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DROP State

DROP State contains the Latent State Inference and Creation Utilities.

Component Packages

  • Basis DROP State Basis Package implements the Basis State Curve Construction/Estimation.

  • Boot DROP State Boot Package implements the Bootable Discount, Credit, and Volatility States.

  • Creator DROP State Creator Package implements the Scenario State Curve/Surface Builders.

  • Credit DROP State Credit Package contains the Credit Latent State Curve Representation.

  • CSA DROP State CSA Package contains the Credit Support Annex Latent State.

  • Curve DROP State Curve Package implements Basis Spline Based Latent States.

  • Discount DROP State Discount Package holds the Discount Curve Spline Latent State.

  • Estimator DROP State Estimator Package implements the Multi-Pass Customized Stretch Curve.

  • Forward DROP State Forward Package implements the Forward Latent State Curve Estimator.

  • FX DROP State FX Package implements the FX Latent State Curve Estimator.

  • Govvie DROP State Govvie Package implements the Govvie Latent State Curve Estimator.

  • Identifier DROP State Identifier Package contains the Latent State Identifier Labels.

  • Inference DROP State Inference Package implements the Latent State Stretch Sequence Inference.

  • Non Linear DROP State Non linear Package implements the Nonlinear (i.e., Boot) Latent State Construction.

  • Repo DROP State Repo Package holds the Latent State Repo Curve Estimator.

  • Representation DROP State Representation Package contains the Latent State Merge Sub-stretch.

  • Sequence DROP State Sequence Package contains the Monte Carlo Path State Realizations.

  • Volatility DROP State Volatility Package holds the Latent State Volatility Curve/Surface.

DROP Specifications