org.drip.state.creator

Class ScenarioRepoCurveBuilder

java.lang.Object

org.drip.state.creator.ScenarioRepoCurveBuilder

public class ScenarioRepoCurveBuilder
extends java.lang.Object

ScenarioRepoCurveBuilder implements the Construction of the Scenario Repo Curve using the Input Instruments and their Quotes.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ScenarioRepoCurveBuilder()

Method Summary

Modifier and Type	Method and Description
static RepoCurve	CubicPolynomialRepoCurve(java.lang.String strName, JulianDate dtSpot, Component comp, int[] aiDate, double[] adblRepo) Create an Instance of the Cubic Polynomial Splined Repo Curve
static RepoCurve	CustomSplineRepoCurve(java.lang.String strName, JulianDate dtSpot, Component comp, int[] aiDate, double[] adblRepo, SegmentCustomBuilderControl scbc) Create an Instance of the Custom Splined Repo Curve
static RepoCurve	FlatRateRepoCurve(JulianDate dtSpot, Component comp, double dblRepoRate) Construct a Repo Curve using the Flat Repo Rate
static RepoCurve	KaklisPandelisRepoCurve(java.lang.String strName, JulianDate dtSpot, Component comp, int[] aiDate, double[] adblRepo) Create an Instance of the Kaklis-Pandelis Splined Repo Curve
static RepoCurve	KLKHyperbolicRepoCurve(java.lang.String strName, JulianDate dtSpot, Component comp, int[] aiDate, double[] adblRepo, double dblTension) Create an Instance of the KLK Hyperbolic Splined Repo Curve
static RepoCurve	KLKRationalLinearRepoCurve(java.lang.String strName, JulianDate dtSpot, Component comp, int[] aiDate, double[] adblRepo, double dblTension) Create an Instance of the KLK Rational Linear Splined Repo Curve
static RepoCurve	KLKRationalQuadraticRepoCurve(java.lang.String strName, JulianDate dtSpot, Component comp, int[] aiDate, double[] adblRepo, double dblTension) Create an Instance of the KLK Rational Quadratic Splined Repo Curve
static RepoCurve	QuarticPolynomialRepoCurve(java.lang.String strName, JulianDate dtSpot, Component comp, int[] aiDate, double[] adblRepo) Create an Instance of the Quartic Polynomial Splined Repo Curve

Methods inherited from class java.lang.Object

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

Constructor Detail

ScenarioRepoCurveBuilder

public ScenarioRepoCurveBuilder()

Method Detail

CustomSplineRepoCurve

public static final RepoCurve CustomSplineRepoCurve(java.lang.String strName,
                                                    JulianDate dtSpot,
                                                    Component comp,
                                                    int[] aiDate,
                                                    double[] adblRepo,
                                                    SegmentCustomBuilderControl scbc)

Create an Instance of the Custom Splined Repo Curve

Parameters:

strName - Curve Name

dtSpot - The Spot Date

comp - The Underlying Repo Component

aiDate - Array of the Dates

adblRepo - Array of the Repo Rates

scbc - The Segment Custom Builder Control

Returns:

The Instance of the Custom Splined Repo Curve

CubicPolynomialRepoCurve

public static final RepoCurve CubicPolynomialRepoCurve(java.lang.String strName,
                                                       JulianDate dtSpot,
                                                       Component comp,
                                                       int[] aiDate,
                                                       double[] adblRepo)

Create an Instance of the Cubic Polynomial Splined Repo Curve

Parameters:

strName - Curve Name

dtSpot - The Spot Date

comp - The Underlying Repo Component

aiDate - Array of the Dates

adblRepo - Array of the Repo Rates

Returns:

The Instance of the Basis Curve

QuarticPolynomialRepoCurve

public static final RepoCurve QuarticPolynomialRepoCurve(java.lang.String strName,
                                                         JulianDate dtSpot,
                                                         Component comp,
                                                         int[] aiDate,
                                                         double[] adblRepo)

Create an Instance of the Quartic Polynomial Splined Repo Curve

Parameters:

strName - Curve Name

dtSpot - The Spot Date

comp - The Underlying Repo Component

aiDate - Array of the Dates

adblRepo - Array of the Repo Rates

Returns:

The Instance of the Splined Repo Curve

KaklisPandelisRepoCurve

public static final RepoCurve KaklisPandelisRepoCurve(java.lang.String strName,
                                                      JulianDate dtSpot,
                                                      Component comp,
                                                      int[] aiDate,
                                                      double[] adblRepo)

Create an Instance of the Kaklis-Pandelis Splined Repo Curve

Parameters:

strName - Curve Name

dtSpot - The Spot Date

comp - The Underlying Repo Component

aiDate - Array of the Dates

adblRepo - Array of the Repo Rates

Returns:

The Instance of the Splined Repo Curve

KLKHyperbolicRepoCurve

public static final RepoCurve KLKHyperbolicRepoCurve(java.lang.String strName,
                                                     JulianDate dtSpot,
                                                     Component comp,
                                                     int[] aiDate,
                                                     double[] adblRepo,
                                                     double dblTension)

Create an Instance of the KLK Hyperbolic Splined Repo Curve

Parameters:

strName - Curve Name

dtSpot - The Spot Date

comp - The Underlying Repo Component

aiDate - Array of the Dates

adblRepo - Array of the Repo Rates

dblTension - The Tension Parameter

Returns:

The Instance of the Splined Repo Curve

KLKRationalLinearRepoCurve

public static final RepoCurve KLKRationalLinearRepoCurve(java.lang.String strName,
                                                         JulianDate dtSpot,
                                                         Component comp,
                                                         int[] aiDate,
                                                         double[] adblRepo,
                                                         double dblTension)

Create an Instance of the KLK Rational Linear Splined Repo Curve

Parameters:

strName - Curve Name

dtSpot - The Spot Date

comp - The Underlying Repo Component

aiDate - Array of the Dates

adblRepo - Array of the Repo Rates

dblTension - The Tension Parameter

Returns:

The Instance of the Repo Curve

KLKRationalQuadraticRepoCurve

public static final RepoCurve KLKRationalQuadraticRepoCurve(java.lang.String strName,
                                                            JulianDate dtSpot,
                                                            Component comp,
                                                            int[] aiDate,
                                                            double[] adblRepo,
                                                            double dblTension)

Create an Instance of the KLK Rational Quadratic Splined Repo Curve

Parameters:

strName - Curve Name

dtSpot - The Spot Date

comp - The Underlying Repo Component

aiDate - Array of the Dates

adblRepo - Array of the Repo Rates

dblTension - The Tension Parameter

Returns:

The Instance of the Repo Curve

FlatRateRepoCurve

public static final RepoCurve FlatRateRepoCurve(JulianDate dtSpot,
                                                Component comp,
                                                double dblRepoRate)

Construct a Repo Curve using the Flat Repo Rate

Parameters:

dtSpot - Spot Date

comp - Repo Component

dblRepoRate - The Flat Repo Rate

Returns:

The Flat Repo Rate Curve