org.drip.sample.funding

Class TemplatedFundingCurveBuilder

java.lang.Object

org.drip.sample.funding.TemplatedFundingCurveBuilder

public class TemplatedFundingCurveBuilder
extends java.lang.Object

TemplatedFundingCurveBuilder sample demonstrates the usage of the different pre-built Funding Curve Builders. It shows the following: - Construct the Array of Cash Instruments and their Quotes from the given set of parameters. - Construct the Array of Swap Instruments and their Quotes from the given set of parameters. - Construct the Cubic Tension KLK Hyperbolic Discount Factor Shape Preserver. - Construct the Cubic Tension KLK Hyperbolic Discount Factor Shape Preserver with Zero Rate Smoothening applied. - Construct the Cubic Polynomial Discount Factor Shape Preserver. - Construct the Cubic Polynomial Discount Factor Shape Preserver with Zero Rate Smoothening applied. - Construct the Discount Curve using the Bear Sterns' DENSE Methodology. - Construct the Discount Curve using the Bear Sterns' DUALDENSE Methodology. - Cross-Comparison of the Cash 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. - Cross-Comparison of the generated Discount Factor across the different curve construction Methodologies for different node points.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
TemplatedFundingCurveBuilder()

Method Summary

Modifier and Type	Method and Description
static void	main(java.lang.String[] astrArgs)
static void	TemplatedDiscountCurveBuilderSample(JulianDate dtSpot, java.lang.String strCurrency)

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

TemplatedFundingCurveBuilder

public TemplatedFundingCurveBuilder()

Method Detail

TemplatedDiscountCurveBuilderSample

public static final void TemplatedDiscountCurveBuilderSample(JulianDate dtSpot,
                                                             java.lang.String strCurrency)
                                                      throws java.lang.Exception

Throws:

java.lang.Exception

main

public static final void main(java.lang.String[] astrArgs)
                       throws java.lang.Exception

Throws:

java.lang.Exception