Package org.drip.state.repo

Class RepoCurve

java.lang.Object

org.drip.state.repo.RepoCurve

All Implemented Interfaces:

Curve, RepoEstimator, LatentState

Direct Known Subclasses:

BasisSplineRepoCurve, ExplicitBootRepoCurve

public abstract class RepoCurve
extends java.lang.Object
implements RepoEstimator, Curve

RepoCurve is the Stub for the Re-purchase Rate between applicable to the Specified Entity.

Module	Product Core Module
Library	Fixed Income Analytics
Project	Latent State Inference and Creation Utilities
Package	Latent State Repo Curve Estimator

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field	Description
static java.lang.String	LATENT_STATE_REPO	Repo Latent State
static java.lang.String	QUANTIFICATION_METRIC_REPO_RATE	Basis Latent State Quantification Metric - Discount Factor

Method Summary

Modifier and Type	Method	Description
CalibratableComponent[]	calibComp()	Retrieve the Calibration Components
Component	component()	Retrieve the Repo-able Component
java.lang.String	currency()	Get the Currency
LatentState	customTweakManifestMeasure(java.lang.String manifestMeasure, ManifestMeasureTweak manifestMeasureTweak)	Create a LatentState Instance from the Manifest Measure Tweak Parameters
LatentState	customTweakQuantificationMetric(ManifestMeasureTweak manifestMeasureTweak)	Create a LatentState Instance from the Quantification Metric Tweak Parameters
JulianDate	epoch()	Get the Epoch Date
LatentStateLabel	label()	Get the Curve Latent State Identifier Label
CaseInsensitiveTreeMap<java.lang.Double>	manifestMeasure(java.lang.String instrument)	Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve
LatentState	parallelShiftManifestMeasure(java.lang.String manifestMeasure, double shift)	Create a LatentState Instance from the Manifest Measure Parallel Shift
LatentState	parallelShiftQuantificationMetric(double shift)	Create a LatentState Instance from the Quantification Metric Parallel Shift
double	repo(java.lang.String tenor)	Calculate the Repo Rate to the given Tenor
double	repo(JulianDate date)	Calculate the Repo Rate to the given Date
boolean	setCCIS(CurveConstructionInputSet curveConstructionInputSet)	Set the Curve Construction Input Set Parameters
LatentState	shiftManifestMeasure(int spanIndex, java.lang.String manifestMeasure, double shift)	Create a LatentState Instance from the Shift of the Specified Manifest Measure

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.drip.state.repo.RepoEstimator

repo

Field Details

LATENT_STATE_REPO

public static final java.lang.String LATENT_STATE_REPO

Repo Latent State

See Also:

Constant Field Values

QUANTIFICATION_METRIC_REPO_RATE

public static final java.lang.String QUANTIFICATION_METRIC_REPO_RATE

Basis Latent State Quantification Metric - Discount Factor

See Also:

Constant Field Values

Method Details

epoch

public JulianDate epoch()

Description copied from interface: Curve

Get the Epoch Date

Specified by:

epoch in interface Curve

Returns:

The Epoch Date

component

public Component component()

Description copied from interface: RepoEstimator

Retrieve the Repo-able Component

Specified by:

component in interface RepoEstimator

Returns:

The Repo-able component

label

public LatentStateLabel label()

Description copied from interface: Curve

Get the Curve Latent State Identifier Label

Specified by:

label in interface Curve

Returns:

The Curve Latent State Identifier Label

currency

public java.lang.String currency()

Description copied from interface: Curve

Get the Currency

Specified by:

currency in interface Curve

Returns:

Currency

repo

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

Description copied from interface: RepoEstimator

Calculate the Repo Rate to the given Date

Specified by:

repo in interface RepoEstimator

Parameters:

date - Date

Returns:

The Repo Rate

Throws:

java.lang.Exception - Thrown if the Repo Rate cannot be calculated

repo

public double repo(java.lang.String tenor)
            throws java.lang.Exception

Description copied from interface: RepoEstimator

Calculate the Repo Rate to the given Tenor

Specified by:

repo in interface RepoEstimator

Parameters:

tenor - The Tenor

Returns:

The Repo Rate

Throws:

java.lang.Exception - Thrown if the Repo Rate cannot be calculated

setCCIS

public boolean setCCIS(CurveConstructionInputSet curveConstructionInputSet)

Description copied from interface: Curve

Set the Curve Construction Input Set Parameters

Specified by:

setCCIS in interface Curve

Parameters:

curveConstructionInputSet - The Curve Construction Input Set Parameters

Returns:

TRUE - Inputs successfully Set

calibComp

public CalibratableComponent[] calibComp()

Description copied from interface: Curve

Retrieve the Calibration Components

Specified by:

calibComp in interface Curve

Returns:

Array of Calibration Components

manifestMeasure

public CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure(java.lang.String instrument)

Description copied from interface: Curve

Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve

Specified by:

manifestMeasure in interface Curve

Parameters:

instrument - The Calibration Instrument's Code whose Manifest Measure Map is sought

Returns:

The Manifest Measure Map of the given Instrument used to construct the Curve

parallelShiftManifestMeasure

public LatentState parallelShiftManifestMeasure(java.lang.String manifestMeasure,
double shift)

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Parallel Shift

Specified by:

parallelShiftManifestMeasure in interface LatentState

Parameters:

manifestMeasure - The Specified Manifest Measure

shift - Parallel shift of the Manifest Measure

Returns:

New LatentState Instance corresponding to the Parallel Shifted Manifest Measure

shiftManifestMeasure

public LatentState shiftManifestMeasure(int spanIndex,
java.lang.String manifestMeasure,
double shift)

Description copied from interface: LatentState

Create a LatentState Instance from the Shift of the Specified Manifest Measure

Specified by:

shiftManifestMeasure in interface LatentState

Parameters:

spanIndex - Index into the Span that identifies the Instrument

manifestMeasure - The Specified Manifest Measure

shift - Shift of the Manifest Measure

Returns:

New LatentState Instance corresponding to the Shift of the Specified Manifest Measure

customTweakManifestMeasure

public LatentState customTweakManifestMeasure(java.lang.String manifestMeasure,
ManifestMeasureTweak manifestMeasureTweak)

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Tweak Parameters

Specified by:

customTweakManifestMeasure in interface LatentState

Parameters:

manifestMeasure - The Specified Manifest Measure

manifestMeasureTweak - Manifest Measure Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Manifest Measure

parallelShiftQuantificationMetric

public LatentState parallelShiftQuantificationMetric(double shift)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Parallel Shift

Specified by:

parallelShiftQuantificationMetric in interface LatentState

Parameters:

shift - Parallel shift of the Quantification Metric

Returns:

New LatentState Instance corresponding to the Parallel Shifted Quantification Metric

customTweakQuantificationMetric

public LatentState customTweakQuantificationMetric(ManifestMeasureTweak manifestMeasureTweak)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Tweak Parameters

Specified by:

customTweakQuantificationMetric in interface LatentState

Parameters:

manifestMeasureTweak - Quantification Metric Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Quantification Metric