org.drip.state.estimator

Class LatentStateStretchBuilder

java.lang.Object

org.drip.state.estimator.LatentStateStretchBuilder

public class LatentStateStretchBuilder
extends java.lang.Object

LatentStateStretchBuilder contains the Functionality to construct the Curve Latent State Stretch for the different Latent States.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
LatentStateStretchBuilder()

Method Summary

Modifier and Type	Method and Description
static LatentStateStretchSpec	ComponentPairDiscountStretch(java.lang.String strName, ComponentPair[] aCCSP, ValuationParams valParams, CurveSurfaceQuoteContainer mktParams, double[] adblReferenceComponentBasis, double[] adblSwapRate, boolean bBasisOnDerivedLeg) Construct an instance of LatentStateStretchSpec for the Construction of the Discount Curve from the specified Inputs
static LatentStateStretchSpec	ComponentPairForwardStretch(java.lang.String strName, ComponentPair[] aCCSP, ValuationParams valParams, CurveSurfaceQuoteContainer mktParams, double[] adblBasis, boolean bBasisOnDerivedComponent, boolean bBasisOnDerivedStream) Construct an instance of LatentStateStretchSpec for the Construction of the Forward Curve from the specified Inputs
static LatentStateStretchSpec	ForwardFundingStretchSpec(java.lang.String strName, CalibratableComponent[] aCalibComp, java.lang.String[] astrCalibMeasure, double[] adblCalibQuote) Construct a Merged Forward-Funding Latent State Stretch Spec Instance
static LatentStateStretchSpec	ForwardFundingStretchSpec(java.lang.String strName, CalibratableComponent[] aCalibComp, java.lang.String strCalibMeasure, double[] adblCalibQuote) Construct a Merged Forward-Funding Latent State Stretch Spec Instance
static LatentStateStretchSpec	ForwardStretchSpec(java.lang.String strName, CalibratableComponent[] aCalibComp, java.lang.String[] astrCalibMeasure, double[] adblCalibQuote) Construct a Forward Latent State Stretch Spec Instance
static LatentStateStretchSpec	ForwardStretchSpec(java.lang.String strName, CalibratableComponent[] aCalibComp, java.lang.String strCalibMeasure, double[] adblCalibQuote) Construct a Forward Latent State Stretch Spec Instance
static LatentStateStretchSpec	FundingStretchSpec(java.lang.String strName, CalibratableComponent[] aCalibComp, java.lang.String[] astrCalibMeasure, double[] adblCalibQuote) Construct a Funding Latent State Stretch Spec Instance
static LatentStateStretchSpec	FundingStretchSpec(java.lang.String strName, CalibratableComponent[] aCalibComp, java.lang.String strCalibMeasure, double[] adblCalibQuote) Construct a Funding Latent State Stretch Spec Instance
static LatentStateStretchSpec	FXStretchSpec(java.lang.String strName, CalibratableComponent[] aCalibComp, java.lang.String[] astrCalibMeasure, double[] adblCalibQuote) Construct a FX Latent State Stretch Spec Instance
static LatentStateStretchSpec	FXStretchSpec(java.lang.String strName, CalibratableComponent[] aCalibComp, java.lang.String strCalibMeasure, double[] adblCalibQuote) Construct a FX Latent State Stretch Spec Instance

Methods inherited from class java.lang.Object

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

Constructor Detail

LatentStateStretchBuilder

public LatentStateStretchBuilder()

Method Detail

ForwardStretchSpec

public static final LatentStateStretchSpec ForwardStretchSpec(java.lang.String strName,
                                                              CalibratableComponent[] aCalibComp,
                                                              java.lang.String[] astrCalibMeasure,
                                                              double[] adblCalibQuote)

Construct a Forward Latent State Stretch Spec Instance

Parameters:

strName - Stretch Name

aCalibComp - Array of Calibration Components

astrCalibMeasure - Array of the Calibration Measures

adblCalibQuote - Array of the Calibration Quotes

Returns:

Forward Latent State Stretch Spec Instance

ForwardFundingStretchSpec

public static final LatentStateStretchSpec ForwardFundingStretchSpec(java.lang.String strName,
                                                                     CalibratableComponent[] aCalibComp,
                                                                     java.lang.String[] astrCalibMeasure,
                                                                     double[] adblCalibQuote)

Construct a Merged Forward-Funding Latent State Stretch Spec Instance

Parameters:

strName - Stretch Name

aCalibComp - Array of Calibration Components

astrCalibMeasure - Array of the Calibration Measures

adblCalibQuote - Array of the Calibration Quotes

Returns:

Merged Forward-Funding Latent State Stretch Spec Instance

FundingStretchSpec

public static final LatentStateStretchSpec FundingStretchSpec(java.lang.String strName,
                                                              CalibratableComponent[] aCalibComp,
                                                              java.lang.String[] astrCalibMeasure,
                                                              double[] adblCalibQuote)

Construct a Funding Latent State Stretch Spec Instance

Parameters:

strName - Stretch Name

aCalibComp - Array of Calibration Components

astrCalibMeasure - Array of the Calibration Measures

adblCalibQuote - Array of the Calibration Quotes

Returns:

Funding Latent State Stretch Spec Instance

ForwardStretchSpec

public static final LatentStateStretchSpec ForwardStretchSpec(java.lang.String strName,
                                                              CalibratableComponent[] aCalibComp,
                                                              java.lang.String strCalibMeasure,
                                                              double[] adblCalibQuote)

Construct a Forward Latent State Stretch Spec Instance

Parameters:

strName - Stretch Name

aCalibComp - Array of Calibration Components

strCalibMeasure - The Calibration Measure

adblCalibQuote - Array of the Calibration Quotes

Returns:

Forward Latent State Stretch Spec Instance

ForwardFundingStretchSpec

public static final LatentStateStretchSpec ForwardFundingStretchSpec(java.lang.String strName,
                                                                     CalibratableComponent[] aCalibComp,
                                                                     java.lang.String strCalibMeasure,
                                                                     double[] adblCalibQuote)

Construct a Merged Forward-Funding Latent State Stretch Spec Instance

Parameters:

strName - Stretch Name

aCalibComp - Array of Calibration Components

strCalibMeasure - The Calibration Measure

adblCalibQuote - Array of the Calibration Quotes

Returns:

Merged Forward-Funding Latent State Stretch Spec Instance

FundingStretchSpec

public static final LatentStateStretchSpec FundingStretchSpec(java.lang.String strName,
                                                              CalibratableComponent[] aCalibComp,
                                                              java.lang.String strCalibMeasure,
                                                              double[] adblCalibQuote)

Construct a Funding Latent State Stretch Spec Instance

Parameters:

strName - Stretch Name

aCalibComp - Array of Calibration Components

strCalibMeasure - The Calibration Measure

adblCalibQuote - Array of the Calibration Quotes

Returns:

Funding Latent State Stretch Spec Instance

ComponentPairForwardStretch

public static final LatentStateStretchSpec ComponentPairForwardStretch(java.lang.String strName,
                                                                       ComponentPair[] aCCSP,
                                                                       ValuationParams valParams,
                                                                       CurveSurfaceQuoteContainer mktParams,
                                                                       double[] adblBasis,
                                                                       boolean bBasisOnDerivedComponent,
                                                                       boolean bBasisOnDerivedStream)

Construct an instance of LatentStateStretchSpec for the Construction of the Forward Curve from the specified Inputs

Parameters:

strName - Stretch Name

aCCSP - Array of Calibration Cross Currency Swap Pair Instances

valParams - The Valuation Parameters

mktParams - The Basket Market Parameters to imply the Market Quote Measure

adblBasis - Array of the Basis on either the Reference Component or the Derived Component

bBasisOnDerivedComponent - TRUE - Apply the Basis on the Derived Component

bBasisOnDerivedStream - TRUE - Apply the Basis on the Derived Stream (FALSE - Reference Stream)

Returns:

Instance of LatentStateStretchSpec

ComponentPairDiscountStretch

public static final LatentStateStretchSpec ComponentPairDiscountStretch(java.lang.String strName,
                                                                        ComponentPair[] aCCSP,
                                                                        ValuationParams valParams,
                                                                        CurveSurfaceQuoteContainer mktParams,
                                                                        double[] adblReferenceComponentBasis,
                                                                        double[] adblSwapRate,
                                                                        boolean bBasisOnDerivedLeg)

Construct an instance of LatentStateStretchSpec for the Construction of the Discount Curve from the specified Inputs

Parameters:

strName - Stretch Name

aCCSP - Array of Calibration Cross Currency Swap Pair Instances

valParams - The Valuation Parameters

mktParams - The Basket Market Parameters to imply the Market Quote Measure

adblReferenceComponentBasis - Array of the Reference Component Reference Leg Basis Spread

adblSwapRate - Array of the IRS Calibration Swap Rates

bBasisOnDerivedLeg - TRUE - Apply the Basis on the Derived Leg (FALSE - Reference Leg)

Returns:

Instance of LatentStateStretchSpec

FXStretchSpec

public static final LatentStateStretchSpec FXStretchSpec(java.lang.String strName,
                                                         CalibratableComponent[] aCalibComp,
                                                         java.lang.String[] astrCalibMeasure,
                                                         double[] adblCalibQuote)

Construct a FX Latent State Stretch Spec Instance

Parameters:

strName - Stretch Name

aCalibComp - Array of Calibration Components

astrCalibMeasure - Array of the Calibration Measures

adblCalibQuote - Array of the Calibration Quotes

Returns:

FX Latent State Stretch Spec Instance

FXStretchSpec

public static final LatentStateStretchSpec FXStretchSpec(java.lang.String strName,
                                                         CalibratableComponent[] aCalibComp,
                                                         java.lang.String strCalibMeasure,
                                                         double[] adblCalibQuote)

Construct a FX Latent State Stretch Spec Instance

Parameters:

strName - Stretch Name

aCalibComp - Array of Calibration Components

strCalibMeasure - The Calibration Measure

adblCalibQuote - Array of the Calibration Quotes

Returns:

FX Latent State Stretch Spec Instance