LatentStateStatic.java
- package org.drip.analytics.definition;
- /*
- * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
- */
- /*!
- * Copyright (C) 2020 Lakshmi Krishnamurthy
- * Copyright (C) 2019 Lakshmi Krishnamurthy
- * Copyright (C) 2018 Lakshmi Krishnamurthy
- * Copyright (C) 2017 Lakshmi Krishnamurthy
- * Copyright (C) 2016 Lakshmi Krishnamurthy
- * Copyright (C) 2015 Lakshmi Krishnamurthy
- * Copyright (C) 2014 Lakshmi Krishnamurthy
- *
- * This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
- * asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
- * analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
- * equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
- * numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
- * and computational support.
- *
- * https://lakshmidrip.github.io/DROP/
- *
- * DROP is composed of three modules:
- *
- * - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
- * - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
- * - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
- *
- * DROP Product Core implements libraries for the following:
- * - Fixed Income Analytics
- * - Loan Analytics
- * - Transaction Cost Analytics
- *
- * DROP Portfolio Core implements libraries for the following:
- * - Asset Allocation Analytics
- * - Asset Liability Management Analytics
- * - Capital Estimation Analytics
- * - Exposure Analytics
- * - Margin Analytics
- * - XVA Analytics
- *
- * DROP Computational Core implements libraries for the following:
- * - Algorithm Support
- * - Computation Support
- * - Function Analysis
- * - Model Validation
- * - Numerical Analysis
- * - Numerical Optimizer
- * - Spline Builder
- * - Statistical Learning
- *
- * Documentation for DROP is Spread Over:
- *
- * - Main => https://lakshmidrip.github.io/DROP/
- * - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
- * - GitHub => https://github.com/lakshmiDRIP/DROP
- * - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
- * - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
- * - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
- * - Release Versions => https://lakshmidrip.github.io/DROP/version.html
- * - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
- * - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
- * - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
- * - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
- *
- * Licensed under the Apache License, Version 2.0 (the "License");
- * you may not use this file except in compliance with the License.
- *
- * You may obtain a copy of the License at
- * http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- *
- * See the License for the specific language governing permissions and
- * limitations under the License.
- */
- /**
- * <i>LatentStateStatic</i> contains the Analytics Latent State Static/Textual Identifiers.
- *
- * <br><br>
- * <ul>
- * <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
- * <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
- * <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/analytics/README.md">Date, Cash Flow, and Cash Flow Period Measure Generation Utilities</a></li>
- * <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/analytics/definition/README.md">Latent State Curves, Surfaces, Turns</a></li>
- * </ul>
- *
- * @author Lakshmi Krishnamurthy
- */
- public class LatentStateStatic {
- /**
- * Forward Latent State
- */
- public static final java.lang.String LATENT_STATE_FORWARD = "LATENT_STATE_FORWARD";
- /**
- * Forward Latent State Quantification Metric - Forward Rate
- */
- public static final java.lang.String FORWARD_QM_FORWARD_RATE = "FORWARD_QM_FORWARD_RATE";
- /**
- * Forward Latent State Quantification Metric - LIBOR Rate
- */
- public static final java.lang.String FORWARD_QM_LIBOR_RATE = "FORWARD_QM_LIBOR_RATE";
- /**
- * Forward Latent State Quantification Metric - Shifted Forward Rate
- */
- public static final java.lang.String FORWARD_QM_SHIFTED_FORWARD_RATE = "FORWARD_QM_SHIFTED_FORWARD_RATE";
- /**
- * Forward Latent State Quantification Metric - Instantaneous Forward Rate
- */
- public static final java.lang.String FORWARD_QM_INSTANTANEOUS_FORWARD_RATE =
- "FORWARD_QM_INSTANTANEOUS_FORWARD_RATE";
- /**
- * Forward Latent State Quantification Metric - Continuously Compounded Forward Rate
- */
- public static final java.lang.String FORWARD_QM_CONTINUOUSLY_COMPOUNDED_FORWARD_RATE =
- "FORWARD_QM_CONTINUOUSLY_COMPOUNDED_FORWARD_RATE";
- /**
- * Forward Latent State Quantification Metric - Instantaneous Effective Annual Forward Rate
- */
- public static final java.lang.String FORWARD_QM_INSTANTANEOUS_EFFECTIVE_FORWARD_RATE =
- "FORWARD_QM_EFFECTIVE_ANNUAL_FORWARD_RATE";
- /**
- * Forward Latent State Quantification Metric - Instantaneous Nominal Annual Forward Rate
- */
- public static final java.lang.String FORWARD_QM_INSTANTANEOUS_NOMINAL_FORWARD_RATE =
- "FORWARD_QM_NOMINAL_ANNUAL_FORWARD_RATE";
- /**
- * Funding Latent State
- */
- public static final java.lang.String LATENT_STATE_FUNDING = "LATENT_STATE_FUNDING";
- /**
- * Discount Latent State Quantification Metric - Discount Factor
- */
- public static final java.lang.String DISCOUNT_QM_DISCOUNT_FACTOR = "DISCOUNT_QM_DISCOUNT_FACTOR";
- /**
- * Discount Latent State Quantification Metric - Zero Rate
- */
- public static final java.lang.String DISCOUNT_QM_ZERO_RATE = "DISCOUNT_QM_ZERO_RATE";
- /**
- * Discount Latent State Quantification Metric - Compounded Short Rate
- */
- public static final java.lang.String DISCOUNT_QM_COMPOUNDED_SHORT_RATE =
- "DISCOUNT_QM_COMPOUNDED_SHORT_RATE";
- /**
- * Discount Latent State Quantification Metric - Forward Rate
- */
- public static final java.lang.String DISCOUNT_QM_FORWARD_RATE = "DISCOUNT_QM_FORWARD_RATE";
- /**
- * Govvie Latent State
- */
- public static final java.lang.String LATENT_STATE_GOVVIE = "LATENT_STATE_GOVVIE";
- /**
- * Govvie Latent State Quantification Metric - Treasury Benchmark Yield
- */
- public static final java.lang.String GOVVIE_QM_YIELD = "GOVVIE_QM_YIELD";
- /**
- * FX Latent State
- */
- public static final java.lang.String LATENT_STATE_FX = "LATENT_STATE_FX";
- /**
- * FX Latent State Quantification Metric - FX Forward Outright
- */
- public static final java.lang.String FX_QM_FORWARD_OUTRIGHT = "FX_QM_FORWARD_OUTRIGHT";
- /**
- * Volatility Latent State
- */
- public static final java.lang.String LATENT_STATE_VOLATILITY = "LATENT_STATE_VOLATILITY";
- /**
- * Volatility Latent State Quantification Metric - SABR Volatility
- */
- public static final java.lang.String VOLATILITY_QM_SABR_VOLATILITY = "VOLATILITY_QM_SABR_VOLATILITY";
- /**
- * Volatility Latent State Quantification Metric - Lognormal Volatility
- */
- public static final java.lang.String VOLATILITY_QM_LOGNORMAL_VOLATILITY =
- "VOLATILITY_QM_LOGNORMAL_VOLATILITY";
- /**
- * Volatility Latent State Quantification Metric - Normal Volatility
- */
- public static final java.lang.String VOLATILITY_QM_NORMAL_VOLATILITY = "VOLATILITY_QM_NORMAL_VOLATILITY";
- }