org.drip.state.creator

Class ScenarioBasisCurveBuilder

java.lang.Object

org.drip.state.creator.ScenarioBasisCurveBuilder

public class ScenarioBasisCurveBuilder
extends java.lang.Object

ScenarioBasisCurveBuilder implements the construction of the scenario basis curve using the input instruments and their quotes.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ScenarioBasisCurveBuilder()

Method Summary

Modifier and Type	Method and Description
static BasisCurve	CubicPolynomialBasisCurve(java.lang.String strName, JulianDate dtStart, ForwardLabel friReference, ForwardLabel friDerived, boolean bBasisOnReference, java.lang.String[] astrTenor, double[] adblBasis) Create an Instance of the Cubic Polynomial Splined Basis Curve
static BasisCurve	CustomSplineBasisCurve(java.lang.String strName, JulianDate dtSpot, ForwardLabel friReference, ForwardLabel friDerived, boolean bBasisOnReference, java.lang.String[] astrTenor, double[] adblBasis, SegmentCustomBuilderControl scbc) Create an Instance of the Custom Splined Basis Curve
static BasisCurve	KaklisPandelisBasisCurve(java.lang.String strName, JulianDate dtStart, ForwardLabel friReference, ForwardLabel friDerived, boolean bBasisOnReference, java.lang.String[] astrTenor, double[] adblBasis) Create an Instance of the Kaklis-Pandelis Splined Basis Curve
static BasisCurve	KLKHyperbolicBasisCurve(java.lang.String strName, JulianDate dtStart, ForwardLabel friReference, ForwardLabel friDerived, boolean bBasisOnReference, java.lang.String[] astrTenor, double[] adblBasis, double dblTension) Create an Instance of the KLK Hyperbolic Splined Basis Curve
static BasisCurve	KLKRationalLinearBasisCurve(java.lang.String strName, JulianDate dtStart, ForwardLabel friReference, ForwardLabel friDerived, boolean bBasisOnReference, java.lang.String[] astrTenor, double[] adblBasis, double dblTension) Create an Instance of the KLK Rational Linear Splined Basis Curve
static BasisCurve	KLKRationalQuadraticBasisCurve(java.lang.String strName, JulianDate dtStart, ForwardLabel friReference, ForwardLabel friDerived, boolean bBasisOnReference, java.lang.String[] astrTenor, double[] adblBasis, double dblTension) Create an Instance of the KLK Rational Quadratic Splined Basis Curve
static BasisCurve	QuarticPolynomialBasisCurve(java.lang.String strName, JulianDate dtStart, ForwardLabel friReference, ForwardLabel friDerived, boolean bBasisOnReference, java.lang.String[] astrTenor, double[] adblBasis) Create an Instance of the Quartic Polynomial Splined Basis Curve

Methods inherited from class java.lang.Object

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

Constructor Detail

ScenarioBasisCurveBuilder

public ScenarioBasisCurveBuilder()

Method Detail

CustomSplineBasisCurve

public static final BasisCurve CustomSplineBasisCurve(java.lang.String strName,
                                                      JulianDate dtSpot,
                                                      ForwardLabel friReference,
                                                      ForwardLabel friDerived,
                                                      boolean bBasisOnReference,
                                                      java.lang.String[] astrTenor,
                                                      double[] adblBasis,
                                                      SegmentCustomBuilderControl scbc)

Create an Instance of the Custom Splined Basis Curve

Parameters:

strName - Curve Name

dtSpot - The Spot Date

friReference - Reference Leg FRI

friDerived - Derived Leg FRI

bBasisOnReference - TRUE - The Basis Quote is on the Reference Leg

astrTenor - Array of the Tenors

adblBasis - Array of the Basis Spreads

scbc - The Segment Custom Builder Control

Returns:

The Instance of the Basis Curve

CubicPolynomialBasisCurve

public static final BasisCurve CubicPolynomialBasisCurve(java.lang.String strName,
                                                         JulianDate dtStart,
                                                         ForwardLabel friReference,
                                                         ForwardLabel friDerived,
                                                         boolean bBasisOnReference,
                                                         java.lang.String[] astrTenor,
                                                         double[] adblBasis)

Create an Instance of the Cubic Polynomial Splined Basis Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

friReference - Reference Leg FRI

friDerived - Derived Leg FRI

bBasisOnReference - TRUE - The Basis Quote is on the Reference Leg

astrTenor - Array of the Tenors

adblBasis - Array of the Basis Spreads

Returns:

The Instance of the Basis Curve

QuarticPolynomialBasisCurve

public static final BasisCurve QuarticPolynomialBasisCurve(java.lang.String strName,
                                                           JulianDate dtStart,
                                                           ForwardLabel friReference,
                                                           ForwardLabel friDerived,
                                                           boolean bBasisOnReference,
                                                           java.lang.String[] astrTenor,
                                                           double[] adblBasis)

Create an Instance of the Quartic Polynomial Splined Basis Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

friReference - Reference Leg FRI

friDerived - Derived Leg FRI

bBasisOnReference - TRUE - The Basis Quote is on the Reference Leg

astrTenor - Array of the Tenors

adblBasis - Array of the Basis Spreads

Returns:

The Instance of the Basis Curve

KaklisPandelisBasisCurve

public static final BasisCurve KaklisPandelisBasisCurve(java.lang.String strName,
                                                        JulianDate dtStart,
                                                        ForwardLabel friReference,
                                                        ForwardLabel friDerived,
                                                        boolean bBasisOnReference,
                                                        java.lang.String[] astrTenor,
                                                        double[] adblBasis)

Create an Instance of the Kaklis-Pandelis Splined Basis Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

friReference - Reference Leg FRI

friDerived - Derived Leg FRI

bBasisOnReference - TRUE - The Basis Quote is on the Reference Leg

astrTenor - Array of the Tenors

adblBasis - Array of the Basis Spreads

Returns:

The Instance of the Basis Curve

KLKHyperbolicBasisCurve

public static final BasisCurve KLKHyperbolicBasisCurve(java.lang.String strName,
                                                       JulianDate dtStart,
                                                       ForwardLabel friReference,
                                                       ForwardLabel friDerived,
                                                       boolean bBasisOnReference,
                                                       java.lang.String[] astrTenor,
                                                       double[] adblBasis,
                                                       double dblTension)

Create an Instance of the KLK Hyperbolic Splined Basis Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

friReference - Reference Leg FRI

friDerived - Derived Leg FRI

bBasisOnReference - TRUE - The Basis Quote is on the Reference Leg

astrTenor - Array of the Tenors

adblBasis - Array of the Basis Spreads

dblTension - The Tension Parameter

Returns:

The Instance of the Basis Curve

KLKRationalLinearBasisCurve

public static final BasisCurve KLKRationalLinearBasisCurve(java.lang.String strName,
                                                           JulianDate dtStart,
                                                           ForwardLabel friReference,
                                                           ForwardLabel friDerived,
                                                           boolean bBasisOnReference,
                                                           java.lang.String[] astrTenor,
                                                           double[] adblBasis,
                                                           double dblTension)

Create an Instance of the KLK Rational Linear Splined Basis Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

friReference - Reference Leg FRI

friDerived - Derived Leg FRI

bBasisOnReference - TRUE - The Basis Quote is on the Reference Leg

astrTenor - Array of the Tenors

adblBasis - Array of the Basis Spreads

dblTension - The Tension Parameter

Returns:

The Instance of the Basis Curve

KLKRationalQuadraticBasisCurve

public static final BasisCurve KLKRationalQuadraticBasisCurve(java.lang.String strName,
                                                              JulianDate dtStart,
                                                              ForwardLabel friReference,
                                                              ForwardLabel friDerived,
                                                              boolean bBasisOnReference,
                                                              java.lang.String[] astrTenor,
                                                              double[] adblBasis,
                                                              double dblTension)

Create an Instance of the KLK Rational Quadratic Splined Basis Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

friReference - Reference Leg FRI

friDerived - Derived Leg FRI

bBasisOnReference - TRUE - The Basis Quote is on the Reference Leg

astrTenor - Array of the Tenors

adblBasis - Array of the Basis Spreads

dblTension - The Tension Parameter

Returns:

The Instance of the Basis Curve