org.drip.state.nonlinear

Class NonlinearCurveBuilder

java.lang.Object

org.drip.state.nonlinear.NonlinearCurveBuilder

public class NonlinearCurveBuilder
extends java.lang.Object

NonlinearCurveBuilder calibrates the discount and credit/hazard curves from the components and their quotes. NonlinearCurveCalibrator employs a set of techniques for achieving this calibration. - It bootstraps the nodes in sequence to calibrate the curve. - In conjunction with splining estimation techniques, it may also be used to perform dual sweep calibration. The inner sweep achieves the calibration of the segment spline parameters, while the outer sweep calibrates iteratively for the targeted boundary conditions. - It may also be used to custom calibrate a single Interest Rate/Hazard Rate Node from the corresponding Component CurveCalibrator bootstraps/cooks both discount curves and credit curves.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
NonlinearCurveBuilder()

Method Summary

Modifier and Type	Method and Description
static boolean	CreditCurve(ValuationParams valParams, Component calibComp, double dblCalibValue, java.lang.String strCalibMeasure, boolean bFlat, int iCurveSegmentIndex, ExplicitBootCreditCurve ebcc, MergedDiscountForwardCurve dc, GovvieCurve gc, CreditPricerParams pricerParams, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a single Hazard Rate Node from the corresponding Component
static boolean	DiscountCurve(ValuationParams valParams, Component[] aCalibComp, double[] adblCalibValue, java.lang.String[] astrCalibMeasure, double dblBump, boolean bFlat, ExplicitBootDiscountCurve ebdc, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Boot-strap a Discount Curve from the set of calibration components
static double	DiscountCurveNode(ValuationParams valParams, Component comp, double dblCalibValue, java.lang.String strCalibMeasure, boolean bFlat, int iCurveSegmentIndex, ExplicitBootDiscountCurve ebdc, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a Single Discount Curve Segment from the corresponding Component
static boolean	VolatilityCurve(ValuationParams valParams, Component[] aCalibComp, double[] adblCalibValue, java.lang.String[] astrCalibMeasure, double dblBump, boolean bFlat, ExplicitBootVolatilityCurve ebvc, MergedDiscountForwardCurve dc, ForwardCurve fc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Boot-strap a Volatility Curve from the set of calibration components
static double	VolatilityCurveNode(ValuationParams valParams, Component comp, double dblCalibValue, java.lang.String strCalibMeasure, boolean bFlat, int iCurveSegmentIndex, ExplicitBootVolatilityCurve ebvc, MergedDiscountForwardCurve dc, ForwardCurve fc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a Single Volatility Curve Segment from the corresponding Component

Methods inherited from class java.lang.Object

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

Constructor Detail

NonlinearCurveBuilder

public NonlinearCurveBuilder()

Method Detail

CreditCurve

public static final boolean CreditCurve(ValuationParams valParams,
                                        Component calibComp,
                                        double dblCalibValue,
                                        java.lang.String strCalibMeasure,
                                        boolean bFlat,
                                        int iCurveSegmentIndex,
                                        ExplicitBootCreditCurve ebcc,
                                        MergedDiscountForwardCurve dc,
                                        GovvieCurve gc,
                                        CreditPricerParams pricerParams,
                                        LatentStateFixingsContainer lsfc,
                                        ValuationCustomizationParams vcp)

Calibrate a single Hazard Rate Node from the corresponding Component

Parameters:

valParams - Calibration Valuation Parameters

calibComp - The Calibration Component

dblCalibValue - The Value to be Calibrated to

strCalibMeasure - The Calibration Measure

bFlat - TRUE - Calibrate a Flat Curve across all Tenors

iCurveSegmentIndex - The Curve Segment Index

ebcc - The Credit Curve to be calibrated

dc - The discount curve to be bootstrapped

gc - The Govvie Curve

pricerParams - Input Pricer Parameters

lsfc - The Latent State Fixings Container

vcp - Valuation Customization Parameters

Returns:

The successfully calibrated State Hazard Rate Point

DiscountCurveNode

public static final double DiscountCurveNode(ValuationParams valParams,
                                             Component comp,
                                             double dblCalibValue,
                                             java.lang.String strCalibMeasure,
                                             boolean bFlat,
                                             int iCurveSegmentIndex,
                                             ExplicitBootDiscountCurve ebdc,
                                             GovvieCurve gc,
                                             LatentStateFixingsContainer lsfc,
                                             ValuationCustomizationParams vcp)
                                      throws java.lang.Exception

Calibrate a Single Discount Curve Segment from the corresponding Component

Parameters:

valParams - Calibration Valuation Parameters

comp - The Calibration Component

dblCalibValue - The Value to be Calibrated to

strCalibMeasure - The Calibration Measure

bFlat - TRUE - Calibrate a Flat Curve across all Tenors

iCurveSegmentIndex - The Curve Segment Index

ebdc - The discount curve to be bootstrapped

gc - The Govvie Curve

lsfc - Latent State Fixings Container

vcp - Valuation Customization Parameters

Returns:

The successfully calibrated State IR Point

Throws:

java.lang.Exception - Thrown if the Bootstrapping is unsuccessful

DiscountCurve

public static final boolean DiscountCurve(ValuationParams valParams,
                                          Component[] aCalibComp,
                                          double[] adblCalibValue,
                                          java.lang.String[] astrCalibMeasure,
                                          double dblBump,
                                          boolean bFlat,
                                          ExplicitBootDiscountCurve ebdc,
                                          GovvieCurve gc,
                                          LatentStateFixingsContainer lsfc,
                                          ValuationCustomizationParams vcp)

Boot-strap a Discount Curve from the set of calibration components

Parameters:

valParams - Calibration Valuation Parameters

aCalibComp - Array of the calibration components

adblCalibValue - Array of Calibration Values

astrCalibMeasure - Array of Calibration Measures

dblBump - Amount to bump the Quotes by

bFlat - TRUE - Calibrate a Flat Curve across all Tenors

ebdc - The discount curve to be bootstrapped

gc - The Govvie Curve

lsfc - Latent State Fixings Container

vcp - Valuation Customization Parameters

Returns:

TRUE - Bootstrapping was successful

VolatilityCurveNode

public static final double VolatilityCurveNode(ValuationParams valParams,
                                               Component comp,
                                               double dblCalibValue,
                                               java.lang.String strCalibMeasure,
                                               boolean bFlat,
                                               int iCurveSegmentIndex,
                                               ExplicitBootVolatilityCurve ebvc,
                                               MergedDiscountForwardCurve dc,
                                               ForwardCurve fc,
                                               LatentStateFixingsContainer lsfc,
                                               ValuationCustomizationParams vcp)
                                        throws java.lang.Exception

Calibrate a Single Volatility Curve Segment from the corresponding Component

Parameters:

valParams - Calibration Valuation Parameters

comp - The Calibration Component

dblCalibValue - The Value to be Calibrated to

strCalibMeasure - The Calibration Measure

bFlat - TRUE - Calibrate a Flat Curve across all Tenors

iCurveSegmentIndex - The Curve Segment Index

ebvc - The Volatility Curve to be bootstrapped

dc - The Discount Curve

fc - The Forward Curve

lsfc - Latent State Fixings Container

vcp - Valuation Customization Parameters

Returns:

The successfully calibrated State IR Point

Throws:

java.lang.Exception - Thrown if the Bootstrapping is unsuccessful

VolatilityCurve

public static final boolean VolatilityCurve(ValuationParams valParams,
                                            Component[] aCalibComp,
                                            double[] adblCalibValue,
                                            java.lang.String[] astrCalibMeasure,
                                            double dblBump,
                                            boolean bFlat,
                                            ExplicitBootVolatilityCurve ebvc,
                                            MergedDiscountForwardCurve dc,
                                            ForwardCurve fc,
                                            LatentStateFixingsContainer lsfc,
                                            ValuationCustomizationParams vcp)

Boot-strap a Volatility Curve from the set of calibration components

Parameters:

valParams - Calibration Valuation Parameters

aCalibComp - Array of the calibration components

adblCalibValue - Array of Calibration Values

astrCalibMeasure - Array of Calibration Measures

dblBump - Amount to bump the Quotes by

bFlat - TRUE - Calibrate a Flat Curve across all Tenors

ebvc - The Volatility Curve to be bootstrapped

dc - The Discount Curve

fc - The Forward Curve

lsfc - Latent State Fixings Container

vcp - Valuation Customization Parameters

Returns:

TRUE - Bootstrapping was successful