public class CustomDiscountCurveBuilder
extends java.lang.Object
CustomDiscountCurveBuilder contains samples that demo how to build a discount curve from purely the cash
flows. It provides for elaborate curve builder control, both at the segment level and at the Stretch
level. In particular, it shows the following:
- Construct a discount curve from the discount factors available purely from the cash and the euro-dollar
instruments.
- Construct a discount curve from the cash flows available from the swap instruments.
In addition, the sample demonstrates the following ways of controlling curve construction:
- Control over the type of segment basis spline
- Control over the polynomial basis spline order, Ck, and tension parameters
- Provision of custom shape controllers (in this case rational shape controller)
- Calculation of segment monotonicity and convexity
- Author:
- Lakshmi Krishnamurthy