Package org.drip.analytics.support

Class VertexDateBuilder

java.lang.Object
org.drip.analytics.support.VertexDateBuilder
public class VertexDateBuilder
extends java.lang.Object
VertexDateBuilder exports Static Functions that create Vertex Dates using different Schemes. The References are:

  • Burgard, C., and M. Kjaer (2013): Funding Strategies, Funding Costs Risk 24 (12) 82-87
  • Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19
  • Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75
  • Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90
  • Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    VertexDateBuilder()  

  • Method Summary

    Modifier and Type Method Description
    static int[] EqualWidth​(int spotDate, int terminalDate, int vertexCount)
    Generate Equal Width Vertex Dates from the specified Spot Date and the Terminal Date
    static int[] SpotDatePeriodTenor​(int spotDate, java.lang.String periodTenor, int vertexCount)
    Construct an Array of Vertex Dates from the Spot Date, Tenor Spacing Width, and the Vertex Count
    static int[] SpotDateVertexTenor​(int spotDate, java.lang.String[] vertexTenorArray)
    Construct an Array of Dates from the Spot Date and the Vertex Tenor Array

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • VertexDateBuilder

      public VertexDateBuilder()

  • Method Details

    • SpotDateVertexTenor

      public static final int[] SpotDateVertexTenor​(int spotDate, java.lang.String[] vertexTenorArray)
      Construct an Array of Dates from the Spot Date and the Vertex Tenor Array
      Parameters:
      spotDate - The Spot Date
      vertexTenorArray - The Vertex Tenor Array
      Returns:
      The Array of Dates

    • SpotDatePeriodTenor

      public static final int[] SpotDatePeriodTenor​(int spotDate, java.lang.String periodTenor, int vertexCount)
      Construct an Array of Vertex Dates from the Spot Date, Tenor Spacing Width, and the Vertex Count
      Parameters:
      spotDate - The Spot Date
      periodTenor - The Tenor Spacing Width
      vertexCount - The Number of Vertexes
      Returns:
      The Array of Vertex Dates

    • EqualWidth

      public static final int[] EqualWidth​(int spotDate, int terminalDate, int vertexCount)
      Generate Equal Width Vertex Dates from the specified Spot Date and the Terminal Date
      Parameters:
      spotDate - The Spot Date
      terminalDate - The Terminal Date
      vertexCount - The Number of Vertexes
      Returns:
      Array of Equal Width Vertex Dates