org.drip.state.creator

Class ScenarioForwardCurveBuilder

java.lang.Object

org.drip.state.creator.ScenarioForwardCurveBuilder

public class ScenarioForwardCurveBuilder
extends java.lang.Object

ScenarioForwardCurveBuilder implements the the construction of the scenario Forward 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
ScenarioForwardCurveBuilder()

Method Summary

Modifier and Type	Method and Description
static ForwardCurve	FlatForwardForwardCurve(JulianDate dtStart, ForwardLabel fri, double dblFlatForwardRate) Construct an Instance of the Flat Forward Rate Forward Curve
static ForwardCurve	ShapePreservingForwardCurve(LinearLatentStateCalibrator llsc, LatentStateStretchSpec[] aStretchSpec, ForwardLabel fri, ValuationParams valParam, CreditPricerParams pricerParam, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParam, double dblEpochResponse) Build the Shape Preserving Forward Curve using the Custom Parameters
static ForwardCurve	ShapePreservingForwardCurve(java.lang.String strName, ForwardLabel fri, ValuationParams valParams, CreditPricerParams pricerParam, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParam, 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

ScenarioForwardCurveBuilder

public ScenarioForwardCurveBuilder()

Method Detail

ShapePreservingForwardCurve

public static final ForwardCurve ShapePreservingForwardCurve(LinearLatentStateCalibrator llsc,
                                                             LatentStateStretchSpec[] aStretchSpec,
                                                             ForwardLabel fri,
                                                             ValuationParams valParam,
                                                             CreditPricerParams pricerParam,
                                                             CurveSurfaceQuoteContainer csqs,
                                                             ValuationCustomizationParams quotingParam,
                                                             double dblEpochResponse)

Build the Shape Preserving Forward Curve using the Custom Parameters

Parameters:

llsc - The Linear Latent State Calibrator Instance

aStretchSpec - Array of the Latent State Stretches

fri - The Floating Rate Index

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

ShapePreservingForwardCurve

public static final ForwardCurve ShapePreservingForwardCurve(java.lang.String strName,
                                                             ForwardLabel fri,
                                                             ValuationParams valParams,
                                                             CreditPricerParams pricerParam,
                                                             CurveSurfaceQuoteContainer csqs,
                                                             ValuationCustomizationParams quotingParam,
                                                             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

fri - The Floating Rate Index

valParams - Valuation Parameters

pricerParam - Pricer Parameters

csqs - Market Parameters

quotingParam - 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

FlatForwardForwardCurve

public static final ForwardCurve FlatForwardForwardCurve(JulianDate dtStart,
                                                         ForwardLabel fri,
                                                         double dblFlatForwardRate)

Construct an Instance of the Flat Forward Rate Forward Curve

Parameters:

dtStart - The Forward Curve Start Date

fri - The Floating Rate Index

dblFlatForwardRate - The Flat Forward Rate

Returns:

Instance of the Flat Forward Rate Forward Curve