org.drip.state.boot

Class DiscountCurveScenario

java.lang.Object

org.drip.state.boot.DiscountCurveScenario

public class DiscountCurveScenario
extends java.lang.Object

DiscountCurveScenario uses the interest rate calibration instruments along with the component calibrator to produce scenario interest rate curves. DiscountCurveScenario typically first constructs the actual curve calibrator instance to localize the intelligence around curve construction. It then uses this curve calibrator instance to build individual curves or the sequence of node bumped scenario curves. The curves in the set may be an array, or tenor-keyed.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
DiscountCurveScenario()

Method Summary

Modifier and Type	Method and Description
static MergedDiscountForwardCurve	Standard(ValuationParams valParams, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblBump, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a discount curve
static MergedDiscountForwardCurve[]	Tenor(ValuationParams valParams, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblBump, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate an array of tenor bumped discount curves
static CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	TenorMap(ValuationParams valParams, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblBump, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a tenor map of tenor bumped discount curves

Methods inherited from class java.lang.Object

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

Constructor Detail

DiscountCurveScenario

public DiscountCurveScenario()

Method Detail

Standard

public static final MergedDiscountForwardCurve Standard(ValuationParams valParams,
                                                        CalibratableComponent[] aCalibInst,
                                                        double[] adblCalibQuote,
                                                        java.lang.String[] astrCalibMeasure,
                                                        double dblBump,
                                                        GovvieCurve gc,
                                                        LatentStateFixingsContainer lsfc,
                                                        ValuationCustomizationParams vcp)

Calibrate a discount curve

Parameters:

valParams - ValuationParams

aCalibInst - Array of Calibratable Components

adblCalibQuote - Array of component quotes

astrCalibMeasure - Array of the calibration measures

dblBump - Quote bump

gc - Govvie Curve

lsfc - Latent State Fixings Container

vcp - Valuation Customization Parameters

Returns:

DiscountCurve Instance

Tenor

public static final MergedDiscountForwardCurve[] Tenor(ValuationParams valParams,
                                                       CalibratableComponent[] aCalibInst,
                                                       double[] adblCalibQuote,
                                                       java.lang.String[] astrCalibMeasure,
                                                       double dblBump,
                                                       GovvieCurve gc,
                                                       LatentStateFixingsContainer lsfc,
                                                       ValuationCustomizationParams vcp)

Calibrate an array of tenor bumped discount curves

Parameters:

valParams - Valuation Parameters

aCalibInst - Array of Calibratable Components

adblCalibQuote - Array of component quotes

astrCalibMeasure - Array of the calibration measures

dblBump - Quote bump

gc - Govvie Curve

lsfc - Latent State Fixings Container

vcp - Valuation Customization Parameters

Returns:

Array of tenor bumped discount curves

TenorMap

public static final CaseInsensitiveTreeMap<MergedDiscountForwardCurve> TenorMap(ValuationParams valParams,
                                                                                CalibratableComponent[] aCalibInst,
                                                                                double[] adblCalibQuote,
                                                                                java.lang.String[] astrCalibMeasure,
                                                                                double dblBump,
                                                                                GovvieCurve gc,
                                                                                LatentStateFixingsContainer lsfc,
                                                                                ValuationCustomizationParams vcp)

Calibrate a tenor map of tenor bumped discount curves

Parameters:

valParams - ValuationParams

aCalibInst - Array of Calibratable Components

adblCalibQuote - Array of component quotes

astrCalibMeasure - Array of the calibration measures

dblBump - Quote bump

gc - Govvie Curve

lsfc - Latent State Fixings Container

vcp - Valuation Customization Parameters

Returns:

Tenor map of tenor bumped discount curves