public class CustomFundingCurveBuilder
extends java.lang.Object
CustomFundingCurveBuilder funding curve calibration and input instrument calibration quote recovery. It
shows the following:
- Construct the Array of Deposit/Swap Instruments and their Quotes from the given set of parameters.
- Construct the Deposit/Swap Instrument Set Stretch Builder.
- Set up the Linear Curve Calibrator using the following parameters:
- Cubic Exponential Mixture Basis Spline Set
- Ck = 2, Segment Curvature Penalty = 2
- Quadratic Rational Shape Controller
- Natural Boundary Setting
- Construct the Shape Preserving Discount Curve by applying the linear curve calibrator to the array
of Cash and Swap Stretches.
- Cross-Comparison of the Cash/Swap Calibration Instrument "Rate" metric across the different curve
construction methodologies.
- Author:
- Lakshmi Krishnamurthy