public class CustomFundingCurveReconciler
extends java.lang.Object
CustomFundingCurveReconciler demonstrates the multi-stretch transition custom Funding curve
construction, turns application, discount factor extraction, and calibration quote recovery. It shows the
following steps:
- Setup the linear curve calibrator.
- Setup the cash instruments and their quotes for calibration.
- Setup the cash instruments stretch latent state representation - this uses the discount factor
quantification metric and the "rate" manifest measure.
- Setup the swap instruments and their quotes for calibration.
- Setup the swap instruments stretch latent state representation - this uses the discount factor
quantification metric and the "rate" manifest measure.
- Calibrate over the instrument set to generate a new overlapping latent state span instance.
- Retrieve the "cash" stretch from the span.
- Retrieve the "swap" stretch from the span.
- Create a discount curve instance by converting the overlapping stretch to an exclusive
non-overlapping stretch.
- Compare the discount factors and their monotonicity emitted from the discount curve, the
non-overlapping span, and the "swap" stretch across the range of tenor predictor ordinates.
- Cross-Recovery of the Cash Calibration Instrument "Rate" metric across the different curve
construction methodologies.
- Cross-Recovery of the Swap Calibration Instrument "Rate" metric across the different curve
construction methodologies.
- Create a turn list instance and add new turn instances.
- Update the discount curve with the turn list.
- Compare the discount factor implied the discount curve with and without applying the turns
adjustment.
- Author:
- Lakshmi Krishnamurthy