org.drip.service.template

Class LatentMarketStateBuilder

java.lang.Object

org.drip.service.template.LatentMarketStateBuilder

public class LatentMarketStateBuilder
extends java.lang.Object

LatentMarketStateBuilder contains static Helper API to facilitate Construction of the Latent Market States as Curves/Surfaces.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
static int	SHAPE_PRESERVING Shape Preserving Latent State
static int	SMOOTH Smoothened Latent State

Constructor Summary

Constructors

Constructor and Description
LatentMarketStateBuilder()

Method Summary

Modifier and Type	Method and Description
static CaseInsensitiveTreeMap<CreditCurve>	BumpedCreditCurve(JulianDate dtSpot, java.lang.String strCredit, java.lang.String[] astrMaturityTenor, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc, double dblBump, boolean bIsProportional) Construct a Tenor + Parallel Map of Bumped Credit Curves from Overnight Exchange/OTC Market Instruments
static CaseInsensitiveTreeMap<ForwardCurve>	BumpedForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference, int iLatentStateType, double dblBump, boolean bIsProportional) Construct a Map of Tenor Bumped Forward Curve Based off of the Input Exchange/OTC Market Instruments
static CaseInsensitiveTreeMap<VolatilityCurve>	BumpedForwardVolatilityCurve(JulianDate dtSpot, ForwardLabel forwardLabel, boolean bIsCap, java.lang.String[] astrMaturityTenor, double[] adblStrike, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc, ForwardCurve fc, double dblBump, boolean bIsProportional) Construct a Tenor + Parallel Forward Volatility Latent State Construction from Cap/Floor Instruments
static CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	BumpedFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, int iLatentStateType, double dblBump, boolean bIsProportional) Construct a Map of Tenor Bumped Funding Curve Based off of the Input Exchange/OTC Market Instruments
static CaseInsensitiveTreeMap<FXCurve>	BumpedFXCurve(JulianDate dtSpot, CurrencyPair cp, java.lang.String[] astrMaturityTenor, double[] adblQuote, java.lang.String strMeasure, double dblFXSpot, int iLatentStateType, double dblBump, boolean bIsProportional) Construct a Tenor + Parallel Map of FX Curve from the FX Instruments
static CaseInsensitiveTreeMap<GovvieCurve>	BumpedGovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, int iLatentStateType, double dblBump, boolean bIsProportional) Construct a Tenor + Parallel Map of Govvie Curves from the Treasury Instruments
static CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	BumpedOvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure, int iLatentStateType, double dblBump, boolean bIsProportional) Construct a Map of Tenor + Parallel Bumped Overnight Curves
static CreditCurve	CreditCurve(JulianDate dtSpot, CreditDefaultSwap[] aCDS, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc) Construct a Credit Curve from the specified Calibration CDS Instruments
static CreditCurve	CreditCurve(JulianDate dtSpot, java.lang.String strCredit, java.lang.String[] astrMaturityTenor, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc) Construct a Credit Curve from Overnight Exchange/OTC Market Instruments
static ForwardCurve	ForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference, int iLatentStateType) Construct a Instance of the Smooth/Shape Preserving Forward Curve off of Exchange/OTC Market Instruments
static ForwardCurve	ForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference, SegmentCustomBuilderControl scbc) Construct a Instance of the Forward Curve off of Exchange/OTC Market Instruments
static VolatilityCurve	ForwardRateVolatilityCurve(JulianDate dtSpot, ForwardLabel forwardLabel, boolean bIsCap, java.lang.String[] astrMaturityTenor, double[] adblStrike, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc, ForwardCurve fc) Forward Rate Volatility Latent State Construction from Cap/Floor Instruments
static MergedDiscountForwardCurve	FundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, int iLatentStateType) Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments
static MergedDiscountForwardCurve	FundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, SegmentCustomBuilderControl scbc) Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified Spline
static FXCurve	FXCurve(JulianDate dtSpot, CurrencyPair cp, java.lang.String[] astrMaturityTenor, double[] adblQuote, java.lang.String strMeasure, double dblFXSpot, int iLatentStateType) Construct an FX Curve from the FX Forward Instruments
static FXCurve	FXCurve(JulianDate dtSpot, CurrencyPair cp, java.lang.String[] astrMaturityTenor, double[] adblQuote, java.lang.String strMeasure, double dblFXSpot, SegmentCustomBuilderControl scbc) Construct an FX Curve from the FX Forward Instruments
static GovvieCurve	GovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, int iLatentStateType) Construct a Govvie Curve from the Treasury Instruments
static GovvieCurve	GovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, SegmentCustomBuilderControl scbc) Construct a Govvie Curve from the Treasury Instruments
static MergedDiscountForwardCurve	OvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure, int iLatentStateType) Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
static MergedDiscountForwardCurve	OvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure, SegmentCustomBuilderControl scbc) Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
static ForwardCurve	ShapePreservingForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference) Construct a Instance of the Shape Preserving Forward Curve off of Exchange/OTC Market Instruments
static MergedDiscountForwardCurve	ShapePreservingFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure) Construct a Shape Preserving Funding Curve Based off of the Input Exchange/OTC Market Instruments
static FXCurve	ShapePreservingFXCurve(JulianDate dtSpot, CurrencyPair cp, java.lang.String[] astrMaturityTenor, double[] adblQuote, java.lang.String strMeasure, double dblFXSpot) Construct a Shape Preserving FX Curve from the FX Forward Instruments
static GovvieCurve	ShapePreservingGovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure) Construct a Shape Preserving Govvie Curve from the Treasury Instruments
static MergedDiscountForwardCurve	ShapePreservingOvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure) Construct a Shape Preserving Overnight Curve from Overnight Exchange/OTC Market Instruments
static ForwardCurve	SmoothForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference) Construct a Instance of Smooth Forward Curve off of Exchange/OTC Market Instruments
static MergedDiscountForwardCurve	SmoothFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure) Construct a Smooth Funding Curve Based off of the Input Exchange/OTC Market Instruments
static FXCurve	SmoothFXCurve(JulianDate dtSpot, CurrencyPair cp, java.lang.String[] astrMaturityTenor, double[] adblQuote, java.lang.String strMeasure, double dblFXSpot) Construct a Smooth FX Curve from the FX Forward Instruments
static GovvieCurve	SmoothGovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure) Construct a Smooth Govvie Curve from the Treasury Instruments
static MergedDiscountForwardCurve	SmoothOvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure) Construct a Smooth Overnight Curve from Overnight Exchange/OTC Market Instruments

Methods inherited from class java.lang.Object

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

Field Detail

SHAPE_PRESERVING

public static final int SHAPE_PRESERVING

Shape Preserving Latent State

See Also:

Constant Field Values

SMOOTH

public static final int SMOOTH

Smoothened Latent State

See Also:

Constant Field Values

Constructor Detail

LatentMarketStateBuilder

public LatentMarketStateBuilder()

Method Detail

FundingCurve

public static final MergedDiscountForwardCurve FundingCurve(JulianDate dtSpot,
                                                            java.lang.String strCurrency,
                                                            java.lang.String[] astrDepositMaturityTenor,
                                                            double[] adblDepositQuote,
                                                            java.lang.String strDepositMeasure,
                                                            double[] adblFuturesQuote,
                                                            java.lang.String strFuturesMeasure,
                                                            java.lang.String[] astrFixFloatMaturityTenor,
                                                            double[] adblFixFloatQuote,
                                                            java.lang.String strFixFloatMeasure,
                                                            SegmentCustomBuilderControl scbc)

Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified Spline

Parameters:

dtSpot - The Spot Date

strCurrency - Currency

astrDepositMaturityTenor - Array of Deposit Maturity Tenors

adblDepositQuote - Array of Deposit Quotes

strDepositMeasure - Deposit Calibration Measure

adblFuturesQuote - Array of Futures Quotes

strFuturesMeasure - Futures Calibration Measure

astrFixFloatMaturityTenor - Array of Fix Float Swap Maturity Tenors

adblFixFloatQuote - Array of Fix Float Swap Quotes

strFixFloatMeasure - Fix Float Calibration Measure

scbc - Segment Custom Builder Control

Returns:

The Funding Curve Instance

ShapePreservingFundingCurve

public static final MergedDiscountForwardCurve ShapePreservingFundingCurve(JulianDate dtSpot,
                                                                           java.lang.String strCurrency,
                                                                           java.lang.String[] astrDepositMaturityTenor,
                                                                           double[] adblDepositQuote,
                                                                           java.lang.String strDepositMeasure,
                                                                           double[] adblFuturesQuote,
                                                                           java.lang.String strFuturesMeasure,
                                                                           java.lang.String[] astrFixFloatMaturityTenor,
                                                                           double[] adblFixFloatQuote,
                                                                           java.lang.String strFixFloatMeasure)

Construct a Shape Preserving Funding Curve Based off of the Input Exchange/OTC Market Instruments

Parameters:

dtSpot - The Spot Date

strCurrency - Currency

astrDepositMaturityTenor - Array of Deposit Maturity Tenors

adblDepositQuote - Array of Deposit Quotes

strDepositMeasure - Deposit Calibration Measure

adblFuturesQuote - Array of Futures Quotes

strFuturesMeasure - Futures Calibration Measure

astrFixFloatMaturityTenor - Array of Fix Float Swap Maturity Tenors

adblFixFloatQuote - Array of Fix Float Swap Quotes

strFixFloatMeasure - Fix Float Calibration Measure

Returns:

The Funding Curve Instance

SmoothFundingCurve

public static final MergedDiscountForwardCurve SmoothFundingCurve(JulianDate dtSpot,
                                                                  java.lang.String strCurrency,
                                                                  java.lang.String[] astrDepositMaturityTenor,
                                                                  double[] adblDepositQuote,
                                                                  java.lang.String strDepositMeasure,
                                                                  double[] adblFuturesQuote,
                                                                  java.lang.String strFuturesMeasure,
                                                                  java.lang.String[] astrFixFloatMaturityTenor,
                                                                  double[] adblFixFloatQuote,
                                                                  java.lang.String strFixFloatMeasure)

Construct a Smooth Funding Curve Based off of the Input Exchange/OTC Market Instruments

Parameters:

dtSpot - The Spot Date

strCurrency - Currency

astrDepositMaturityTenor - Array of Deposit Maturity Tenors

adblDepositQuote - Array of Deposit Quotes

strDepositMeasure - Deposit Calibration Measure

adblFuturesQuote - Array of Futures Quotes

strFuturesMeasure - Futures Calibration Measure

astrFixFloatMaturityTenor - Array of Fix Float Swap Maturity Tenors

adblFixFloatQuote - Array of Fix Float Swap Quotes

strFixFloatMeasure - Fix Float Calibration Measure

Returns:

The Funding Curve Instance

FundingCurve

public static final MergedDiscountForwardCurve FundingCurve(JulianDate dtSpot,
                                                            java.lang.String strCurrency,
                                                            java.lang.String[] astrDepositMaturityTenor,
                                                            double[] adblDepositQuote,
                                                            java.lang.String strDepositMeasure,
                                                            double[] adblFuturesQuote,
                                                            java.lang.String strFuturesMeasure,
                                                            java.lang.String[] astrFixFloatMaturityTenor,
                                                            double[] adblFixFloatQuote,
                                                            java.lang.String strFixFloatMeasure,
                                                            int iLatentStateType)

Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments

Parameters:

dtSpot - The Spot Date

strCurrency - Currency

astrDepositMaturityTenor - Array of Deposit Maturity Tenors

adblDepositQuote - Array of Deposit Quotes

strDepositMeasure - Deposit Calibration Measure

adblFuturesQuote - Array of Futures Quotes

strFuturesMeasure - Futures Calibration Measure

astrFixFloatMaturityTenor - Array of Fix Float Swap Maturity Tenors

adblFixFloatQuote - Array of Fix Float Swap Quotes

strFixFloatMeasure - Fix Float Calibration Measure

iLatentStateType - SHAPE_PRESERVING/SMOOTH

Returns:

The Funding Curve Instance

ForwardCurve

public static final ForwardCurve ForwardCurve(JulianDate dtSpot,
                                              ForwardLabel forwardLabel,
                                              java.lang.String[] astrDepositMaturityTenor,
                                              double[] adblDepositQuote,
                                              java.lang.String strDepositMeasure,
                                              java.lang.String[] astrFRAMaturityTenor,
                                              double[] adblFRAQuote,
                                              java.lang.String strFRAMeasure,
                                              java.lang.String[] astrFixFloatMaturityTenor,
                                              double[] adblFixFloatQuote,
                                              java.lang.String strFixFloatMeasure,
                                              java.lang.String[] astrFloatFloatMaturityTenor,
                                              double[] adblFloatFloatQuote,
                                              java.lang.String strFloatFloatMeasure,
                                              java.lang.String[] astrSyntheticFloatFloatMaturityTenor,
                                              double[] adblSyntheticFloatFloatQuote,
                                              java.lang.String strSyntheticFloatFloatMeasure,
                                              MergedDiscountForwardCurve dc,
                                              ForwardCurve fcReference,
                                              SegmentCustomBuilderControl scbc)

Construct a Instance of the Forward Curve off of Exchange/OTC Market Instruments

Parameters:

dtSpot - Spot Date

forwardLabel - Forward Label

astrDepositMaturityTenor - Array of Deposit Maturity Tenors

adblDepositQuote - Array of the Deposit Instrument Quotes

strDepositMeasure - The Deposit Instrument Calibration Measure

astrFRAMaturityTenor - Array of FRA Maturity Tenors

adblFRAQuote - Array of the FRA Instrument Quotes

strFRAMeasure - The FRA Instrument Calibration Measure

astrFixFloatMaturityTenor - Array of Fix-Float Maturity Tenors

adblFixFloatQuote - Array of the Fix-Float Quotes

strFixFloatMeasure - The Fix-Float Calibration Measure

astrFloatFloatMaturityTenor - Array of Float-Float Maturity Tenors

adblFloatFloatQuote - Array of the Float-Float Quotes

strFloatFloatMeasure - The Float-Float Calibration Measure

astrSyntheticFloatFloatMaturityTenor - Array of Synthetic Float-Float Maturity Tenors

adblSyntheticFloatFloatQuote - Array of the Synthetic Float-Float Quotes

strSyntheticFloatFloatMeasure - The Synthetic Float-Float Calibration Measure

dc - The Base Discount Curve

fcReference - The Reference Forward Curve

scbc - Segment Custom Builder Control Parameters

Returns:

Instance of the Forward Curve

ShapePreservingForwardCurve

public static final ForwardCurve ShapePreservingForwardCurve(JulianDate dtSpot,
                                                             ForwardLabel forwardLabel,
                                                             java.lang.String[] astrDepositMaturityTenor,
                                                             double[] adblDepositQuote,
                                                             java.lang.String strDepositMeasure,
                                                             java.lang.String[] astrFRAMaturityTenor,
                                                             double[] adblFRAQuote,
                                                             java.lang.String strFRAMeasure,
                                                             java.lang.String[] astrFixFloatMaturityTenor,
                                                             double[] adblFixFloatQuote,
                                                             java.lang.String strFixFloatMeasure,
                                                             java.lang.String[] astrFloatFloatMaturityTenor,
                                                             double[] adblFloatFloatQuote,
                                                             java.lang.String strFloatFloatMeasure,
                                                             java.lang.String[] astrSyntheticFloatFloatMaturityTenor,
                                                             double[] adblSyntheticFloatFloatQuote,
                                                             java.lang.String strSyntheticFloatFloatMeasure,
                                                             MergedDiscountForwardCurve dc,
                                                             ForwardCurve fcReference)

Construct a Instance of the Shape Preserving Forward Curve off of Exchange/OTC Market Instruments

Parameters:

dtSpot - Spot Date

forwardLabel - Forward Label

astrDepositMaturityTenor - Array of Deposit Maturity Tenors

adblDepositQuote - Array of the Deposit Instrument Quotes

strDepositMeasure - The Deposit Instrument Calibration Measure

astrFRAMaturityTenor - Array of FRA Maturity Tenors

adblFRAQuote - Array of the FRA Instrument Quotes

strFRAMeasure - The FRA Instrument Calibration Measure

astrFixFloatMaturityTenor - Array of Fix-Float Maturity Tenors

adblFixFloatQuote - Array of the Fix-Float Quotes

strFixFloatMeasure - The Fix-Float Calibration Measure

astrFloatFloatMaturityTenor - Array of Float-Float Maturity Tenors

adblFloatFloatQuote - Array of the Float-Float Quotes

strFloatFloatMeasure - The Float-Float Calibration Measure

astrSyntheticFloatFloatMaturityTenor - Array of Synthetic Float-Float Maturity Tenors

adblSyntheticFloatFloatQuote - Array of the Synthetic Float-Float Quotes

strSyntheticFloatFloatMeasure - The Synthetic Float-Float Calibration Measure

dc - The Base Discount Curve

fcReference - The Reference Forward Curve

Returns:

Instance of the Forward Curve

SmoothForwardCurve

public static final ForwardCurve SmoothForwardCurve(JulianDate dtSpot,
                                                    ForwardLabel forwardLabel,
                                                    java.lang.String[] astrDepositMaturityTenor,
                                                    double[] adblDepositQuote,
                                                    java.lang.String strDepositMeasure,
                                                    java.lang.String[] astrFRAMaturityTenor,
                                                    double[] adblFRAQuote,
                                                    java.lang.String strFRAMeasure,
                                                    java.lang.String[] astrFixFloatMaturityTenor,
                                                    double[] adblFixFloatQuote,
                                                    java.lang.String strFixFloatMeasure,
                                                    java.lang.String[] astrFloatFloatMaturityTenor,
                                                    double[] adblFloatFloatQuote,
                                                    java.lang.String strFloatFloatMeasure,
                                                    java.lang.String[] astrSyntheticFloatFloatMaturityTenor,
                                                    double[] adblSyntheticFloatFloatQuote,
                                                    java.lang.String strSyntheticFloatFloatMeasure,
                                                    MergedDiscountForwardCurve dc,
                                                    ForwardCurve fcReference)

Construct a Instance of Smooth Forward Curve off of Exchange/OTC Market Instruments

Parameters:

dtSpot - Spot Date

forwardLabel - Forward Label

astrDepositMaturityTenor - Array of Deposit Maturity Tenors

adblDepositQuote - Array of the Deposit Instrument Quotes

strDepositMeasure - The Deposit Instrument Calibration Measure

astrFRAMaturityTenor - Array of FRA Maturity Tenors

adblFRAQuote - Array of the FRA Instrument Quotes

strFRAMeasure - The FRA Instrument Calibration Measure

astrFixFloatMaturityTenor - Array of Fix-Float Maturity Tenors

adblFixFloatQuote - Array of the Fix-Float Quotes

strFixFloatMeasure - The Fix-Float Calibration Measure

astrFloatFloatMaturityTenor - Array of Float-Float Maturity Tenors

adblFloatFloatQuote - Array of the Float-Float Quotes

strFloatFloatMeasure - The Float-Float Calibration Measure

astrSyntheticFloatFloatMaturityTenor - Array of Synthetic Float-Float Maturity Tenors

adblSyntheticFloatFloatQuote - Array of the Synthetic Float-Float Quotes

strSyntheticFloatFloatMeasure - The Synthetic Float-Float Calibration Measure

dc - The Base Discount Curve

fcReference - The Reference Forward Curve

Returns:

Instance of the Forward Curve

ForwardCurve

public static final ForwardCurve ForwardCurve(JulianDate dtSpot,
                                              ForwardLabel forwardLabel,
                                              java.lang.String[] astrDepositMaturityTenor,
                                              double[] adblDepositQuote,
                                              java.lang.String strDepositMeasure,
                                              java.lang.String[] astrFRAMaturityTenor,
                                              double[] adblFRAQuote,
                                              java.lang.String strFRAMeasure,
                                              java.lang.String[] astrFixFloatMaturityTenor,
                                              double[] adblFixFloatQuote,
                                              java.lang.String strFixFloatMeasure,
                                              java.lang.String[] astrFloatFloatMaturityTenor,
                                              double[] adblFloatFloatQuote,
                                              java.lang.String strFloatFloatMeasure,
                                              java.lang.String[] astrSyntheticFloatFloatMaturityTenor,
                                              double[] adblSyntheticFloatFloatQuote,
                                              java.lang.String strSyntheticFloatFloatMeasure,
                                              MergedDiscountForwardCurve dc,
                                              ForwardCurve fcReference,
                                              int iLatentStateType)

Construct a Instance of the Smooth/Shape Preserving Forward Curve off of Exchange/OTC Market Instruments

Parameters:

dtSpot - Spot Date

forwardLabel - Forward Label

astrDepositMaturityTenor - Array of Deposit Maturity Tenors

adblDepositQuote - Array of the Deposit Instrument Quotes

strDepositMeasure - The Deposit Instrument Calibration Measure

astrFRAMaturityTenor - Array of FRA Maturity Tenors

adblFRAQuote - Array of the FRA Instrument Quotes

strFRAMeasure - The FRA Instrument Calibration Measure

astrFixFloatMaturityTenor - Array of Fix-Float Maturity Tenors

adblFixFloatQuote - Array of the Fix-Float Quotes

strFixFloatMeasure - The Fix-Float Calibration Measure

astrFloatFloatMaturityTenor - Array of Float-Float Maturity Tenors

adblFloatFloatQuote - Array of the Float-Float Quotes

strFloatFloatMeasure - The Float-Float Calibration Measure

astrSyntheticFloatFloatMaturityTenor - Array of Synthetic Float-Float Maturity Tenors

adblSyntheticFloatFloatQuote - Array of the Synthetic Float-Float Quotes

strSyntheticFloatFloatMeasure - The Synthetic Float-Float Calibration Measure

dc - The Base Discount Curve

fcReference - The Reference Forward Curve

iLatentStateType - SHAPE_PRESERVING/SMOOTH

Returns:

Instance of the Forward Curve

OvernightCurve

public static final MergedDiscountForwardCurve OvernightCurve(JulianDate dtSpot,
                                                              java.lang.String strCurrency,
                                                              java.lang.String[] astrDepositMaturityTenor,
                                                              double[] adblDepositQuote,
                                                              java.lang.String strDepositMeasure,
                                                              java.lang.String[] astrShortEndOISMaturityTenor,
                                                              double[] adblShortEndOISQuote,
                                                              java.lang.String strShortEndOISMeasure,
                                                              java.lang.String[] astrOISFuturesEffectiveTenor,
                                                              java.lang.String[] astrOISFuturesMaturityTenor,
                                                              double[] adblOISFuturesQuote,
                                                              java.lang.String strOISFuturesMeasure,
                                                              java.lang.String[] astrLongEndOISMaturityTenor,
                                                              double[] adblLongEndOISQuote,
                                                              java.lang.String strLongEndOISMeasure,
                                                              SegmentCustomBuilderControl scbc)

Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments

Parameters:

dtSpot - Spot Date

strCurrency - Currency

astrDepositMaturityTenor - Array of Deposit Maturity Tenors

adblDepositQuote - Array of Deposit Quotes

strDepositMeasure - Deposit Measure

astrShortEndOISMaturityTenor - Array of Short End OIS Maturity Tenors

adblShortEndOISQuote - Array of Short End OIS Quotes

strShortEndOISMeasure - Short End OIS Measure

astrOISFuturesEffectiveTenor - Array of OIS Futures Effective Tenors

astrOISFuturesMaturityTenor - Array of OIS Futures Maturity Tenors

adblOISFuturesQuote - Array of OIS Futures Quotes

strOISFuturesMeasure - OIS Futures Measure

astrLongEndOISMaturityTenor - Array of Long End OIS Maturity Tenors

adblLongEndOISQuote - Array of Long End OIS Quotes

strLongEndOISMeasure - Long End OIS Measure

scbc - Segment Custom Builder Control

Returns:

Overnight Curve from Overnight OTC Instruments

ShapePreservingOvernightCurve

public static final MergedDiscountForwardCurve ShapePreservingOvernightCurve(JulianDate dtSpot,
                                                                             java.lang.String strCurrency,
                                                                             java.lang.String[] astrDepositMaturityTenor,
                                                                             double[] adblDepositQuote,
                                                                             java.lang.String strDepositMeasure,
                                                                             java.lang.String[] astrShortEndOISMaturityTenor,
                                                                             double[] adblShortEndOISQuote,
                                                                             java.lang.String strShortEndOISMeasure,
                                                                             java.lang.String[] astrOISFuturesEffectiveTenor,
                                                                             java.lang.String[] astrOISFuturesMaturityTenor,
                                                                             double[] adblOISFuturesQuote,
                                                                             java.lang.String strOISFuturesMeasure,
                                                                             java.lang.String[] astrLongEndOISMaturityTenor,
                                                                             double[] adblLongEndOISQuote,
                                                                             java.lang.String strLongEndOISMeasure)

Construct a Shape Preserving Overnight Curve from Overnight Exchange/OTC Market Instruments

Parameters:

dtSpot - Spot Date

strCurrency - Currency

astrDepositMaturityTenor - Array of Deposit Maturity Tenors

adblDepositQuote - Array of Deposit Quotes

strDepositMeasure - Deposit Measure

astrShortEndOISMaturityTenor - Array of Short End OIS Maturity Tenors

adblShortEndOISQuote - Array of Short End OIS Quotes

strShortEndOISMeasure - Short End OIS Measure

astrOISFuturesEffectiveTenor - Array of OIS Futures Effective Tenors

astrOISFuturesMaturityTenor - Array of OIS Futures Maturity Tenors

adblOISFuturesQuote - Array of OIS Futures Quotes

strOISFuturesMeasure - OIS Futures Measure

astrLongEndOISMaturityTenor - Array of Long End OIS Maturity Tenors

adblLongEndOISQuote - Array of Long End OIS Quotes

strLongEndOISMeasure - Long End OIS Measure

Returns:

Overnight Curve from Overnight OTC Instruments

SmoothOvernightCurve

public static final MergedDiscountForwardCurve SmoothOvernightCurve(JulianDate dtSpot,
                                                                    java.lang.String strCurrency,
                                                                    java.lang.String[] astrDepositMaturityTenor,
                                                                    double[] adblDepositQuote,
                                                                    java.lang.String strDepositMeasure,
                                                                    java.lang.String[] astrShortEndOISMaturityTenor,
                                                                    double[] adblShortEndOISQuote,
                                                                    java.lang.String strShortEndOISMeasure,
                                                                    java.lang.String[] astrOISFuturesEffectiveTenor,
                                                                    java.lang.String[] astrOISFuturesMaturityTenor,
                                                                    double[] adblOISFuturesQuote,
                                                                    java.lang.String strOISFuturesMeasure,
                                                                    java.lang.String[] astrLongEndOISMaturityTenor,
                                                                    double[] adblLongEndOISQuote,
                                                                    java.lang.String strLongEndOISMeasure)

Construct a Smooth Overnight Curve from Overnight Exchange/OTC Market Instruments

Parameters:

dtSpot - Spot Date

strCurrency - Currency

astrDepositMaturityTenor - Array of Deposit Maturity Tenors

adblDepositQuote - Array of Deposit Quotes

strDepositMeasure - Deposit Measure

astrShortEndOISMaturityTenor - Array of Short End OIS Maturity Tenors

adblShortEndOISQuote - Array of Short End OIS Quotes

strShortEndOISMeasure - Short End OIS Measure

astrOISFuturesEffectiveTenor - Array of OIS Futures Effective Tenors

astrOISFuturesMaturityTenor - Array of OIS Futures Maturity Tenors

adblOISFuturesQuote - Array of OIS Futures Quotes

strOISFuturesMeasure - OIS Futures Measure

astrLongEndOISMaturityTenor - Array of Long End OIS Maturity Tenors

adblLongEndOISQuote - Array of Long End OIS Quotes

strLongEndOISMeasure - Long End OIS Measure

Returns:

Overnight Curve from Overnight OTC Instruments

OvernightCurve

public static final MergedDiscountForwardCurve OvernightCurve(JulianDate dtSpot,
                                                              java.lang.String strCurrency,
                                                              java.lang.String[] astrDepositMaturityTenor,
                                                              double[] adblDepositQuote,
                                                              java.lang.String strDepositMeasure,
                                                              java.lang.String[] astrShortEndOISMaturityTenor,
                                                              double[] adblShortEndOISQuote,
                                                              java.lang.String strShortEndOISMeasure,
                                                              java.lang.String[] astrOISFuturesEffectiveTenor,
                                                              java.lang.String[] astrOISFuturesMaturityTenor,
                                                              double[] adblOISFuturesQuote,
                                                              java.lang.String strOISFuturesMeasure,
                                                              java.lang.String[] astrLongEndOISMaturityTenor,
                                                              double[] adblLongEndOISQuote,
                                                              java.lang.String strLongEndOISMeasure,
                                                              int iLatentStateType)

Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments

Parameters:

dtSpot - Spot Date

strCurrency - Currency

astrDepositMaturityTenor - Array of Deposit Maturity Tenors

adblDepositQuote - Array of Deposit Quotes

strDepositMeasure - Deposit Measure

astrShortEndOISMaturityTenor - Array of Short End OIS Maturity Tenors

adblShortEndOISQuote - Array of Short End OIS Quotes

strShortEndOISMeasure - Short End OIS Measure

astrOISFuturesEffectiveTenor - Array of OIS Futures Effective Tenors

astrOISFuturesMaturityTenor - Array of OIS Futures Maturity Tenors

adblOISFuturesQuote - Array of OIS Futures Quotes

strOISFuturesMeasure - OIS Futures Measure

astrLongEndOISMaturityTenor - Array of Long End OIS Maturity Tenors

adblLongEndOISQuote - Array of Long End OIS Quotes

strLongEndOISMeasure - Long End OIS Measure

iLatentStateType - SHAPE PRESERVING/SMOOTH

Returns:

Overnight Curve from Overnight OTC Instruments

CreditCurve

public static final CreditCurve CreditCurve(JulianDate dtSpot,
                                            java.lang.String strCredit,
                                            java.lang.String[] astrMaturityTenor,
                                            double[] adblCoupon,
                                            double[] adblQuote,
                                            java.lang.String strMeasure,
                                            MergedDiscountForwardCurve dc)

Construct a Credit Curve from Overnight Exchange/OTC Market Instruments

Parameters:

dtSpot - Spot Date

strCredit - Credit Curve

astrMaturityTenor - Maturity Tenor

adblCoupon - Coupon Array

adblQuote - Array of Market Quotes

strMeasure - Calibration Measure

dc - Discount Curve

Returns:

The Credit Curve Instance

CreditCurve

public static final CreditCurve CreditCurve(JulianDate dtSpot,
                                            CreditDefaultSwap[] aCDS,
                                            double[] adblQuote,
                                            java.lang.String strMeasure,
                                            MergedDiscountForwardCurve dc)

Construct a Credit Curve from the specified Calibration CDS Instruments

Parameters:

dtSpot - Spot Date

aCDS - Array of the Calibration CDS Instruments

adblQuote - Array of Market Quotes

strMeasure - Calibration Measure

dc - Discount Curve

Returns:

The Credit Curve Instance

GovvieCurve

public static final GovvieCurve GovvieCurve(java.lang.String strCode,
                                            JulianDate dtSpot,
                                            JulianDate[] adtEffective,
                                            JulianDate[] adtMaturity,
                                            double[] adblCoupon,
                                            double[] adblQuote,
                                            java.lang.String strMeasure,
                                            SegmentCustomBuilderControl scbc)

Construct a Govvie Curve from the Treasury Instruments

Parameters:

strCode - Treasury Code

dtSpot - Spot Date

adtEffective - Array of Effective Dates

adtMaturity - Array of Maturity Dates

adblCoupon - Array of Coupons

adblQuote - Array of Market Quotes

strMeasure - Calibration Measure

scbc - Segment Custom Builder Control Parameters

Returns:

The Govvie Curve Instance

ShapePreservingGovvieCurve

public static final GovvieCurve ShapePreservingGovvieCurve(java.lang.String strCode,
                                                           JulianDate dtSpot,
                                                           JulianDate[] adtEffective,
                                                           JulianDate[] adtMaturity,
                                                           double[] adblCoupon,
                                                           double[] adblQuote,
                                                           java.lang.String strMeasure)

Construct a Shape Preserving Govvie Curve from the Treasury Instruments

Parameters:

strCode - Treasury Code

dtSpot - Spot Date

adtEffective - Array of Effective Dates

adtMaturity - Array of Maturity Dates

adblCoupon - Array of Coupons

adblQuote - Array of Market Quotes

strMeasure - Calibration Measure

Returns:

The Govvie Curve Instance

SmoothGovvieCurve

public static final GovvieCurve SmoothGovvieCurve(java.lang.String strCode,
                                                  JulianDate dtSpot,
                                                  JulianDate[] adtEffective,
                                                  JulianDate[] adtMaturity,
                                                  double[] adblCoupon,
                                                  double[] adblQuote,
                                                  java.lang.String strMeasure)

Construct a Smooth Govvie Curve from the Treasury Instruments

Parameters:

strCode - Treasury Code

dtSpot - Spot Date

adtEffective - Array of Effective Dates

adtMaturity - Array of Maturity Dates

adblCoupon - Array of Coupons

adblQuote - Array of Market Quotes

strMeasure - Calibration Measure

Returns:

The Govvie Curve Instance

GovvieCurve

public static final GovvieCurve GovvieCurve(java.lang.String strCode,
                                            JulianDate dtSpot,
                                            JulianDate[] adtEffective,
                                            JulianDate[] adtMaturity,
                                            double[] adblCoupon,
                                            double[] adblQuote,
                                            java.lang.String strMeasure,
                                            int iLatentStateType)

Construct a Govvie Curve from the Treasury Instruments

Parameters:

strCode - Treasury Code

dtSpot - Spot Date

adtEffective - Array of Effective Dates

adtMaturity - Array of Maturity Dates

adblCoupon - Array of Coupons

adblQuote - Array of Market Quotes

strMeasure - Calibration Measure

iLatentStateType - SHAPE PRESERVING/SMOOTH

Returns:

The Govvie Curve Instance

FXCurve

public static final FXCurve FXCurve(JulianDate dtSpot,
                                    CurrencyPair cp,
                                    java.lang.String[] astrMaturityTenor,
                                    double[] adblQuote,
                                    java.lang.String strMeasure,
                                    double dblFXSpot,
                                    SegmentCustomBuilderControl scbc)

Construct an FX Curve from the FX Forward Instruments

Parameters:

dtSpot - Spot Date

cp - The FX Currency Pair

astrMaturityTenor - Array of Maturity Tenors

adblQuote - Array of FX Forwards

strMeasure - Calibration Measure

dblFXSpot - FX Spot

scbc - Segment Custom Builder Builder Parameters

Returns:

The FX Curve Instance

ShapePreservingFXCurve

public static final FXCurve ShapePreservingFXCurve(JulianDate dtSpot,
                                                   CurrencyPair cp,
                                                   java.lang.String[] astrMaturityTenor,
                                                   double[] adblQuote,
                                                   java.lang.String strMeasure,
                                                   double dblFXSpot)

Construct a Shape Preserving FX Curve from the FX Forward Instruments

Parameters:

dtSpot - Spot Date

cp - The FX Currency Pair

astrMaturityTenor - Array of Maturity Tenors

adblQuote - Array of FX Forwards

strMeasure - Calibration Measure

dblFXSpot - FX Spot

Returns:

The FX Curve Instance

SmoothFXCurve

public static final FXCurve SmoothFXCurve(JulianDate dtSpot,
                                          CurrencyPair cp,
                                          java.lang.String[] astrMaturityTenor,
                                          double[] adblQuote,
                                          java.lang.String strMeasure,
                                          double dblFXSpot)

Construct a Smooth FX Curve from the FX Forward Instruments

Parameters:

dtSpot - Spot Date

cp - The FX Currency Pair

astrMaturityTenor - Array of Maturity Tenors

adblQuote - Array of FX Forwards

strMeasure - Calibration Measure

dblFXSpot - FX Spot

Returns:

The FX Curve Instance

FXCurve

public static final FXCurve FXCurve(JulianDate dtSpot,
                                    CurrencyPair cp,
                                    java.lang.String[] astrMaturityTenor,
                                    double[] adblQuote,
                                    java.lang.String strMeasure,
                                    double dblFXSpot,
                                    int iLatentStateType)

Construct an FX Curve from the FX Forward Instruments

Parameters:

dtSpot - Spot Date

cp - The FX Currency Pair

astrMaturityTenor - Array of Maturity Tenors

adblQuote - Array of FX Forwards

strMeasure - Calibration Measure

dblFXSpot - FX Spot

iLatentStateType - SHAPE PRESERVING/SMOOTH

Returns:

The FX Curve Instance

ForwardRateVolatilityCurve

public static final VolatilityCurve ForwardRateVolatilityCurve(JulianDate dtSpot,
                                                               ForwardLabel forwardLabel,
                                                               boolean bIsCap,
                                                               java.lang.String[] astrMaturityTenor,
                                                               double[] adblStrike,
                                                               double[] adblQuote,
                                                               java.lang.String strMeasure,
                                                               MergedDiscountForwardCurve dc,
                                                               ForwardCurve fc)

Forward Rate Volatility Latent State Construction from Cap/Floor Instruments

Parameters:

dtSpot - Spot Date

forwardLabel - Forward Label

bIsCap - TRUE - Create and Use Array of Caps

astrMaturityTenor - Array of Cap/floor Maturities

adblStrike - Array of Cap/Floor Strikes

adblQuote - Array of Cap/Floor Quotes

strMeasure - Calibration Measure

dc - Discount Curve Instance

fc - Forward Curve Instance

Returns:

Instance of the Forward Rate Volatility Curve

BumpedFundingCurve

public static final CaseInsensitiveTreeMap<MergedDiscountForwardCurve> BumpedFundingCurve(JulianDate dtSpot,
                                                                                          java.lang.String strCurrency,
                                                                                          java.lang.String[] astrDepositMaturityTenor,
                                                                                          double[] adblDepositQuote,
                                                                                          java.lang.String strDepositMeasure,
                                                                                          double[] adblFuturesQuote,
                                                                                          java.lang.String strFuturesMeasure,
                                                                                          java.lang.String[] astrFixFloatMaturityTenor,
                                                                                          double[] adblFixFloatQuote,
                                                                                          java.lang.String strFixFloatMeasure,
                                                                                          int iLatentStateType,
                                                                                          double dblBump,
                                                                                          boolean bIsProportional)

Construct a Map of Tenor Bumped Funding Curve Based off of the Input Exchange/OTC Market Instruments

Parameters:

dtSpot - The Spot Date

strCurrency - Currency

astrDepositMaturityTenor - Array of Deposit Maturity Tenors

adblDepositQuote - Array of Deposit Quotes

strDepositMeasure - Deposit Calibration Measure

adblFuturesQuote - Array of Futures Quotes

strFuturesMeasure - Futures Calibration Measure

astrFixFloatMaturityTenor - Array of Fix Float Swap Maturity Tenors

adblFixFloatQuote - Array of Fix Float Swap Quotes

strFixFloatMeasure - Fix Float Calibration Measure

iLatentStateType - SHAPE_PRESERVING/SMOOTH

dblBump - The Tenor Node Bump Amount

bIsProportional - TRUE - The Bump Applied is Proportional

Returns:

The Tenor Bumped Funding Curve Map

BumpedForwardCurve

public static final CaseInsensitiveTreeMap<ForwardCurve> BumpedForwardCurve(JulianDate dtSpot,
                                                                            ForwardLabel forwardLabel,
                                                                            java.lang.String[] astrDepositMaturityTenor,
                                                                            double[] adblDepositQuote,
                                                                            java.lang.String strDepositMeasure,
                                                                            java.lang.String[] astrFRAMaturityTenor,
                                                                            double[] adblFRAQuote,
                                                                            java.lang.String strFRAMeasure,
                                                                            java.lang.String[] astrFixFloatMaturityTenor,
                                                                            double[] adblFixFloatQuote,
                                                                            java.lang.String strFixFloatMeasure,
                                                                            java.lang.String[] astrFloatFloatMaturityTenor,
                                                                            double[] adblFloatFloatQuote,
                                                                            java.lang.String strFloatFloatMeasure,
                                                                            java.lang.String[] astrSyntheticFloatFloatMaturityTenor,
                                                                            double[] adblSyntheticFloatFloatQuote,
                                                                            java.lang.String strSyntheticFloatFloatMeasure,
                                                                            MergedDiscountForwardCurve dc,
                                                                            ForwardCurve fcReference,
                                                                            int iLatentStateType,
                                                                            double dblBump,
                                                                            boolean bIsProportional)

Construct a Map of Tenor Bumped Forward Curve Based off of the Input Exchange/OTC Market Instruments

Parameters:

dtSpot - Spot Date

forwardLabel - Forward Label

astrDepositMaturityTenor - Array of Deposit Maturity Tenors

adblDepositQuote - Array of the Deposit Instrument Quotes

strDepositMeasure - The Deposit Instrument Calibration Measure

astrFRAMaturityTenor - Array of FRA Maturity Tenors

adblFRAQuote - Array of the FRA Instrument Quotes

strFRAMeasure - The FRA Instrument Calibration Measure

astrFixFloatMaturityTenor - Array of Fix-Float Maturity Tenors

adblFixFloatQuote - Array of the Fix-Float Quotes

strFixFloatMeasure - The Fix-Float Calibration Measure

astrFloatFloatMaturityTenor - Array of Float-Float Maturity Tenors

adblFloatFloatQuote - Array of the Float-Float Quotes

strFloatFloatMeasure - The Float-Float Calibration Measure

astrSyntheticFloatFloatMaturityTenor - Array of Synthetic Float-Float Maturity Tenors

adblSyntheticFloatFloatQuote - Array of the Synthetic Float-Float Quotes

strSyntheticFloatFloatMeasure - The Synthetic Float-Float Calibration Measure

dc - The Base Discount Curve

fcReference - The Reference Forward Curve

iLatentStateType - SHAPE_PRESERVING/SMOOTH

dblBump - The Tenor Node Bump Amount

bIsProportional - TRUE - The Bump Applied is Proportional

Returns:

The Tenor Bumped Forward Curve Map

BumpedOvernightCurve

public static final CaseInsensitiveTreeMap<MergedDiscountForwardCurve> BumpedOvernightCurve(JulianDate dtSpot,
                                                                                            java.lang.String strCurrency,
                                                                                            java.lang.String[] astrDepositMaturityTenor,
                                                                                            double[] adblDepositQuote,
                                                                                            java.lang.String strDepositMeasure,
                                                                                            java.lang.String[] astrShortEndOISMaturityTenor,
                                                                                            double[] adblShortEndOISQuote,
                                                                                            java.lang.String strShortEndOISMeasure,
                                                                                            java.lang.String[] astrOISFuturesEffectiveTenor,
                                                                                            java.lang.String[] astrOISFuturesMaturityTenor,
                                                                                            double[] adblOISFuturesQuote,
                                                                                            java.lang.String strOISFuturesMeasure,
                                                                                            java.lang.String[] astrLongEndOISMaturityTenor,
                                                                                            double[] adblLongEndOISQuote,
                                                                                            java.lang.String strLongEndOISMeasure,
                                                                                            int iLatentStateType,
                                                                                            double dblBump,
                                                                                            boolean bIsProportional)

Construct a Map of Tenor + Parallel Bumped Overnight Curves

Parameters:

dtSpot - Spot Date

strCurrency - Currency

astrDepositMaturityTenor - Array of Deposit Maturity Tenors

adblDepositQuote - Array of Deposit Quotes

strDepositMeasure - Deposit Measure

astrShortEndOISMaturityTenor - Array of Short End OIS Maturity Tenors

adblShortEndOISQuote - Array of Short End OIS Quotes

strShortEndOISMeasure - Short End OIS Measure

astrOISFuturesEffectiveTenor - Array of OIS Futures Effective Tenors

astrOISFuturesMaturityTenor - Array of OIS Futures Maturity Tenors

adblOISFuturesQuote - Array of OIS Futures Quotes

strOISFuturesMeasure - OIS Futures Measure

astrLongEndOISMaturityTenor - Array of Long End OIS Maturity Tenors

adblLongEndOISQuote - Array of Long End OIS Quotes

strLongEndOISMeasure - Long End OIS Measure

iLatentStateType - SHAPE PRESERVING/SMOOTH

dblBump - The Tenor Node Bump Amount

bIsProportional - TRUE - The Bump Applied is Proportional

Returns:

Map of Overnight Curves

BumpedCreditCurve

public static final CaseInsensitiveTreeMap<CreditCurve> BumpedCreditCurve(JulianDate dtSpot,
                                                                          java.lang.String strCredit,
                                                                          java.lang.String[] astrMaturityTenor,
                                                                          double[] adblCoupon,
                                                                          double[] adblQuote,
                                                                          java.lang.String strMeasure,
                                                                          MergedDiscountForwardCurve dc,
                                                                          double dblBump,
                                                                          boolean bIsProportional)

Construct a Tenor + Parallel Map of Bumped Credit Curves from Overnight Exchange/OTC Market Instruments

Parameters:

dtSpot - Spot Date

strCredit - Credit Curve

astrMaturityTenor - Maturity Tenor

adblCoupon - Coupon Array

adblQuote - Array of Market Quotes

strMeasure - Calibration Measure

dc - Discount Curve

dblBump - The Tenor Node Bump Amount

bIsProportional - TRUE - The Bump Applied is Proportional

Returns:

Map of Bumped Credit Curves

BumpedGovvieCurve

public static final CaseInsensitiveTreeMap<GovvieCurve> BumpedGovvieCurve(java.lang.String strCode,
                                                                          JulianDate dtSpot,
                                                                          JulianDate[] adtEffective,
                                                                          JulianDate[] adtMaturity,
                                                                          double[] adblCoupon,
                                                                          double[] adblQuote,
                                                                          java.lang.String strMeasure,
                                                                          int iLatentStateType,
                                                                          double dblBump,
                                                                          boolean bIsProportional)

Construct a Tenor + Parallel Map of Govvie Curves from the Treasury Instruments

Parameters:

strCode - The Govvie Code

dtSpot - Spot Date

adtEffective - Array of Effective Dates

adtMaturity - Array of Maturity Dates

adblCoupon - Array of Coupons

adblQuote - Array of Market Quotes

strMeasure - Calibration Measure

iLatentStateType - SHAPE PRESERVING/SMOOTH

dblBump - The Tenor Node Bump Amount

bIsProportional - TRUE - The Bump Applied is Proportional

Returns:

Map of Govvie Curve Instance

BumpedFXCurve

public static final CaseInsensitiveTreeMap<FXCurve> BumpedFXCurve(JulianDate dtSpot,
                                                                  CurrencyPair cp,
                                                                  java.lang.String[] astrMaturityTenor,
                                                                  double[] adblQuote,
                                                                  java.lang.String strMeasure,
                                                                  double dblFXSpot,
                                                                  int iLatentStateType,
                                                                  double dblBump,
                                                                  boolean bIsProportional)

Construct a Tenor + Parallel Map of FX Curve from the FX Instruments

Parameters:

dtSpot - Spot Date

cp - The FX Currency Pair

astrMaturityTenor - Array of Maturity Tenors

adblQuote - Array of FX Forwards

strMeasure - Calibration Measure

dblFXSpot - FX Spot

iLatentStateType - SHAPE PRESERVING/SMOOTH

dblBump - The Tenor Node Bump Amount

bIsProportional - TRUE - The Bump Applied is Proportional

Returns:

Map of FX Curve Instance

BumpedForwardVolatilityCurve

public static final CaseInsensitiveTreeMap<VolatilityCurve> BumpedForwardVolatilityCurve(JulianDate dtSpot,
                                                                                         ForwardLabel forwardLabel,
                                                                                         boolean bIsCap,
                                                                                         java.lang.String[] astrMaturityTenor,
                                                                                         double[] adblStrike,
                                                                                         double[] adblQuote,
                                                                                         java.lang.String strMeasure,
                                                                                         MergedDiscountForwardCurve dc,
                                                                                         ForwardCurve fc,
                                                                                         double dblBump,
                                                                                         boolean bIsProportional)

Construct a Tenor + Parallel Forward Volatility Latent State Construction from Cap/Floor Instruments

Parameters:

dtSpot - Spot Date

forwardLabel - Forward Label

bIsCap - TRUE - Create and Use Array of Caps

astrMaturityTenor - Array of Cap/floor Maturities

adblStrike - Array of Cap/Floor Strikes

adblQuote - Array of Cap/Floor Quotes

strMeasure - Calibration Measure

dc - Discount Curve Instance

fc - Forward Curve Instance

dblBump - The Tenor Node Bump Amount

bIsProportional - TRUE - The Bump Applied is Proportional

Returns:

Map of Forward Volatility Curve Instance