Constructors

Constructor	Description
FlatForwardRepoCurve(int epochDate, Component repoComponent, int[] pillarDateArray, double[] forwardRepoRateArray)	FlatForwardRepoCurve Constructor

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
double	repo(int date)	Calculate the Repo 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

Methods inherited from class org.drip.state.repo.RepoCurve

calibComp, component, currency, customTweakManifestMeasure, customTweakQuantificationMetric, epoch, label, manifestMeasure, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, repo, repo, setCCIS, shiftManifestMeasure

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

calibComp, currency, epoch, label, manifestMeasure, setCCIS

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

customTweakManifestMeasure, customTweakQuantificationMetric, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, shiftManifestMeasure

Constructor Details

FlatForwardRepoCurve

public FlatForwardRepoCurve(int epochDate,
Component repoComponent,
int[] pillarDateArray,
double[] forwardRepoRateArray)
                     throws java.lang.Exception

FlatForwardRepoCurve Constructor

Parameters:

epochDate - Epoch Date

repoComponent - The Repo Component

pillarDateArray - Array of Pillar Dates

forwardRepoRateArray - Array of Repo Forward Rates

Throws:

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

Method Details

repo

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

Description copied from interface: RepoEstimator

Calculate the Repo Rate to the given Date

Parameters:

date - Date

Returns:

The Repo Rate

Throws:

java.lang.Exception - Thrown if the Repo Rate 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)