org.drip.state.creator

Class ScenarioTermStructureBuilder

java.lang.Object

org.drip.state.creator.ScenarioTermStructureBuilder

public class ScenarioTermStructureBuilder
extends java.lang.Object

ScenarioTermStructureBuilder implements the construction of the basis spline term structure using the input instruments and their quotes.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ScenarioTermStructureBuilder()

Method Summary

Modifier and Type	Method and Description
static NodeStructure	CubicPolynomialTermStructure(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, java.lang.String[] astrTenor, double[] adblNode) Construct a Term Structure Instance based off of a Cubic Polynomial Spline
static NodeStructure	CustomSplineTermStructure(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, double[] adblDate, double[] adblNode, SegmentCustomBuilderControl scbc) Construct a Term Structure Instance using the specified Custom Spline
static NodeStructure	KaklisPandelisTermStructure(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, java.lang.String[] astrTenor, double[] adblNode) Construct a Term Structure Instance based off of a Kaklis-Pandelis Polynomial Tension Spline
static NodeStructure	KLKHyperbolicTermStructure(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, java.lang.String[] astrTenor, double[] adblNode, double dblTension) Construct a Term Structure Instance based off of a KLK Hyperbolic Tension Spline
static NodeStructure	KLKRationalLinearTermStructure(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, java.lang.String[] astrTenor, double[] adblNode, double dblTension) Construct a Term Structure Instance based off of a KLK Rational Linear Tension Spline
static NodeStructure	KLKRationalQuadraticTermStructure(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, java.lang.String[] astrTenor, double[] adblNode, double dblTension) Construct a Term Structure Instance based off of a KLK Rational Quadratic Tension Spline
static NodeStructure	QuarticPolynomialTermStructure(java.lang.String strName, JulianDate dtStart, java.lang.String strCurrency, java.lang.String[] astrTenor, double[] adblNode) Construct a Term Structure Instance based off of a Quartic Polynomial Spline

Methods inherited from class java.lang.Object

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

Constructor Detail

ScenarioTermStructureBuilder

public ScenarioTermStructureBuilder()

Method Detail

CustomSplineTermStructure

public static final NodeStructure CustomSplineTermStructure(java.lang.String strName,
                                                            JulianDate dtStart,
                                                            java.lang.String strCurrency,
                                                            double[] adblDate,
                                                            double[] adblNode,
                                                            SegmentCustomBuilderControl scbc)

Construct a Term Structure Instance using the specified Custom Spline

Parameters:

strName - Name of the the Term Structure Instance

dtStart - The Start Date

strCurrency - Currency

adblDate - Array of Dates

adblNode - Array of Term Structure Nodes

scbc - Segment Custom Builder Parameters

Returns:

Instance of the Term Structure

CubicPolynomialTermStructure

public static final NodeStructure CubicPolynomialTermStructure(java.lang.String strName,
                                                               JulianDate dtStart,
                                                               java.lang.String strCurrency,
                                                               java.lang.String[] astrTenor,
                                                               double[] adblNode)

Construct a Term Structure Instance based off of a Cubic Polynomial Spline

Parameters:

strName - Name of the the Term Structure Instance

dtStart - The Start Date

strCurrency - Currency

astrTenor - Array of Tenors

adblNode - Array of Term Structure Nodes

Returns:

The Term Structure Instance based off of a Cubic Polynomial Spline

QuarticPolynomialTermStructure

public static final NodeStructure QuarticPolynomialTermStructure(java.lang.String strName,
                                                                 JulianDate dtStart,
                                                                 java.lang.String strCurrency,
                                                                 java.lang.String[] astrTenor,
                                                                 double[] adblNode)

Construct a Term Structure Instance based off of a Quartic Polynomial Spline

Parameters:

strName - Name of the the Term Structure Instance

dtStart - The Start Date

strCurrency - Currency

astrTenor - Array of Tenors

adblNode - Array of Term Structure Nodes

Returns:

The Term Structure Instance based off of a Quartic Polynomial Spline

KaklisPandelisTermStructure

public static final NodeStructure KaklisPandelisTermStructure(java.lang.String strName,
                                                              JulianDate dtStart,
                                                              java.lang.String strCurrency,
                                                              java.lang.String[] astrTenor,
                                                              double[] adblNode)

Construct a Term Structure Instance based off of a Kaklis-Pandelis Polynomial Tension Spline

Parameters:

strName - Name of the the Term Structure Instance

dtStart - The Start Date

strCurrency - Currency

astrTenor - Array of Tenors

adblNode - Array of Term Structure Nodes

Returns:

The Term Structure Instance based off of a Kaklis-Pandelis Polynomial Tension Spline

KLKHyperbolicTermStructure

public static final NodeStructure KLKHyperbolicTermStructure(java.lang.String strName,
                                                             JulianDate dtStart,
                                                             java.lang.String strCurrency,
                                                             java.lang.String[] astrTenor,
                                                             double[] adblNode,
                                                             double dblTension)

Construct a Term Structure Instance based off of a KLK Hyperbolic Tension Spline

Parameters:

strName - Name of the the Term Structure Instance

dtStart - The Start Date

strCurrency - Currency

astrTenor - Array of Tenors

adblNode - Array of Term Structure Nodes

dblTension - Tension

Returns:

The Term Structure Instance based off of a KLK Hyperbolic Tension Spline

KLKRationalLinearTermStructure

public static final NodeStructure KLKRationalLinearTermStructure(java.lang.String strName,
                                                                 JulianDate dtStart,
                                                                 java.lang.String strCurrency,
                                                                 java.lang.String[] astrTenor,
                                                                 double[] adblNode,
                                                                 double dblTension)

Construct a Term Structure Instance based off of a KLK Rational Linear Tension Spline

Parameters:

strName - Name of the the Term Structure Instance

dtStart - The Start Date

strCurrency - Currency

astrTenor - Array of Tenors

adblNode - Array of Term Structure Nodes

dblTension - Tension

Returns:

The Term Structure Instance based off of a KLK Rational Linear Tension Spline

KLKRationalQuadraticTermStructure

public static final NodeStructure KLKRationalQuadraticTermStructure(java.lang.String strName,
                                                                    JulianDate dtStart,
                                                                    java.lang.String strCurrency,
                                                                    java.lang.String[] astrTenor,
                                                                    double[] adblNode,
                                                                    double dblTension)

Construct a Term Structure Instance based off of a KLK Rational Quadratic Tension Spline

Parameters:

strName - Name of the the Term Structure Instance

dtStart - The Start Date

strCurrency - Currency

astrTenor - Array of Tenors

adblNode - Array of Term Structure Nodes

dblTension - Tension

Returns:

The Term Structure Instance based off of a KLK Rational Quadratic Tension Spline