Package org.drip.param.creator

Class MarketParamsBuilder

java.lang.Object

org.drip.param.creator.MarketParamsBuilder

public class MarketParamsBuilder
extends java.lang.Object

MarketParamsBuilder implements the various ways of constructing, de-serializing, and building the Market Parameters.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Product Cash Flow, Valuation, Market, Pricing, and Quoting Parameters
• Package = Market Curves Surfaces Quotes Builder

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
MarketParamsBuilder()

Method Summary

Modifier and Type	Method	Description
static CurveSurfaceQuoteContainer	Create(MergedDiscountForwardCurve dcFunding, ForwardCurve fc, GovvieCurve gc, CreditCurve cc, java.lang.String strComponentCode, ProductQuote compQuote, CaseInsensitiveTreeMap<ProductQuote> mTSYQuotes, LatentStateFixingsContainer lsfc)	Create a Market Parameters instance with the funding discount curve, the forward discount curve, the govvie curve, the credit curve, the component quote, the map of treasury benchmark quotes, and the Latent State Fixings Instance.
static CurveSurfaceQuoteContainer	Create(MergedDiscountForwardCurve dcFunding, GovvieCurve gc, CreditCurve cc, java.lang.String strComponentCode, ProductQuote compQuote, CaseInsensitiveTreeMap<ProductQuote> mTSYQuotes, LatentStateFixingsContainer lsfc)	Create a Market Parameters Instance with the Funding Curve, the Govvie Curve, the Credit Curve, the component quote, the map of treasury benchmark quotes, and the Latent State Fixings Container
static ScenarioMarketParams	CreateMarketParams()	Create MarketParams from the array of calibration instruments
static CurveSurfaceQuoteContainer	Credit(MergedDiscountForwardCurve dcFunding, CreditCurve cc)	Create a Market Parameters Instance with the Funding Curve and the credit curve
static CurveSurfaceQuoteContainer	Discount(MergedDiscountForwardCurve dcFunding)	Create a Market Parameters instance with the Funding Curve alone
static CurveSurfaceQuoteContainer	DiscountForward(MergedDiscountForwardCurve dcFunding, ForwardCurve fc)	Create a Market Parameters instance with the Funding Curve and the forward Curve
static CurveSurfaceQuoteContainer	Govvie(MergedDiscountForwardCurve dcFunding, GovvieCurve gc)	Create a Market Parameters instance with the rates discount curve and the treasury discount curve alone

Methods inherited from class java.lang.Object

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

Constructor Details

MarketParamsBuilder

public MarketParamsBuilder()

Method Details

Create

public static final CurveSurfaceQuoteContainer Create(MergedDiscountForwardCurve dcFunding,
ForwardCurve fc,
GovvieCurve gc,
CreditCurve cc,
java.lang.String strComponentCode,
ProductQuote compQuote,
CaseInsensitiveTreeMap<ProductQuote> mTSYQuotes,
LatentStateFixingsContainer lsfc)

Create a Market Parameters instance with the funding discount curve, the forward discount curve, the govvie curve, the credit curve, the component quote, the map of treasury benchmark quotes, and the Latent State Fixings Instance.

Parameters:

dcFunding - Funding Curve

fc - Forward Curve

gc - Govvie Curve

cc - Credit Curve

strComponentCode - Component Code

compQuote - Component quote

mTSYQuotes - Map of Treasury Benchmark Quotes

lsfc - The Latent State Fixings Instance

Returns:

Market Parameters Instance

Discount

public static final CurveSurfaceQuoteContainer Discount(MergedDiscountForwardCurve dcFunding)

Create a Market Parameters instance with the Funding Curve alone

Parameters:

dcFunding - Funding Curve

Returns:

Market Parameters instance

DiscountForward

public static final CurveSurfaceQuoteContainer DiscountForward(MergedDiscountForwardCurve dcFunding,
ForwardCurve fc)

Create a Market Parameters instance with the Funding Curve and the forward Curve

Parameters:

dcFunding - Funding Curve

fc - Forward Curve

Returns:

Market Parameters instance

Govvie

public static final CurveSurfaceQuoteContainer Govvie(MergedDiscountForwardCurve dcFunding,
GovvieCurve gc)

Create a Market Parameters instance with the rates discount curve and the treasury discount curve alone

Parameters:

dcFunding - Funding Curve

gc - Govvie Curve

Returns:

Market Parameters instance

Credit

public static final CurveSurfaceQuoteContainer Credit(MergedDiscountForwardCurve dcFunding,
CreditCurve cc)

Create a Market Parameters Instance with the Funding Curve and the credit curve

Parameters:

dcFunding - Funding Curve

cc - Credit Curve

Returns:

The Market Parameters Instance

Create

public static final CurveSurfaceQuoteContainer Create(MergedDiscountForwardCurve dcFunding,
GovvieCurve gc,
CreditCurve cc,
java.lang.String strComponentCode,
ProductQuote compQuote,
CaseInsensitiveTreeMap<ProductQuote> mTSYQuotes,
LatentStateFixingsContainer lsfc)

Create a Market Parameters Instance with the Funding Curve, the Govvie Curve, the Credit Curve, the component quote, the map of treasury benchmark quotes, and the Latent State Fixings Container

Parameters:

dcFunding - Funding Curve

gc - Govvie Curve

cc - Credit Curve

strComponentCode - Component Code

compQuote - Component quote

mTSYQuotes - Map of Treasury Benchmark Quotes

lsfc - Latent State Fixings Container

Returns:

Market Parameters Instance

CreateMarketParams

public static final ScenarioMarketParams CreateMarketParams()

Create MarketParams from the array of calibration instruments

Returns:

MarketParams object