public class ShapePreservingZeroSmooth
extends java.lang.Object
ShapePreservingZeroSmooth demonstrates the usage of different shape preserving and smoothing techniques
involved in the funding curve creation. It shows the following:
- Construct the Array of Cash/Swap Instruments and their Quotes from the given set of parameters.
- Construct the Cash/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
- Set up the Global Curve Control parameters as follows:
- Zero Rate Quantification Metric
- Cubic Polynomial Basis Spline Set
- Ck = 2, Segment Curvature Penalty = 2
- Quadratic Rational Shape Controller
- Natural Boundary Setting
- Set up the Local Curve Control parameters as follows:
- C1 Bessel Monotone Smoothener with no spurious extrema elimination and no monotone filter
- Zero Rate Quantification Metric
- Cubic Polynomial 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.
- Construct the Globally Smoothened Discount Curve by applying the linear curve calibrator and the Global
Curve Control parameters to the array of Cash and Swap Stretches and the shape preserving discount
curve.
- Construct the Locally Smoothened Discount Curve by applying the linear curve calibrator and the Local
Curve Control parameters to the array of Cash and Swap Stretches and the shape preserving discount
curve.
- Cross-Comparison of the Cash/Swap Calibration Instrument "Rate" metric across the different curve
construction methodologies.
- Cross-Comparison of the Swap Calibration Instrument "Rate" metric across the different curve
construction methodologies for a sequence of bespoke swap instruments.
- Author:
- Lakshmi Krishnamurthy