public class OISCurveQuoteSensitivity
extends java.lang.Object
OISCurveQuoteSensitivity demonstrates the calculation of the OIS discount curve sensitivity to the
calibration instrument quotes. It does 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
- Construct the Shape Preserving OIS Discount Curve by applying the linear curve calibrator to the array
of Cash and OIS Stretches.
- Cross-Comparison of the Cash/OIS Calibration Instrument "Rate" metric across the different curve
construction methodologies.
- Display of the Cash Instrument Discount Factor Quote Jacobian Sensitivities.
- Display of the OIS Instrument Discount Factor Quote Jacobian Sensitivities.
- Author:
- Lakshmi Krishnamurthy