org.drip.state.creator

Class ScenarioDiscountCurveBuilder

java.lang.Object

org.drip.state.creator.ScenarioDiscountCurveBuilder

public class ScenarioDiscountCurveBuilder
extends java.lang.Object

ScenarioDiscountCurveBuilder implements the the construction of the scenario discount curve using the input discount curve instruments, and a wide variety of custom builds. It implements the following functionality: - Non-linear Custom Discount Curve - Shape Preserving Discount Curve Builds - Standard Cubic Polynomial/Cubic KLK Hyperbolic Tension, and other Custom Builds - Smoothing Local/Control Custom Build - DC/Forward/Zero Rate LSQM's - "Industry Standard Methodologies" - DENSE/DUALDENSE/CUSTOMDENSE and Hagan-West Forward Interpolator Schemes

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ScenarioDiscountCurveBuilder()

Method Summary

Modifier and Type	Method and Description
static MergedDiscountForwardCurve	BuildFromDF(JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblDF) Build a Discount Curve from an array of discount factors
static ExplicitBootDiscountCurve	CreateFromFlatYield(JulianDate dtStart, java.lang.String strCurrency, double dblYield, java.lang.String strCompoundingDayCount, int iCompoundingFreq) Create a Discount Curve from the Flat Yield
static MergedDiscountForwardCurve	CubicKLKHyperbolicDFRateShapePreserver(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibComp1, double[] adblQuote1, java.lang.String[] astrManifestMeasure1, CalibratableComponent[] aCalibComp2, double[] adblQuote2, java.lang.String[] astrManifestMeasure2, boolean bZeroSmooth) Construct an instance of the Shape Preserver of the KLK Hyperbolic Tension Type, using the specified basis set builder parameters.
static MergedDiscountForwardCurve	CubicPolyDFRateShapePreserver(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibComp1, double[] adblQuote1, java.lang.String[] astrManifestMeasure1, CalibratableComponent[] aCalibComp2, double[] adblQuote2, java.lang.String[] astrManifestMeasure2, boolean bZeroSmooth) Construct an instance of the Shape Preserver of the Cubic Polynomial Type, using the specified basis set builder parameters.
static MergedDiscountForwardCurve	CubicPolynomialDiscountCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblDF) Create an Instance of the Cubic Polynomial Splined DF Discount Curve
static MergedDiscountForwardCurve	CustomDENSE(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibComp1, double[] adblQuote1, java.lang.String strTenor1, java.lang.String[] astrManifestMeasure1, CalibratableComponent[] aCalibComp2, double[] adblQuote2, java.lang.String strTenor2, java.lang.String[] astrManifestMeasure2, TurnListDiscountFactor tldf) Customizable DENSE Curve Creation Methodology - the references are: - Sankar, L.
static MergedDiscountForwardCurve	CustomSplineDiscountCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblDF, SegmentCustomBuilderControl scbc) Create an Instance of the Custom Splined Discount Curve
static MergedDiscountForwardCurve	DENSE(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibComp1, double[] adblQuote1, java.lang.String[] astrManifestMeasure1, CalibratableComponent[] aCalibComp2, double[] adblQuote2, java.lang.String[] astrManifestMeasure2, TurnListDiscountFactor tldf) The Standard DENSE Curve Creation Methodology - this uses no re-construction set for the short term, and uses 3M dense re-construction for the Swap Set.
static MergedDiscountForwardCurve	DFRateShapePreserver(java.lang.String strName, ValuationParams valParams, CreditPricerParams pricerParam, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParam, java.lang.String strBasisType, FunctionSetBuilderParams fsbp, CalibratableComponent[] aCalibComp1, double[] adblQuote1, java.lang.String[] astrManifestMeasure1, CalibratableComponent[] aCalibComp2, double[] adblQuote2, java.lang.String[] astrManifestMeasure2, double dblEpochResponse, boolean bZeroSmooth) Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set builder parameters.
static ExplicitBootDiscountCurve	DiscretelyCompoundedFlatRate(JulianDate dtStart, java.lang.String strCurrency, double dblRate, java.lang.String strCompoundingDayCount, int iCompoundingFreq) Create a Discount Curve from the Discretely Compounded Flat Rate
static MergedDiscountForwardCurve	DUALDENSE(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibComp1, double[] adblQuote1, java.lang.String strTenor1, java.lang.String[] astrManifestMeasure1, CalibratableComponent[] aCalibComp2, double[] adblQuote2, java.lang.String strTenor2, java.lang.String[] astrManifestMeasure2, TurnListDiscountFactor tldf) The DUAL DENSE Curve Creation Methodology - this uses configurable re-construction set for the short term, and another configurable re-construction for the Swap Set.
static ExplicitBootDiscountCurve	ExponentiallyCompoundedFlatRate(JulianDate dtStart, java.lang.String strCurrency, double dblRate) Create a Discount Curve from the Exponentially Compounded Flat Rate
static DiscountCurveScenarioContainer	FromIRCSG(java.lang.String strCurrency, CalibratableComponent[] aCalibInst) Create an DiscountCurveScenarioContainer Instance from the currency and the array of the calibration instruments
static MergedDiscountForwardCurve	KaklisPandelisDiscountCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblDF) Create an Instance of the Kaklis-Pandelis Splined DF Discount Curve
static MergedDiscountForwardCurve	KLKExponentialDiscountCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblDF, double dblTension) Create an Instance of the KLK Exponential Splined DF Discount Curve
static MergedDiscountForwardCurve	KLKHyperbolicDiscountCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblDF, double dblTension) Create an Instance of the KLK Hyperbolic Splined DF Discount Curve
static MergedDiscountForwardCurve	KLKRationalLinearDiscountCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblDF, double dblTension) Create an Instance of the KLK Linear Rational Splined DF Discount Curve
static MergedDiscountForwardCurve	KLKRationalQuadraticDiscountCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblDF, double dblTension) Create an Instance of the KLK Quadratic Rational Splined DF Discount Curve
static MergedDiscountForwardCurve	NonlinearBuild(JulianDate dt, java.lang.String strCurrency, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, LatentStateFixingsContainer lsfc) Create Discount Curve from the Calibration Instruments
static ExplicitBootDiscountCurve	PiecewiseForward(JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblRate) Create a discount curve from an array of dates/rates
static MergedDiscountForwardCurve	QuarticPolynomialDiscountCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, int[] aiDate, double[] adblDF) Create an Instance of the Quartic Polynomial Splined DF Discount Curve
static MergedDiscountForwardCurve	ShapePreservingDFBuild(java.lang.String strCurrency, LinearLatentStateCalibrator llsc, LatentStateStretchSpec[] aStretchSpec, ValuationParams valParam, CreditPricerParams pricerParam, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParam, double dblEpochResponse) Build the Shape Preserving Discount Curve using the Custom Parameters
static MergedDiscountForwardCurve	SmoothingGlobalControlBuild(MergedDiscountForwardCurve dcShapePreserver, LinearLatentStateCalibrator llsc, GlobalControlCurveParams gccp, ValuationParams valParam, CreditPricerParams pricerParam, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParam) Build a Globally Smoothed Instance of the Discount Curve using the Custom Parameters
static MergedDiscountForwardCurve	SmoothingLocalControlBuild(MergedDiscountForwardCurve dcShapePreserver, LinearLatentStateCalibrator llsc, LocalControlCurveParams lccp, ValuationParams valParam, CreditPricerParams pricerParam, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParam) Build a Locally Smoothed Instance of the Discount Curve using the Custom Parameters

Methods inherited from class java.lang.Object

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

Constructor Detail

ScenarioDiscountCurveBuilder

public ScenarioDiscountCurveBuilder()

Method Detail

FromIRCSG

public static final DiscountCurveScenarioContainer FromIRCSG(java.lang.String strCurrency,
                                                             CalibratableComponent[] aCalibInst)

Create an DiscountCurveScenarioContainer Instance from the currency and the array of the calibration instruments

Parameters:

strCurrency - Currency

aCalibInst - Array of the calibration instruments

Returns:

The DiscountCurveScenarioContainer instance

NonlinearBuild

public static final MergedDiscountForwardCurve NonlinearBuild(JulianDate dt,
                                                              java.lang.String strCurrency,
                                                              CalibratableComponent[] aCalibInst,
                                                              double[] adblCalibQuote,
                                                              java.lang.String[] astrCalibMeasure,
                                                              LatentStateFixingsContainer lsfc)

Create Discount Curve from the Calibration Instruments

Parameters:

dt - Valuation Date

strCurrency - Currency

aCalibInst - Input Calibration Instruments

adblCalibQuote - Input Calibration Quotes

astrCalibMeasure - Input Calibration Measures

lsfc - Latent State Fixings Container

Returns:

The Calibrated Discount Curve

ShapePreservingDFBuild

public static final MergedDiscountForwardCurve ShapePreservingDFBuild(java.lang.String strCurrency,
                                                                      LinearLatentStateCalibrator llsc,
                                                                      LatentStateStretchSpec[] aStretchSpec,
                                                                      ValuationParams valParam,
                                                                      CreditPricerParams pricerParam,
                                                                      CurveSurfaceQuoteContainer csqs,
                                                                      ValuationCustomizationParams quotingParam,
                                                                      double dblEpochResponse)

Build the Shape Preserving Discount Curve using the Custom Parameters

Parameters:

strCurrency - Currency

llsc - The Linear Latent State Calibrator Instance

aStretchSpec - Array of the Instrument Representation Stretches

valParam - Valuation Parameters

pricerParam - Pricer Parameters

csqs - Market Parameters

quotingParam - Quoting Parameters

dblEpochResponse - The Starting Response Value

Returns:

Instance of the Shape Preserving Discount Curve

SmoothingGlobalControlBuild

public static final MergedDiscountForwardCurve SmoothingGlobalControlBuild(MergedDiscountForwardCurve dcShapePreserver,
                                                                           LinearLatentStateCalibrator llsc,
                                                                           GlobalControlCurveParams gccp,
                                                                           ValuationParams valParam,
                                                                           CreditPricerParams pricerParam,
                                                                           CurveSurfaceQuoteContainer csqs,
                                                                           ValuationCustomizationParams quotingParam)

Build a Globally Smoothed Instance of the Discount Curve using the Custom Parameters

Parameters:

dcShapePreserver - Instance of the Shape Preserving Discount Curve

llsc - The Linear Latent State Calibrator Instance

gccp - Global Smoothing Curve Control Parameters

valParam - Valuation Parameters

pricerParam - Pricer Parameters

csqs - Market Parameters

quotingParam - Quoting Parameters

Returns:

Globally Smoothed Instance of the Discount Curve

SmoothingLocalControlBuild

public static final MergedDiscountForwardCurve SmoothingLocalControlBuild(MergedDiscountForwardCurve dcShapePreserver,
                                                                          LinearLatentStateCalibrator llsc,
                                                                          LocalControlCurveParams lccp,
                                                                          ValuationParams valParam,
                                                                          CreditPricerParams pricerParam,
                                                                          CurveSurfaceQuoteContainer csqs,
                                                                          ValuationCustomizationParams quotingParam)

Build a Locally Smoothed Instance of the Discount Curve using the Custom Parameters

Parameters:

dcShapePreserver - Instance of the Shape Preserving Discount Curve

llsc - The Linear Latent State Calibrator Instance

lccp - Local Smoothing Curve Control Parameters

valParam - Valuation Parameters

pricerParam - Pricer Parameters

csqs - Market Parameters

quotingParam - Quoting Parameters

Returns:

Locally Smoothed Instance of the Discount Curve

DFRateShapePreserver

public static final MergedDiscountForwardCurve DFRateShapePreserver(java.lang.String strName,
                                                                    ValuationParams valParams,
                                                                    CreditPricerParams pricerParam,
                                                                    CurveSurfaceQuoteContainer csqs,
                                                                    ValuationCustomizationParams quotingParam,
                                                                    java.lang.String strBasisType,
                                                                    FunctionSetBuilderParams fsbp,
                                                                    CalibratableComponent[] aCalibComp1,
                                                                    double[] adblQuote1,
                                                                    java.lang.String[] astrManifestMeasure1,
                                                                    CalibratableComponent[] aCalibComp2,
                                                                    double[] adblQuote2,
                                                                    java.lang.String[] astrManifestMeasure2,
                                                                    double dblEpochResponse,
                                                                    boolean bZeroSmooth)

Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set builder parameters.

Parameters:

strName - Curve Name

valParams - Valuation Parameters

pricerParam - Pricer Parameters

csqs - Market Parameters

quotingParam - Quoting Parameters

strBasisType - The Basis Type

fsbp - The Function Set Basis Parameters

aCalibComp1 - Array of Calibration Components #1

adblQuote1 - Array of Calibration Quotes #1

astrManifestMeasure1 - Array of Manifest Measures for component Array #1

aCalibComp2 - Array of Calibration Components #2

adblQuote2 - Array of Calibration Quotes #2

astrManifestMeasure2 - Array of Manifest Measures for component Array #2

dblEpochResponse - The Stretch Start DF

bZeroSmooth - TRUE - Turn on the Zero Rate Smoothing

Returns:

Instance of the Shape Preserver of the desired basis type

CubicKLKHyperbolicDFRateShapePreserver

public static final MergedDiscountForwardCurve CubicKLKHyperbolicDFRateShapePreserver(java.lang.String strName,
                                                                                      ValuationParams valParams,
                                                                                      CalibratableComponent[] aCalibComp1,
                                                                                      double[] adblQuote1,
                                                                                      java.lang.String[] astrManifestMeasure1,
                                                                                      CalibratableComponent[] aCalibComp2,
                                                                                      double[] adblQuote2,
                                                                                      java.lang.String[] astrManifestMeasure2,
                                                                                      boolean bZeroSmooth)

Construct an instance of the Shape Preserver of the KLK Hyperbolic Tension Type, using the specified basis set builder parameters.

Parameters:

strName - Curve Name

valParams - Valuation Parameters

aCalibComp1 - Array of Calibration Components #1

adblQuote1 - Array of Calibration Quotes #1

astrManifestMeasure1 - Array of Manifest Measures for component Array #1

aCalibComp2 - Array of Calibration Components #2

adblQuote2 - Array of Calibration Quotes #2

astrManifestMeasure2 - Array of Manifest Measures for component Array #2

bZeroSmooth - TRUE - Turn on the Zero Rate Smoothing

Returns:

Instance of the Shape Preserver of the desired basis type

CubicPolyDFRateShapePreserver

public static final MergedDiscountForwardCurve CubicPolyDFRateShapePreserver(java.lang.String strName,
                                                                             ValuationParams valParams,
                                                                             CalibratableComponent[] aCalibComp1,
                                                                             double[] adblQuote1,
                                                                             java.lang.String[] astrManifestMeasure1,
                                                                             CalibratableComponent[] aCalibComp2,
                                                                             double[] adblQuote2,
                                                                             java.lang.String[] astrManifestMeasure2,
                                                                             boolean bZeroSmooth)

Construct an instance of the Shape Preserver of the Cubic Polynomial Type, using the specified basis set builder parameters.

Parameters:

strName - Curve Name

valParams - Valuation Parameters

aCalibComp1 - Array of Calibration Components #1

adblQuote1 - Array of Calibration Quotes #1

astrManifestMeasure1 - Array of Manifest Measures for component Array #1

aCalibComp2 - Array of Calibration Components #2

adblQuote2 - Array of Calibration Quotes #2

astrManifestMeasure2 - Array of Manifest Measures for component Array #2

bZeroSmooth - TRUE - Turn on the Zero Rate Smoothing

Returns:

Instance of the Shape Preserver of the desired basis type

CustomDENSE

public static final MergedDiscountForwardCurve CustomDENSE(java.lang.String strName,
                                                           ValuationParams valParams,
                                                           CalibratableComponent[] aCalibComp1,
                                                           double[] adblQuote1,
                                                           java.lang.String strTenor1,
                                                           java.lang.String[] astrManifestMeasure1,
                                                           CalibratableComponent[] aCalibComp2,
                                                           double[] adblQuote2,
                                                           java.lang.String strTenor2,
                                                           java.lang.String[] astrManifestMeasure2,
                                                           TurnListDiscountFactor tldf)

Customizable DENSE Curve Creation Methodology - the references are: - Sankar, L. (1997): OFUTS – An Alternative Yield Curve Interpolator F. A. S. T. Research Documentation Bear Sterns. - Nahum, E. (2004): Changes to Yield Curve Construction – Linear Stripping of the Short End of the Curve F. A. S. T. Research Documentation Bear Sterns. - Kinlay, J., and X. Bai (2009): Yield Curve Construction Models – Tools and Techniques (http://www.jonathankinlay.com/Articles/Yield Curve Construction Models.pdf)

Parameters:

strName - The Curve Name

valParams - Valuation Parameters

aCalibComp1 - Array of Stretch #1 Calibration Components

adblQuote1 - Array of Stretch #1 Calibration Quotes

strTenor1 - Stretch #1 Instrument set re-construction Tenor

astrManifestMeasure1 - Array of Manifest Measures for component Array #1

aCalibComp2 - Array of Stretch #2 Calibration Components

adblQuote2 - Array of Stretch #2 Calibration Quotes

strTenor2 - Stretch #2 Instrument set re-construction Tenor

astrManifestMeasure2 - Array of Manifest Measures for component Array #2

tldf - The Turns List

Returns:

The Customized DENSE Curve.

DENSE

public static final MergedDiscountForwardCurve DENSE(java.lang.String strName,
                                                     ValuationParams valParams,
                                                     CalibratableComponent[] aCalibComp1,
                                                     double[] adblQuote1,
                                                     java.lang.String[] astrManifestMeasure1,
                                                     CalibratableComponent[] aCalibComp2,
                                                     double[] adblQuote2,
                                                     java.lang.String[] astrManifestMeasure2,
                                                     TurnListDiscountFactor tldf)

The Standard DENSE Curve Creation Methodology - this uses no re-construction set for the short term, and uses 3M dense re-construction for the Swap Set. The references are: - Sankar, L. (1997): OFUTS – An Alternative Yield Curve Interpolator F. A. S. T. Research Documentation Bear Sterns. - Nahum, E. (2004): Changes to Yield Curve Construction – Linear Stripping of the Short End of the Curve F. A. S. T. Research Documentation Bear Sterns. - Kinlay, J., and X. Bai (2009): Yield Curve Construction Models – Tools and Techniques (http://www.jonathankinlay.com/Articles/Yield Curve Construction Models.pdf)

Parameters:

strName - The Curve Name

valParams - Valuation Parameters

aCalibComp1 - Array of Stretch #1 Calibration Components

adblQuote1 - Array of Stretch #1 Calibration Quotes

astrManifestMeasure1 - Array of Manifest Measures for component Array #1

aCalibComp2 - Array of Stretch #2 Calibration Components

adblQuote2 - Array of Stretch #2 Calibration Quotes

astrManifestMeasure2 - Array of Manifest Measures for component Array #2

tldf - The Turns List

Returns:

The Customized DENSE Curve.

DUALDENSE

public static final MergedDiscountForwardCurve DUALDENSE(java.lang.String strName,
                                                         ValuationParams valParams,
                                                         CalibratableComponent[] aCalibComp1,
                                                         double[] adblQuote1,
                                                         java.lang.String strTenor1,
                                                         java.lang.String[] astrManifestMeasure1,
                                                         CalibratableComponent[] aCalibComp2,
                                                         double[] adblQuote2,
                                                         java.lang.String strTenor2,
                                                         java.lang.String[] astrManifestMeasure2,
                                                         TurnListDiscountFactor tldf)

The DUAL DENSE Curve Creation Methodology - this uses configurable re-construction set for the short term, and another configurable re-construction for the Swap Set. 1D re-construction tenor for the short end will result in CDF (Constant Daily Forward) Discount Curve. The references are: - Sankar, L. (1997): OFUTS – An Alternative Yield Curve Interpolator F. A. S. T. Research Documentation Bear Sterns. - Nahum, E. (2004): Changes to Yield Curve Construction – Linear Stripping of the Short End of the Curve F. A. S. T. Research Documentation Bear Sterns. - Kinlay, J., and X. Bai (2009): Yield Curve Construction Models – Tools and Techniques (http://www.jonathankinlay.com/Articles/Yield Curve Construction Models.pdf)

Parameters:

strName - The Curve Name

valParams - Valuation Parameters

aCalibComp1 - Array of Stretch #1 Calibration Components

adblQuote1 - Array of Stretch #1 Calibration Quotes

strTenor1 - Stretch #1 Instrument set re-construction Tenor

astrManifestMeasure1 - Array of Manifest Measures for component Array #1

aCalibComp2 - Array of Stretch #2 Calibration Components

adblQuote2 - Array of Stretch #2 Calibration Quotes

strTenor2 - Stretch #2 Instrument set re-construction Tenor

astrManifestMeasure2 - Array of Manifest Measures for component Array #2

tldf - The Turns List

Returns:

The Customized DENSE Curve.

CustomSplineDiscountCurve

public static final MergedDiscountForwardCurve CustomSplineDiscountCurve(java.lang.String strName,
                                                                         JulianDate dtStart,
                                                                         java.lang.String strCurrency,
                                                                         int[] aiDate,
                                                                         double[] adblDF,
                                                                         SegmentCustomBuilderControl scbc)

Create an Instance of the Custom Splined Discount Curve

Parameters:

strName - Curve Name

dtStart - Tenor Start Date

strCurrency - The Currency

aiDate - Array of Dates

adblDF - Array of Discount Factors

scbc - The Segment Custom Builder Control

Returns:

The Instance of the Basis Curve

CubicPolynomialDiscountCurve

public static final MergedDiscountForwardCurve CubicPolynomialDiscountCurve(java.lang.String strName,
                                                                            JulianDate dtStart,
                                                                            java.lang.String strCurrency,
                                                                            int[] aiDate,
                                                                            double[] adblDF)

Create an Instance of the Cubic Polynomial Splined DF Discount Curve

Parameters:

strName - Curve Name

dtStart - Tenor Start Date

strCurrency - The Currency

aiDate - Array of Dates

adblDF - Array of Discount Factors

Returns:

The Instance of the Discount Curve

QuarticPolynomialDiscountCurve

public static final MergedDiscountForwardCurve QuarticPolynomialDiscountCurve(java.lang.String strName,
                                                                              JulianDate dtStart,
                                                                              java.lang.String strCurrency,
                                                                              int[] aiDate,
                                                                              double[] adblDF)

Create an Instance of the Quartic Polynomial Splined DF Discount Curve

Parameters:

strName - Curve Name

dtStart - Tenor Start Date

strCurrency - The Currency

aiDate - Array of Dates

adblDF - Array of Discount Factors

Returns:

The Instance of the Discount Curve

KaklisPandelisDiscountCurve

public static final MergedDiscountForwardCurve KaklisPandelisDiscountCurve(java.lang.String strName,
                                                                           JulianDate dtStart,
                                                                           java.lang.String strCurrency,
                                                                           int[] aiDate,
                                                                           double[] adblDF)

Create an Instance of the Kaklis-Pandelis Splined DF Discount Curve

Parameters:

strName - Curve Name

dtStart - Tenor Start Date

strCurrency - The Currency

aiDate - Array of Dates

adblDF - Array of Discount Factors

Returns:

The Instance of the Discount Curve

KLKHyperbolicDiscountCurve

public static final MergedDiscountForwardCurve KLKHyperbolicDiscountCurve(java.lang.String strName,
                                                                          JulianDate dtStart,
                                                                          java.lang.String strCurrency,
                                                                          int[] aiDate,
                                                                          double[] adblDF,
                                                                          double dblTension)

Create an Instance of the KLK Hyperbolic Splined DF Discount Curve

Parameters:

strName - Curve Name

dtStart - Tenor Start Date

strCurrency - The Currency

aiDate - Array of Dates

adblDF - Array of Discount Factors

dblTension - The Tension Parameter

Returns:

The Instance of the Discount Curve

KLKExponentialDiscountCurve

public static final MergedDiscountForwardCurve KLKExponentialDiscountCurve(java.lang.String strName,
                                                                           JulianDate dtStart,
                                                                           java.lang.String strCurrency,
                                                                           int[] aiDate,
                                                                           double[] adblDF,
                                                                           double dblTension)

Create an Instance of the KLK Exponential Splined DF Discount Curve

Parameters:

strName - Curve Name

dtStart - Tenor Start Date

strCurrency - The Currency

aiDate - Array of Dates

adblDF - Array of Discount Factors

dblTension - The Tension Parameter

Returns:

The Instance of the Discount Curve

KLKRationalLinearDiscountCurve

public static final MergedDiscountForwardCurve KLKRationalLinearDiscountCurve(java.lang.String strName,
                                                                              JulianDate dtStart,
                                                                              java.lang.String strCurrency,
                                                                              int[] aiDate,
                                                                              double[] adblDF,
                                                                              double dblTension)

Create an Instance of the KLK Linear Rational Splined DF Discount Curve

Parameters:

strName - Curve Name

dtStart - Tenor Start Date

strCurrency - The Currency

aiDate - Array of Dates

adblDF - Array of Discount Factors

dblTension - The Tension Parameter

Returns:

The Instance of the Discount Curve

KLKRationalQuadraticDiscountCurve

public static final MergedDiscountForwardCurve KLKRationalQuadraticDiscountCurve(java.lang.String strName,
                                                                                 JulianDate dtStart,
                                                                                 java.lang.String strCurrency,
                                                                                 int[] aiDate,
                                                                                 double[] adblDF,
                                                                                 double dblTension)

Create an Instance of the KLK Quadratic Rational Splined DF Discount Curve

Parameters:

strName - Curve Name

dtStart - Tenor Start Date

strCurrency - The Currency

aiDate - Array of Dates

adblDF - Array of Discount Factors

dblTension - The Tension Parameter

Returns:

The Instance of the Discount Curve

BuildFromDF

public static final MergedDiscountForwardCurve BuildFromDF(JulianDate dtStart,
                                                           java.lang.String strCurrency,
                                                           int[] aiDate,
                                                           double[] adblDF)

Build a Discount Curve from an array of discount factors

Parameters:

dtStart - Start Date

strCurrency - Currency

aiDate - Array of dates

adblDF - array of discount factors

Returns:

Discount Curve

ExponentiallyCompoundedFlatRate

public static final ExplicitBootDiscountCurve ExponentiallyCompoundedFlatRate(JulianDate dtStart,
                                                                              java.lang.String strCurrency,
                                                                              double dblRate)

Create a Discount Curve from the Exponentially Compounded Flat Rate

Parameters:

dtStart - Start Date

strCurrency - Currency

dblRate - Rate

Returns:

Discount Curve

DiscretelyCompoundedFlatRate

public static final ExplicitBootDiscountCurve DiscretelyCompoundedFlatRate(JulianDate dtStart,
                                                                           java.lang.String strCurrency,
                                                                           double dblRate,
                                                                           java.lang.String strCompoundingDayCount,
                                                                           int iCompoundingFreq)

Create a Discount Curve from the Discretely Compounded Flat Rate

Parameters:

dtStart - Start Date

strCurrency - Currency

dblRate - Rate

strCompoundingDayCount - Day Count Convention to be used for Discrete Compounding

iCompoundingFreq - Frequency to be used for Discrete Compounding

Returns:

Discount Curve

CreateFromFlatYield

public static final ExplicitBootDiscountCurve CreateFromFlatYield(JulianDate dtStart,
                                                                  java.lang.String strCurrency,
                                                                  double dblYield,
                                                                  java.lang.String strCompoundingDayCount,
                                                                  int iCompoundingFreq)

Create a Discount Curve from the Flat Yield

Parameters:

dtStart - Start Date

strCurrency - Currency

dblYield - Yield

strCompoundingDayCount - Day Count Convention to be used for Discrete Compounding

iCompoundingFreq - Frequency to be used for Discrete Compounding

Returns:

The Discount Curve Instance

PiecewiseForward

public static final ExplicitBootDiscountCurve PiecewiseForward(JulianDate dtStart,
                                                               java.lang.String strCurrency,
                                                               int[] aiDate,
                                                               double[] adblRate)

Create a discount curve from an array of dates/rates

Parameters:

dtStart - Start Date

strCurrency - Currency

aiDate - array of dates

adblRate - array of rates

Returns:

Creates the discount curve