org.drip.state.creator

Class ScenarioFXCurveBuilder

java.lang.Object

org.drip.state.creator.ScenarioFXCurveBuilder

public class ScenarioFXCurveBuilder
extends java.lang.Object

ScenarioFXCurveBuilder implements the construction of the scenario FX Curve using the input FX Curve instruments.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ScenarioFXCurveBuilder()

Method Summary

Modifier and Type	Method and Description
static FXCurve	CubicPolynomialCurve(java.lang.String strName, JulianDate dtStart, CurrencyPair cp, java.lang.String[] astrTenor, double[] adblFXForward, double dblFXSpot) Create an Instance of the Cubic Polynomial Splined FX Forward Curve
static FXCurve	CubicPolyShapePreserver(java.lang.String strName, CurrencyPair cp, int iSpotDate, CalibratableComponent[] aComp, double[] adblQuote, java.lang.String strManifestMeasure, double dblFXSpot) Construct an Instance of the Shape Preserver of the Cubic Polynomial Type, using the Specified Basis Set Builder Parameters.
static FXCurve	CustomSplineCurve(java.lang.String strName, JulianDate dtStart, CurrencyPair cp, java.lang.String[] astrTenor, double[] adblFXForward, SegmentCustomBuilderControl scbc, double dblFXSpot) Create an Instance of the Custom Splined FX Forward Curve
static FXCurve	KaklisPandelisCurve(java.lang.String strName, JulianDate dtStart, CurrencyPair cp, java.lang.String[] astrTenor, double[] adblFXForward, double dblFXSpot) Create an Instance of the Kaklis-Pandelis Splined FX Forward Curve
static FXCurve	KLKHyperbolicCurve(java.lang.String strName, JulianDate dtStart, CurrencyPair cp, java.lang.String[] astrTenor, double[] adblFXForward, double dblFXSpot, double dblTension) Create an Instance of the KLK Hyperbolic Splined FX Forward Curve
static FXCurve	KLKRationalLinearCurve(java.lang.String strName, JulianDate dtStart, CurrencyPair cp, java.lang.String[] astrTenor, double[] adblFXForward, double dblFXSpot, double dblTension) Create an Instance of the KLK Rational Linear Splined FX Forward Curve
static FXCurve	KLKRationalQuadraticCurve(java.lang.String strName, JulianDate dtStart, CurrencyPair cp, java.lang.String[] astrTenor, double[] adblFXForward, double dblFXSpot, double dblTension) Create an Instance of the KLK Rational Quadratic Splined FX Forward Curve
static FXCurve	QuarticPolynomialCurve(java.lang.String strName, JulianDate dtStart, CurrencyPair cp, java.lang.String[] astrTenor, double[] adblFXForward, double dblFXSpot) Create an Instance of the Quartic Polynomial Splined FX Forward Curve
static FXCurve	ShapePreservingFXCurve(LinearLatentStateCalibrator llsc, LatentStateStretchSpec[] aStretchSpec, CurrencyPair cp, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, double dblEpochResponse) Build the Shape Preserving FX Curve using the Custom Parameters
static FXCurve	ShapePreservingFXCurve(java.lang.String strName, CurrencyPair cp, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, CalibratableComponent[] aCalibComp, java.lang.String strManifestMeasure, double[] adblQuote, double dblEpochResponse, SegmentCustomBuilderControl scbc) Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set builder parameters.
static FXCurve	ShapePreservingFXCurve(java.lang.String strName, CurrencyPair cp, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, java.lang.String strBasisType, FunctionSetBuilderParams fsbp, CalibratableComponent[] aCalibComp, java.lang.String strManifestMeasure, double[] adblQuote, double dblEpochResponse) Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set builder parameters.

Methods inherited from class java.lang.Object

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

Constructor Detail

ScenarioFXCurveBuilder

public ScenarioFXCurveBuilder()

Method Detail

ShapePreservingFXCurve

public static final FXCurve ShapePreservingFXCurve(LinearLatentStateCalibrator llsc,
                                                   LatentStateStretchSpec[] aStretchSpec,
                                                   CurrencyPair cp,
                                                   ValuationParams valParams,
                                                   CreditPricerParams pricerParams,
                                                   CurveSurfaceQuoteContainer csqs,
                                                   ValuationCustomizationParams vcp,
                                                   double dblEpochResponse)

Build the Shape Preserving FX Curve using the Custom Parameters

Parameters:

llsc - The Linear Latent State Calibrator Instance

aStretchSpec - Array of the Latent State Stretches

cp - The FX Currency Pair

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Market Parameters

vcp - Quoting Parameters

dblEpochResponse - The Starting Response Value

Returns:

Instance of the Shape Preserving Discount Curve

ShapePreservingFXCurve

public static final FXCurve ShapePreservingFXCurve(java.lang.String strName,
                                                   CurrencyPair cp,
                                                   ValuationParams valParams,
                                                   CreditPricerParams pricerParams,
                                                   CurveSurfaceQuoteContainer csqs,
                                                   ValuationCustomizationParams vcp,
                                                   CalibratableComponent[] aCalibComp,
                                                   java.lang.String strManifestMeasure,
                                                   double[] adblQuote,
                                                   double dblEpochResponse,
                                                   SegmentCustomBuilderControl scbc)

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

Parameters:

strName - Curve Name

cp - The FX Currency Pair

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Market Parameters

vcp - Quoting Parameters

aCalibComp - Array of Calibration Components

strManifestMeasure - The Calibration Manifest Measure

adblQuote - Array of Calibration Quotes

dblEpochResponse - The Stretch Start DF

scbc - Segment Custom Builder Control Parameters

Returns:

Instance of the Shape Preserver of the desired basis type

ShapePreservingFXCurve

public static final FXCurve ShapePreservingFXCurve(java.lang.String strName,
                                                   CurrencyPair cp,
                                                   ValuationParams valParams,
                                                   CreditPricerParams pricerParams,
                                                   CurveSurfaceQuoteContainer csqs,
                                                   ValuationCustomizationParams vcp,
                                                   java.lang.String strBasisType,
                                                   FunctionSetBuilderParams fsbp,
                                                   CalibratableComponent[] aCalibComp,
                                                   java.lang.String strManifestMeasure,
                                                   double[] adblQuote,
                                                   double dblEpochResponse)

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

Parameters:

strName - Curve Name

cp - The FX Currency Pair

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Market Parameters

vcp - Quoting Parameters

strBasisType - The Basis Type

fsbp - The Function Set Basis Parameters

aCalibComp - Array of Calibration Components

strManifestMeasure - The Calibration Manifest Measure

adblQuote - Array of Calibration Quotes

dblEpochResponse - The Stretch Start DF

Returns:

Instance of the Shape Preserver of the desired basis type

CubicPolyShapePreserver

public static final FXCurve CubicPolyShapePreserver(java.lang.String strName,
                                                    CurrencyPair cp,
                                                    int iSpotDate,
                                                    CalibratableComponent[] aComp,
                                                    double[] adblQuote,
                                                    java.lang.String strManifestMeasure,
                                                    double dblFXSpot)

Construct an Instance of the Shape Preserver of the Cubic Polynomial Type, using the Specified Basis Set Builder Parameters.

Parameters:

strName - Curve Name

cp - The FX Currency Pair

iSpotDate - Spot Date

aComp - Array of Calibration Components

adblQuote - Array of Calibration Quotes

strManifestMeasure - The Calibration Manifest Measure

dblFXSpot - The FX Spot

Returns:

Instance of the Shape Preserver of the Cubic Polynomial Type

CustomSplineCurve

public static final FXCurve CustomSplineCurve(java.lang.String strName,
                                              JulianDate dtStart,
                                              CurrencyPair cp,
                                              java.lang.String[] astrTenor,
                                              double[] adblFXForward,
                                              SegmentCustomBuilderControl scbc,
                                              double dblFXSpot)

Create an Instance of the Custom Splined FX Forward Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

cp - The Currency Pair

astrTenor - Array of the Tenors

adblFXForward - Array of the FX Forwards

scbc - The Segment Custom Builder Control

dblFXSpot - FX Spot

Returns:

The Instance of the FX Forward Curve

CubicPolynomialCurve

public static final FXCurve CubicPolynomialCurve(java.lang.String strName,
                                                 JulianDate dtStart,
                                                 CurrencyPair cp,
                                                 java.lang.String[] astrTenor,
                                                 double[] adblFXForward,
                                                 double dblFXSpot)

Create an Instance of the Cubic Polynomial Splined FX Forward Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

cp - The Currency Pair

astrTenor - Array of the Tenors

adblFXForward - Array of the FX Forwards

dblFXSpot - FX Spot

Returns:

The Instance of the FX Forward Curve

QuarticPolynomialCurve

public static final FXCurve QuarticPolynomialCurve(java.lang.String strName,
                                                   JulianDate dtStart,
                                                   CurrencyPair cp,
                                                   java.lang.String[] astrTenor,
                                                   double[] adblFXForward,
                                                   double dblFXSpot)

Create an Instance of the Quartic Polynomial Splined FX Forward Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

cp - The Currency Pair

astrTenor - Array of the Tenors

adblFXForward - Array of the FX Forwards

dblFXSpot - FX Spot

Returns:

The Instance of the FX Forward Curve

KaklisPandelisCurve

public static final FXCurve KaklisPandelisCurve(java.lang.String strName,
                                                JulianDate dtStart,
                                                CurrencyPair cp,
                                                java.lang.String[] astrTenor,
                                                double[] adblFXForward,
                                                double dblFXSpot)

Create an Instance of the Kaklis-Pandelis Splined FX Forward Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

cp - The Currency Pair

astrTenor - Array of the Tenors

adblFXForward - Array of the FX Forwards

dblFXSpot - FX Spot

Returns:

The Instance of the FX Forward Curve

KLKHyperbolicCurve

public static final FXCurve KLKHyperbolicCurve(java.lang.String strName,
                                               JulianDate dtStart,
                                               CurrencyPair cp,
                                               java.lang.String[] astrTenor,
                                               double[] adblFXForward,
                                               double dblFXSpot,
                                               double dblTension)

Create an Instance of the KLK Hyperbolic Splined FX Forward Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

cp - The Currency Pair

astrTenor - Array of the Tenors

adblFXForward - Array of the FX Forwards

dblFXSpot - FX Spot

dblTension - The Tension Parameter

Returns:

The Instance of the FX Forward Curve

KLKRationalLinearCurve

public static final FXCurve KLKRationalLinearCurve(java.lang.String strName,
                                                   JulianDate dtStart,
                                                   CurrencyPair cp,
                                                   java.lang.String[] astrTenor,
                                                   double[] adblFXForward,
                                                   double dblFXSpot,
                                                   double dblTension)

Create an Instance of the KLK Rational Linear Splined FX Forward Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

cp - The Currency Pair

astrTenor - Array of the Tenors

adblFXForward - Array of the FX Forwards

dblFXSpot - FX Spot

dblTension - The Tension Parameter

Returns:

The Instance of the FX Forward Curve

KLKRationalQuadraticCurve

public static final FXCurve KLKRationalQuadraticCurve(java.lang.String strName,
                                                      JulianDate dtStart,
                                                      CurrencyPair cp,
                                                      java.lang.String[] astrTenor,
                                                      double[] adblFXForward,
                                                      double dblFXSpot,
                                                      double dblTension)

Create an Instance of the KLK Rational Quadratic Splined FX Forward Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

cp - The Currency Pair

astrTenor - Array of the Tenors

adblFXForward - Array of the FX Forwards

dblFXSpot - FX Spot

dblTension - The Tension Parameter

Returns:

The Instance of the FX Forward Curve