org.drip.state.creator

Class ScenarioDeterministicVolatilityBuilder

java.lang.Object

org.drip.state.creator.ScenarioDeterministicVolatilityBuilder

public class ScenarioDeterministicVolatilityBuilder
extends java.lang.Object

ScenarioDeterministicVolatilityBuilder implements the construction of the basis spline deterministic volatility term structure using the input instruments and their quotes.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ScenarioDeterministicVolatilityBuilder()

Method Summary

Modifier and Type	Method and Description
static VolatilityCurve	CubicPolynomialTermStructure(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, java.lang.String[] astrTenor, double[] adblImpliedVolatility) Construct the Deterministic Volatility Term Structure Instance based off of a Cubic Polynomial Spline
static VolatilityCurve	CustomSplineTermStructure(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblImpliedVolatility, SegmentCustomBuilderControl scbc) Construct the Deterministic Volatility Term Structure Instance using the specified Custom Spline
static VolatilityCurve	FlatForward(int iEpochDate, VolatilityLabel label, java.lang.String strCurrency, double dblFlatVolatility) Construct the Flat Constant Forward Volatility Forward Curve
static VolatilityCurve	KaklisPandelisTermStructure(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, java.lang.String[] astrTenor, double[] adblImpliedVolatility) Construct the Deterministic Volatility Term Structure Instance based off of a Kaklis-Pandelis Polynomial Tension Spline
static VolatilityCurve	KLKHyperbolicTermStructure(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, java.lang.String[] astrTenor, double[] adblImpliedVolatility, double dblTension) Construct the Deterministic Volatility Term Structure Instance based off of a KLK Hyperbolic Tension Spline
static VolatilityCurve	KLKRationalLinearTermStructure(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, java.lang.String[] astrTenor, double[] adblImpliedVolatility, double dblTension) Construct the Deterministic Volatility Term Structure Instance based off of a KLK Rational Linear Tension Spline
static VolatilityCurve	KLKRationalQuadraticTermStructure(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, java.lang.String[] astrTenor, double[] adblImpliedVolatility, double dblTension) Construct the Deterministic Volatility Term Structure Instance based off of a KLK Rational Quadratic Tension Spline
static VolatilityCurve	QuarticPolynomialTermStructure(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, java.lang.String[] astrTenor, double[] adblImpliedVolatility) Construct the Deterministic Volatility Term Structure Instance based off of a Quartic Polynomial `Spline

Methods inherited from class java.lang.Object

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

Constructor Detail

ScenarioDeterministicVolatilityBuilder

public ScenarioDeterministicVolatilityBuilder()

Method Detail

CustomSplineTermStructure

public static final VolatilityCurve CustomSplineTermStructure(java.lang.String strName,
                                                              JulianDate dtStart,
                                                              java.lang.String strCurrency,
                                                              int[] aiDate,
                                                              double[] adblImpliedVolatility,
                                                              SegmentCustomBuilderControl scbc)

Construct the Deterministic Volatility Term Structure Instance using the specified Custom Spline

Parameters:

strName - Name of the the Term Structure Instance

dtStart - The Start Date

strCurrency - Currency

aiDate - Array of Dates

adblImpliedVolatility - Array of Implied Volatility Nodes

scbc - Segment Custom Builder Parameters

Returns:

Instance of the Term Structure

CubicPolynomialTermStructure

public static final VolatilityCurve CubicPolynomialTermStructure(java.lang.String strName,
                                                                 JulianDate dtStart,
                                                                 java.lang.String strCurrency,
                                                                 java.lang.String[] astrTenor,
                                                                 double[] adblImpliedVolatility)

Construct the Deterministic Volatility Term Structure Instance based off of a Cubic Polynomial Spline

Parameters:

strName - Name of the the Term Structure Instance

dtStart - The Start Date

strCurrency - Currency

astrTenor - Array of Tenors

adblImpliedVolatility - Array of Implied Volatility Nodes

Returns:

The Deterministic Volatility Term Structure Instance based off of a Cubic Polynomial Spline

QuarticPolynomialTermStructure

public static final VolatilityCurve QuarticPolynomialTermStructure(java.lang.String strName,
                                                                   JulianDate dtStart,
                                                                   java.lang.String strCurrency,
                                                                   java.lang.String[] astrTenor,
                                                                   double[] adblImpliedVolatility)

Construct the Deterministic Volatility Term Structure Instance based off of a Quartic Polynomial `Spline

Parameters:

strName - Name of the the Term Structure Instance

dtStart - The Start Date

strCurrency - Currency

astrTenor - Array of Tenors

adblImpliedVolatility - Array of Implied Volatility Nodes

Returns:

The Deterministic Volatility Term Structure Instance based off of a Quartic Polynomial Spline

KaklisPandelisTermStructure

public static final VolatilityCurve KaklisPandelisTermStructure(java.lang.String strName,
                                                                JulianDate dtStart,
                                                                java.lang.String strCurrency,
                                                                java.lang.String[] astrTenor,
                                                                double[] adblImpliedVolatility)

Construct the Deterministic Volatility Term Structure Instance based off of a Kaklis-Pandelis Polynomial Tension Spline

Parameters:

strName - Name of the the Term Structure Instance

dtStart - The Start Date

strCurrency - Currency

astrTenor - Array of Tenors

adblImpliedVolatility - Array of Implied Volatility Nodes

Returns:

The Deterministic Volatility Term Structure Instance based off of a Kaklis-Pandelis Polynomial Tension Spline

KLKHyperbolicTermStructure

public static final VolatilityCurve KLKHyperbolicTermStructure(java.lang.String strName,
                                                               JulianDate dtStart,
                                                               java.lang.String strCurrency,
                                                               java.lang.String[] astrTenor,
                                                               double[] adblImpliedVolatility,
                                                               double dblTension)

Construct the Deterministic Volatility Term Structure Instance based off of a KLK Hyperbolic Tension Spline

Parameters:

strName - Name of the the Term Structure Instance

dtStart - The Start Date

strCurrency - Currency

astrTenor - Array of Tenors

adblImpliedVolatility - Array of Implied Volatility Nodes

dblTension - Tension

Returns:

The Deterministic Volatility Term Structure Instance based off of a KLK Hyperbolic Tension Spline

KLKRationalLinearTermStructure

public static final VolatilityCurve KLKRationalLinearTermStructure(java.lang.String strName,
                                                                   JulianDate dtStart,
                                                                   java.lang.String strCurrency,
                                                                   java.lang.String[] astrTenor,
                                                                   double[] adblImpliedVolatility,
                                                                   double dblTension)

Construct the Deterministic Volatility Term Structure Instance based off of a KLK Rational Linear Tension Spline

Parameters:

strName - Name of the the Term Structure Instance

dtStart - The Start Date

strCurrency - Currency

astrTenor - Array of Tenors

adblImpliedVolatility - Array of Implied Volatility Nodes

dblTension - Tension

Returns:

The Deterministic Volatility Term Structure Instance based off of a KLK Rational Linear Tension Spline

KLKRationalQuadraticTermStructure

public static final VolatilityCurve KLKRationalQuadraticTermStructure(java.lang.String strName,
                                                                      JulianDate dtStart,
                                                                      java.lang.String strCurrency,
                                                                      java.lang.String[] astrTenor,
                                                                      double[] adblImpliedVolatility,
                                                                      double dblTension)

Construct the Deterministic Volatility Term Structure Instance based off of a KLK Rational Quadratic Tension Spline

Parameters:

strName - Name of the the Term Structure Instance

dtStart - The Start Date

strCurrency - Currency

astrTenor - Array of Tenors

adblImpliedVolatility - Array of Implied Volatility Nodes

dblTension - Tension

Returns:

The Deterministic Volatility Term Structure Instance based off of a KLK Rational Quadratic Tension Spline

FlatForward

public static final VolatilityCurve FlatForward(int iEpochDate,
                                                VolatilityLabel label,
                                                java.lang.String strCurrency,
                                                double dblFlatVolatility)

Construct the Flat Constant Forward Volatility Forward Curve

Parameters:

iEpochDate - Epoch Date

label - Forward Volatility Label

strCurrency - Currency

dblFlatVolatility - Flat Volatility

Returns:

The Volatility Curve Instance