org.drip.state.creator

Class ScenarioGovvieCurveBuilder

java.lang.Object

org.drip.state.creator.ScenarioGovvieCurveBuilder

public class ScenarioGovvieCurveBuilder
extends java.lang.Object

ScenarioGovvieCurveBuilder implements the Construction of the Scenario Govvie Curve using the Input Govvie Curve Instruments.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ScenarioGovvieCurveBuilder()

Method Summary

Modifier and Type	Method and Description
static GovvieCurve	ConstantYield(int iEpochDate, java.lang.String strTreasuryCode, java.lang.String strCurrency, double dblYield) Construct a Govvie Curve from the Specified Date and Yield
static GovvieCurve	CubicPolynomialCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strTreasuryCode, java.lang.String strCurrency, int[] aiMaturityDate, double[] adblYield) Create an Instance of the Cubic Polynomial Splined Govvie Yield Curve
static GovvieCurve	CubicPolyShapePreserver(java.lang.String strName, java.lang.String strTreasuryCode, java.lang.String strCurrency, int iSpotDate, CalibratableComponent[] aComp, double[] adblQuote, java.lang.String strManifestMeasure) Construct an Instance of the Shape Preserver of the Cubic Polynomial Type, using the Specified Basis Set Builder Parameters.
static GovvieCurve	CustomSplineCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strTreasuryCode, java.lang.String strCurrency, int[] aiMaturityDate, double[] adblYield, SegmentCustomBuilderControl scbc) Create an Instance of the Custom Splined Govvie Yield Curve
static GovvieCurve	DateYield(int iEpochDate, java.lang.String strTreasuryCode, java.lang.String strCurrency, int[] aiDate, double[] adblYield) Construct a Govvie Curve from an Array of Dates and Yields
static GovvieCurve	KaklisPandelisCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strTreasuryCode, java.lang.String strCurrency, int[] aiMaturityDate, double[] adblYield) Create an Instance of the Kaklis-Pandelis Splined Govvie Yield Curve
static GovvieCurve	KLKHyperbolicCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strTreasuryCode, java.lang.String strCurrency, int[] aiMaturityDate, double[] adblYield, double dblTension) Create an Instance of the KLK Hyperbolic Splined Govvie Yield Curve
static GovvieCurve	KLKRationalLinearCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strTreasuryCode, java.lang.String strCurrency, int[] aiMaturityDate, double[] adblYield, double dblTension) Create an Instance of the KLK Rational Linear Splined Govvie Yield Curve
static GovvieCurve	KLKRationalQuadraticCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strTreasuryCode, java.lang.String strCurrency, int[] aiMaturityDate, double[] adblYield, double dblTension) Create an Instance of the KLK Rational Quadratic Splined Govvie Yield Curve
static GovvieCurve	LinearPolyShapePreserver(java.lang.String strName, java.lang.String strTreasuryCode, java.lang.String strCurrency, int iSpotDate, CalibratableComponent[] aComp, double[] adblQuote, java.lang.String strManifestMeasure) Construct an Instance of the Shape Preserver of the Linear Polynomial Type, using the Specified Basis Set Builder Parameters.
static GovvieCurve	QuarticPolynomialCurve(java.lang.String strName, JulianDate dtStart, java.lang.String strTreasuryCode, java.lang.String strCurrency, int[] aiMaturityDate, double[] adblYield) Create an Instance of the Quartic Polynomial Splined Govvie Yield Curve
static GovvieCurve	ShapePreservingGovvieCurve(LinearLatentStateCalibrator llsc, LatentStateStretchSpec[] aStretchSpec, java.lang.String strTreasuryCode, java.lang.String strCurrency, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqc, ValuationCustomizationParams vcp, double dblEpochResponse) Build the Shape Preserving Govvie Curve using the Custom Parameters
static GovvieCurve	ShapePreservingGovvieCurve(java.lang.String strName, java.lang.String strTreasuryCode, java.lang.String strCurrency, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqc, ValuationCustomizationParams vcp, java.lang.String strBasisType, FunctionSetBuilderParams fsbp, SegmentInelasticDesignControl sdic, CalibratableComponent[] aCalibComp, java.lang.String strManifestMeasure, double[] adblQuote) Construct an Instance of the Shape Preserver of the desired Basis Spline Type, using the specified Basis Spline Set Builder Parameters.

Methods inherited from class java.lang.Object

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

Constructor Detail

ScenarioGovvieCurveBuilder

public ScenarioGovvieCurveBuilder()

Method Detail

ShapePreservingGovvieCurve

public static final GovvieCurve ShapePreservingGovvieCurve(LinearLatentStateCalibrator llsc,
                                                           LatentStateStretchSpec[] aStretchSpec,
                                                           java.lang.String strTreasuryCode,
                                                           java.lang.String strCurrency,
                                                           ValuationParams valParams,
                                                           CreditPricerParams pricerParams,
                                                           CurveSurfaceQuoteContainer csqc,
                                                           ValuationCustomizationParams vcp,
                                                           double dblEpochResponse)

Build the Shape Preserving Govvie Curve using the Custom Parameters

Parameters:

llsc - The Linear Latent State Calibrator Instance

aStretchSpec - Array of the Latent State Stretches

strTreasuryCode - Treasury Code

strCurrency - Currency

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqc - Market Parameters

vcp - Valuation Customization Parameters

dblEpochResponse - The Starting Response Value

Returns:

Instance of the Shape Preserving Discount Curve

ShapePreservingGovvieCurve

public static final GovvieCurve ShapePreservingGovvieCurve(java.lang.String strName,
                                                           java.lang.String strTreasuryCode,
                                                           java.lang.String strCurrency,
                                                           ValuationParams valParams,
                                                           CreditPricerParams pricerParams,
                                                           CurveSurfaceQuoteContainer csqc,
                                                           ValuationCustomizationParams vcp,
                                                           java.lang.String strBasisType,
                                                           FunctionSetBuilderParams fsbp,
                                                           SegmentInelasticDesignControl sdic,
                                                           CalibratableComponent[] aCalibComp,
                                                           java.lang.String strManifestMeasure,
                                                           double[] adblQuote)

Construct an Instance of the Shape Preserver of the desired Basis Spline Type, using the specified Basis Spline Set Builder Parameters.

Parameters:

strName - Curve Name

strTreasuryCode - Treasury Code

strCurrency - Currency

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqc - Market Parameters

vcp - Valuation Customization Parameters

strBasisType - The Basis Type

fsbp - The Function Set Basis Parameters

sdic - Segment Design In-elastic Control

aCalibComp - Array of Calibration Components

strManifestMeasure - The Calibration Manifest Measure

adblQuote - Array of Calibration Quotes

Returns:

Instance of the Shape Preserver of the Desired Basis Type

LinearPolyShapePreserver

public static final GovvieCurve LinearPolyShapePreserver(java.lang.String strName,
                                                         java.lang.String strTreasuryCode,
                                                         java.lang.String strCurrency,
                                                         int iSpotDate,
                                                         CalibratableComponent[] aComp,
                                                         double[] adblQuote,
                                                         java.lang.String strManifestMeasure)

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

Parameters:

strName - Curve Name

strTreasuryCode - Treasury Code

strCurrency - Currency

iSpotDate - Spot Date

aComp - Array of Calibration Components

adblQuote - Array of Calibration Quotes

strManifestMeasure - The Calibration Manifest Measure

Returns:

Instance of the Shape Preserver of the Cubic Polynomial Type

CubicPolyShapePreserver

public static final GovvieCurve CubicPolyShapePreserver(java.lang.String strName,
                                                        java.lang.String strTreasuryCode,
                                                        java.lang.String strCurrency,
                                                        int iSpotDate,
                                                        CalibratableComponent[] aComp,
                                                        double[] adblQuote,
                                                        java.lang.String strManifestMeasure)

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

Parameters:

strName - Curve Name

strTreasuryCode - Treasury Code

strCurrency - Currency

iSpotDate - Spot Date

aComp - Array of Calibration Components

adblQuote - Array of Calibration Quotes

strManifestMeasure - The Calibration Manifest Measure

Returns:

Instance of the Shape Preserver of the Cubic Polynomial Type

CustomSplineCurve

public static final GovvieCurve CustomSplineCurve(java.lang.String strName,
                                                  JulianDate dtStart,
                                                  java.lang.String strTreasuryCode,
                                                  java.lang.String strCurrency,
                                                  int[] aiMaturityDate,
                                                  double[] adblYield,
                                                  SegmentCustomBuilderControl scbc)

Create an Instance of the Custom Splined Govvie Yield Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

strTreasuryCode - Treasury Code

strCurrency - Currency

aiMaturityDate - Array of the Maturity Dates

adblYield - Array of the Yields

scbc - The Segment Custom Builder Control

Returns:

The Instance of the Govvie Yield Curve

CubicPolynomialCurve

public static final GovvieCurve CubicPolynomialCurve(java.lang.String strName,
                                                     JulianDate dtStart,
                                                     java.lang.String strTreasuryCode,
                                                     java.lang.String strCurrency,
                                                     int[] aiMaturityDate,
                                                     double[] adblYield)

Create an Instance of the Cubic Polynomial Splined Govvie Yield Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

strTreasuryCode - Treasury Code

strCurrency - Currency

aiMaturityDate - Array of the Maturity Dates

adblYield - Array of the Govvie Yields

Returns:

The Instance of the Govvie Yield Curve

QuarticPolynomialCurve

public static final GovvieCurve QuarticPolynomialCurve(java.lang.String strName,
                                                       JulianDate dtStart,
                                                       java.lang.String strTreasuryCode,
                                                       java.lang.String strCurrency,
                                                       int[] aiMaturityDate,
                                                       double[] adblYield)

Create an Instance of the Quartic Polynomial Splined Govvie Yield Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

strTreasuryCode - Treasury Code

strCurrency - Currency

aiMaturityDate - Array of the Maturity Dates

adblYield - Array of the Yields

Returns:

The Instance of the Govvie Yield Curve

KaklisPandelisCurve

public static final GovvieCurve KaklisPandelisCurve(java.lang.String strName,
                                                    JulianDate dtStart,
                                                    java.lang.String strTreasuryCode,
                                                    java.lang.String strCurrency,
                                                    int[] aiMaturityDate,
                                                    double[] adblYield)

Create an Instance of the Kaklis-Pandelis Splined Govvie Yield Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

strTreasuryCode - Treasury Code

strCurrency - Currency

aiMaturityDate - Array of the Maturity Dates

adblYield - Array of the Yields

Returns:

The Instance of the Govvie Yield Curve

KLKHyperbolicCurve

public static final GovvieCurve KLKHyperbolicCurve(java.lang.String strName,
                                                   JulianDate dtStart,
                                                   java.lang.String strTreasuryCode,
                                                   java.lang.String strCurrency,
                                                   int[] aiMaturityDate,
                                                   double[] adblYield,
                                                   double dblTension)

Create an Instance of the KLK Hyperbolic Splined Govvie Yield Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

strTreasuryCode - Treasury Code

strCurrency - Currency

aiMaturityDate - Array of the Maturity Dates

adblYield - Array of the Yields

dblTension - The Tension Parameter

Returns:

The Instance of the Govvie Yield Curve

KLKRationalLinearCurve

public static final GovvieCurve KLKRationalLinearCurve(java.lang.String strName,
                                                       JulianDate dtStart,
                                                       java.lang.String strTreasuryCode,
                                                       java.lang.String strCurrency,
                                                       int[] aiMaturityDate,
                                                       double[] adblYield,
                                                       double dblTension)

Create an Instance of the KLK Rational Linear Splined Govvie Yield Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

strTreasuryCode - Treasury Code

strCurrency - Currency

aiMaturityDate - Array of the Maturity Dates

adblYield - Array of the Yields

dblTension - The Tension Parameter

Returns:

The Instance of the Govvie Yield Curve

KLKRationalQuadraticCurve

public static final GovvieCurve KLKRationalQuadraticCurve(java.lang.String strName,
                                                          JulianDate dtStart,
                                                          java.lang.String strTreasuryCode,
                                                          java.lang.String strCurrency,
                                                          int[] aiMaturityDate,
                                                          double[] adblYield,
                                                          double dblTension)

Create an Instance of the KLK Rational Quadratic Splined Govvie Yield Curve

Parameters:

strName - Curve Name

dtStart - The Tenor Start Date

strTreasuryCode - Treasury Code

strCurrency - Currency

aiMaturityDate - Array of the Maturity Dates

adblYield - Array of the Yields

dblTension - The Tension Parameter

Returns:

The Instance of the Govvie Yield Curve

DateYield

public static final GovvieCurve DateYield(int iEpochDate,
                                          java.lang.String strTreasuryCode,
                                          java.lang.String strCurrency,
                                          int[] aiDate,
                                          double[] adblYield)

Construct a Govvie Curve from an Array of Dates and Yields

Parameters:

iEpochDate - Epoch Date

strTreasuryCode - Treasury Code

strCurrency - Currency

aiDate - Array of Dates

adblYield - Array of Yields

Returns:

The Govvie Curve Instance

ConstantYield

public static final GovvieCurve ConstantYield(int iEpochDate,
                                              java.lang.String strTreasuryCode,
                                              java.lang.String strCurrency,
                                              double dblYield)

Construct a Govvie Curve from the Specified Date and Yield

Parameters:

iEpochDate - Epoch Date

strTreasuryCode - Treasury Code

strCurrency - Currency

dblYield - Yield

Returns:

The Govvie Curve Instance