org.drip.state.creator

Class ScenarioMarketSurfaceBuilder

java.lang.Object

org.drip.state.creator.ScenarioMarketSurfaceBuilder

public class ScenarioMarketSurfaceBuilder
extends java.lang.Object

ScenarioMarketSurfaceBuilder implements the construction of the scenario market Node surface using the input option instruments, their quotes, and a wide variety of custom builds

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ScenarioMarketSurfaceBuilder()

Method Summary

Modifier and Type	Method and Description
static MarketSurface	CubicPolynomialWireSurface(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, double[] adblX, java.lang.String[] astrTenor, double[][] aadblNode) Construct a Scenario Market Surface off of Cubic Polynomial Wire Spline and Cubic Polynomial Surface Spline.
static MarketSurface	CustomSplineWireSurface(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, double[] adblX, double[] adblY, double[][] aadblNode, SegmentCustomBuilderControl scbcWireSpan, SegmentCustomBuilderControl scbcSurface) Build an Instance of the Market Node Surface using Custom Wire Span and Surface Splines.
static MarketSurface	CustomWireSurface(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, double[] adblX, java.lang.String[] astrTenor, double[][] aadblNode, SegmentCustomBuilderControl scbcWireSpan, SegmentCustomBuilderControl scbcSurface) Construct a Scenario Market Surface off of Custom Wire Spline and Custom Surface Spline.
static MarketSurface	HestonRunMarketSurface(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, double dblRiskFreeRate, double dblUnderlier, boolean bIsForward, double dblInitialVolatility, double[] adblStrike, java.lang.String[] astrTenor, HestonOptionPricerParams fphp, boolean bPriceSurface, SegmentCustomBuilderControl scbcWireSpan, SegmentCustomBuilderControl scbcSurface) Create a Price/Volatility Market Surface Based off of a Single Run using the Heston 1993 Model
static MarketSurface	KaklisPandelisWireSurface(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, double[] adblX, java.lang.String[] astrTenor, double[][] aadblNode) Construct a Scenario Market Surface off of Kaklis-Pandelis Wire Spline and Kaklis-Pandelis Surface Spline.
static MarketSurface	KLKHyperbolicWireSurface(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, double[] adblX, java.lang.String[] astrTenor, double[][] aadblNode, double dblTension) Construct a Scenario Market Surface off of KLK Hyperbolic Wire Spline and KLK Hyperbolic Surface Spline.
static MarketSurface	KLKRationalLinearWireSurface(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, double[] adblX, java.lang.String[] astrTenor, double[][] aadblNode, double dblTension) Construct a Scenario Market Surface off of KLK Rational Linear Wire Spline and KLK Rational Linear Surface Spline.
static MarketSurface	KLKRationalQuadraticWireSurface(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, double[] adblX, java.lang.String[] astrTenor, double[][] aadblNode, double dblTension) Construct a Scenario Market Surface off of KLK Rational Quadratic Wire Spline and KLK Rational Quadratic Surface Spline.
static MarketSurface	QuarticPolynomialWireSurface(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, double[] adblX, java.lang.String[] astrTenor, double[][] aadblNode) Construct a Scenario Market Surface off of Quartic Polynomial Wire Spline and Quartic Polynomial Surface Spline.

Methods inherited from class java.lang.Object

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

Constructor Detail

ScenarioMarketSurfaceBuilder

public ScenarioMarketSurfaceBuilder()

Method Detail

CustomSplineWireSurface

public static final MarketSurface CustomSplineWireSurface(java.lang.String strName,
                                                          JulianDate dtStart,
                                                          java.lang.String strCurrency,
                                                          double[] adblX,
                                                          double[] adblY,
                                                          double[][] aadblNode,
                                                          SegmentCustomBuilderControl scbcWireSpan,
                                                          SegmentCustomBuilderControl scbcSurface)

Build an Instance of the Market Node Surface using Custom Wire Span and Surface Splines.

Parameters:

strName - Name of the Volatility Surface

dtStart - Start/Epoch Julian Date

strCurrency - Currency

adblX - Array of X Ordinates

adblY - Array of Y Ordinates

aadblNode - Double Array of the Surface Nodes

scbcWireSpan - The Wire Span Segment Customizer

scbcSurface - The Surface Segment Customizer

Returns:

Instance of the Market Node Surface

CubicPolynomialWireSurface

public static final MarketSurface CubicPolynomialWireSurface(java.lang.String strName,
                                                             JulianDate dtStart,
                                                             java.lang.String strCurrency,
                                                             double[] adblX,
                                                             java.lang.String[] astrTenor,
                                                             double[][] aadblNode)

Construct a Scenario Market Surface off of Cubic Polynomial Wire Spline and Cubic Polynomial Surface Spline.

Parameters:

strName - Name of the Volatility Surface

dtStart - Start/Epoch Julian Date

strCurrency - Currency

adblX - Array of X Ordinates

astrTenor - Array of Maturity Tenors

aadblNode - Double Array of the Surface Nodes

Returns:

Instance of the Market Node Surface

QuarticPolynomialWireSurface

public static final MarketSurface QuarticPolynomialWireSurface(java.lang.String strName,
                                                               JulianDate dtStart,
                                                               java.lang.String strCurrency,
                                                               double[] adblX,
                                                               java.lang.String[] astrTenor,
                                                               double[][] aadblNode)

Construct a Scenario Market Surface off of Quartic Polynomial Wire Spline and Quartic Polynomial Surface Spline.

Parameters:

strName - Name of the Volatility Surface

dtStart - Start/Epoch Julian Date

strCurrency - Currency

adblX - Array of X Ordinates

astrTenor - Array of Maturity Tenors

aadblNode - Double Array of the Surface Nodes

Returns:

Instance of the Market Node Surface

KaklisPandelisWireSurface

public static final MarketSurface KaklisPandelisWireSurface(java.lang.String strName,
                                                            JulianDate dtStart,
                                                            java.lang.String strCurrency,
                                                            double[] adblX,
                                                            java.lang.String[] astrTenor,
                                                            double[][] aadblNode)

Construct a Scenario Market Surface off of Kaklis-Pandelis Wire Spline and Kaklis-Pandelis Surface Spline.

Parameters:

strName - Name of the Volatility Surface

dtStart - Start/Epoch Julian Date

strCurrency - Currency

adblX - Array of X Ordinates

astrTenor - Array of Maturity Tenors

aadblNode - Double Array of the Surface Nodes

Returns:

Instance of the Market Node Surface

KLKHyperbolicWireSurface

public static final MarketSurface KLKHyperbolicWireSurface(java.lang.String strName,
                                                           JulianDate dtStart,
                                                           java.lang.String strCurrency,
                                                           double[] adblX,
                                                           java.lang.String[] astrTenor,
                                                           double[][] aadblNode,
                                                           double dblTension)

Construct a Scenario Market Surface off of KLK Hyperbolic Wire Spline and KLK Hyperbolic Surface Spline.

Parameters:

strName - Name of the Volatility Surface

dtStart - Start/Epoch Julian Date

strCurrency - Currency

adblX - Array of X Ordinates

astrTenor - Array of Maturity Tenors

aadblNode - Double Array of the Surface Nodes

dblTension - The Tension Parameter

Returns:

Instance of the Market Node Surface

KLKRationalLinearWireSurface

public static final MarketSurface KLKRationalLinearWireSurface(java.lang.String strName,
                                                               JulianDate dtStart,
                                                               java.lang.String strCurrency,
                                                               double[] adblX,
                                                               java.lang.String[] astrTenor,
                                                               double[][] aadblNode,
                                                               double dblTension)

Construct a Scenario Market Surface off of KLK Rational Linear Wire Spline and KLK Rational Linear Surface Spline.

Parameters:

strName - Name of the Volatility Surface

dtStart - Start/Epoch Julian Date

strCurrency - Currency

adblX - Array of X Ordinates

astrTenor - Array of Maturity Tenors

aadblNode - Double Array of the Surface Nodes

dblTension - The Tension Parameter

Returns:

Instance of the Market Node Surface

KLKRationalQuadraticWireSurface

public static final MarketSurface KLKRationalQuadraticWireSurface(java.lang.String strName,
                                                                  JulianDate dtStart,
                                                                  java.lang.String strCurrency,
                                                                  double[] adblX,
                                                                  java.lang.String[] astrTenor,
                                                                  double[][] aadblNode,
                                                                  double dblTension)

Construct a Scenario Market Surface off of KLK Rational Quadratic Wire Spline and KLK Rational Quadratic Surface Spline.

Parameters:

strName - Name of the Volatility Surface

dtStart - Start/Epoch Julian Date

strCurrency - Currency

adblX - Array of X Ordinates

astrTenor - Array of Maturity Tenors

aadblNode - Double Array of the Surface Nodes

dblTension - The Tension Parameter

Returns:

Instance of the Market Node Surface

CustomWireSurface

public static final MarketSurface CustomWireSurface(java.lang.String strName,
                                                    JulianDate dtStart,
                                                    java.lang.String strCurrency,
                                                    double[] adblX,
                                                    java.lang.String[] astrTenor,
                                                    double[][] aadblNode,
                                                    SegmentCustomBuilderControl scbcWireSpan,
                                                    SegmentCustomBuilderControl scbcSurface)

Construct a Scenario Market Surface off of Custom Wire Spline and Custom Surface Spline.

Parameters:

strName - Name of the Volatility Surface

dtStart - Start/Epoch Julian Date

strCurrency - Currency

adblX - Array of X Ordinates

astrTenor - Array of Maturity Tenors

aadblNode - Double Array of the Surface Nodes

scbcWireSpan - The Wire Span Segment Customizer

scbcSurface - The Surface Segment Customizer

Returns:

Instance of the Market Node Surface

HestonRunMarketSurface

public static final MarketSurface HestonRunMarketSurface(java.lang.String strName,
                                                         JulianDate dtStart,
                                                         java.lang.String strCurrency,
                                                         double dblRiskFreeRate,
                                                         double dblUnderlier,
                                                         boolean bIsForward,
                                                         double dblInitialVolatility,
                                                         double[] adblStrike,
                                                         java.lang.String[] astrTenor,
                                                         HestonOptionPricerParams fphp,
                                                         boolean bPriceSurface,
                                                         SegmentCustomBuilderControl scbcWireSpan,
                                                         SegmentCustomBuilderControl scbcSurface)

Create a Price/Volatility Market Surface Based off of a Single Run using the Heston 1993 Model

Parameters:

strName - Surface Name

dtStart - Epoch/Start Date

strCurrency - Currency

dblRiskFreeRate - Risk-Free Rate

dblUnderlier - The Underlier

bIsForward - TRUE - The Underlier represents the Forward, FALSE - it represents Spot

dblInitialVolatility - Initial Volatility

adblStrike - Array of Strikes

astrTenor - Array of Maturity Tenors

fphp - The Heston Stochastic Volatility Generation Parameters

bPriceSurface - TRUE - Generate the Price Surface; FALSE - Generate the Vol Surface

scbcWireSpan - The Wire Span Segment Customizer

scbcSurface - The Surface Segment Customizer

Returns:

Instance of the Market Node Surface