Package org.drip.sample.fixfloat

Class InAdvanceSwap

java.lang.Object

org.drip.sample.fixfloat.InAdvanceSwap

public class InAdvanceSwap
extends java.lang.Object

InAdvanceSwap discount curve calibration and input instrument calibration quote recovery. It shows the following:

• Construct the Array of Deposit/Swap Instruments and their Quotes from the given set of parameters.
• Construct the Deposit/Swap Instrument Set Stretch Builder.
• Set up the Linear Curve Calibrator using the following parameters:
  • Cubic Exponential Mixture Basis Spline Set
  • C_k = 2 Segment Curvature Penalty = 2
  • Quadratic Rational Shape Controller
  • Natural Boundary Setting
• Construct the Shape Preserving Discount Curve by applying the linear curve calibrator to the array of Cash and Swap Stretches.
• Cross-Comparison of the Cash/Swap Calibration Instrument "Rate" metric across the different curve construction methodologies.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = DROP API Construction and Usage
• Package = Coupon, Floater, Amortizing IRS Variants

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
InAdvanceSwap()

Method Summary

Modifier and Type	Method	Description
static void	main(java.lang.String[] astrArgs)	Entry Point

Methods inherited from class java.lang.Object

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

Constructor Details

InAdvanceSwap

public InAdvanceSwap()

Method Details

main

public static final void main(java.lang.String[] astrArgs)
                       throws java.lang.Exception

Entry Point

Parameters:

astrArgs - Command Line Argument Array

Throws:

java.lang.Exception - Thrown on Error/Exception Situation