Package org.drip.state.sequence

Class GovvieBuilderSettings

java.lang.Object
org.drip.state.sequence.GovvieBuilderSettings
public class GovvieBuilderSettings
extends java.lang.Object
GovvieBuilderSettings exposes the Functionality to generate a Sequence of Govvie Curve Realizations across Multiple Paths.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    GovvieBuilderSettings​(JulianDate spotDate, java.lang.String treasuryCode, java.lang.String[] tenorArray, double[] treasuryCouponArray, double[] treasuryYieldArray)
    GovvieBuilderSettings Constructor

  • Method Summary

    Modifier and Type Method Description
    java.lang.String code()
    Retrieve the Treasury Code
    double[] coupon()
    Retrieve the Calibration Treasury Coupon Array
    int dimension()
    Retrieve the Calibration Instrument Dimension
    double[] groundForwardYield()
    Retrieve the Ground Forward Yield Array
    BasisSplineGovvieYield groundState()
    Retrieve the Ground State Govvie Curve
    JulianDate spot()
    Retrieve the Spot Date
    java.lang.String[] tenors()
    Retrieve the Treasury Maturity Tenor Array
    double[] yield()
    Retrieve the Calibration Treasury Yield Array

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • GovvieBuilderSettings

      public GovvieBuilderSettings​(JulianDate spotDate, java.lang.String treasuryCode, java.lang.String[] tenorArray, double[] treasuryCouponArray, double[] treasuryYieldArray) throws java.lang.Exception
      GovvieBuilderSettings Constructor
      Parameters:
      spotDate - The Spot Date
      treasuryCode - The Treasury Code
      tenorArray - Array of Maturity Tenors
      treasuryCouponArray - Array of Treasury Coupon
      treasuryYieldArray - Array of Treasury Yield
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • spot

      public JulianDate spot()
      Retrieve the Spot Date
      Returns:
      The Spot Date

    • code

      public java.lang.String code()
      Retrieve the Treasury Code
      Returns:
      The Treasury Code

    • tenors

      public java.lang.String[] tenors()
      Retrieve the Treasury Maturity Tenor Array
      Returns:
      The Treasury Maturity Tenor Array

    • coupon

      public double[] coupon()
      Retrieve the Calibration Treasury Coupon Array
      Returns:
      The Calibration Treasury Coupon Array

    • yield

      public double[] yield()
      Retrieve the Calibration Treasury Yield Array
      Returns:
      The Calibration Treasury Yield Array

    • groundState

      public BasisSplineGovvieYield groundState()
      Retrieve the Ground State Govvie Curve
      Returns:
      The Ground State Govvie Curve

    • groundForwardYield

      public double[] groundForwardYield()
      Retrieve the Ground Forward Yield Array
      Returns:
      The Ground Forward Yield Array

    • dimension

      public int dimension()
      Retrieve the Calibration Instrument Dimension
      Returns:
      The Calibration Instrument Dimension