public class ShapePreservingOvernightZeroSmooth
extends java.lang.Object
ShapePreservingOvernightZeroSmooth demonstrates the usage of different shape preserving and smoothing
techniques involved in the Overnight curve creation. It shows the following:
- Construct the Array of Cash/OIS Instruments and their Quotes from the given set of parameters.
- Construct the Cash/OIS 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 OIS Discount Curve by applying the linear curve calibrator to the array of
Cash and OIS Stretches.
- Construct the Globally Smoothened OIS Discount Curve by applying the linear curve calibrator and the Global
Curve Control parameters to the array of Cash and OIS Stretches and the shape preserving discount
curve.
- Construct the Locally Smoothened OIS Discount Curve by applying the linear curve calibrator and the Local
Curve Control parameters to the array of Cash and OIS Stretches and the shape preserving discount
curve.
- Cross-Comparison of the Cash/OIS Calibration Instrument "Rate" metric across the different curve
construction methodologies.
- Cross-Comparison of the OIS Calibration Instrument "Rate" metric across the different curve
construction methodologies for a sequence of bespoke OIS instruments.
- Author:
- Lakshmi Krishnamurthy