Package org.drip.state.representation

Interface LatentState

All Known Subinterfaces:

Curve, ExplicitBootCurve

All Known Implementing Classes:

BasisCurve, BasisSplineBasisCurve, BasisSplineDeterministicVolatility, BasisSplineForwardRate, BasisSplineFXForward, BasisSplineGovvieYield, BasisSplineMarketSurface, BasisSplineRepoCurve, BasisSplineTermStructure, CreditCurve, DerivedZeroRate, DeterministicCollateralChoiceDiscountCurve, DiscountCurve, DiscountFactorDiscountCurve, ExplicitBootCreditCurve, ExplicitBootDiscountCurve, ExplicitBootFXCurve, ExplicitBootGovvieCurve, ExplicitBootRepoCurve, ExplicitBootVolatilityCurve, FlatForwardDiscountCurve, FlatForwardForwardCurve, FlatForwardFXCurve, FlatForwardGovvieCurve, FlatForwardRepoCurve, FlatForwardVolatilityCurve, FlatYieldGovvieCurve, ForeignCollateralizedDiscountCurve, ForwardCurve, ForwardHazardCreditCurve, FXCurve, GovvieCurve, MarketSurface, MergedDiscountForwardCurve, MultilateralFlatForwardCurve, NodeStructure, RepoCurve, VolatilityCurve, ZeroCurve, ZeroRateDiscountCurve

public interface LatentState

LatentState exposes the functionality to manipulate the hidden Variable's Latent State. Specifically it exports functions to:

• Produce node shifted, parallel shifted, and custom manifest-measure tweaked variants of the Latent State
• Produce parallel shifted and custom quantification metric tweaked variants of the Latent State

Module	Product Core Module
Library	Fixed Income Analytics
Project	Latent State Inference and Creation Utilities
Package	Latent State Merge Sub-stretch

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
LatentState	customTweakManifestMeasure(java.lang.String manifestMeasure, ManifestMeasureTweak manifestMeasureTweak)	Create a LatentState Instance from the Manifest Measure Tweak Parameters
LatentState	customTweakQuantificationMetric(ManifestMeasureTweak rvtp)	Create a LatentState Instance from the Quantification Metric Tweak Parameters
LatentState	parallelShiftManifestMeasure(java.lang.String manifestMeasure, double shift)	Create a LatentState Instance from the Manifest Measure Parallel Shift
LatentState	parallelShiftQuantificationMetric(double dblShift)	Create a LatentState Instance from the Quantification Metric Parallel Shift
LatentState	shiftManifestMeasure(int spanIndex, java.lang.String manifestMeasure, double shift)	Create a LatentState Instance from the Shift of the Specified Manifest Measure

Method Details

parallelShiftManifestMeasure

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

Create a LatentState Instance from the Manifest Measure Parallel Shift

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

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

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

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

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

Create a LatentState Instance from the Manifest Measure Tweak Parameters

Parameters:

manifestMeasure - The Specified Manifest Measure

manifestMeasureTweak - Manifest Measure Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Manifest Measure

parallelShiftQuantificationMetric

LatentState parallelShiftQuantificationMetric(double dblShift)

Create a LatentState Instance from the Quantification Metric Parallel Shift

Parameters:

dblShift - Parallel shift of the Quantification Metric

Returns:

New LatentState Instance corresponding to the Parallel Shifted Quantification Metric

customTweakQuantificationMetric

LatentState customTweakQuantificationMetric(ManifestMeasureTweak rvtp)

Create a LatentState Instance from the Quantification Metric Tweak Parameters

Parameters:

rvtp - Quantification Metric Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Quantification Metric