Package org.drip.sample.forward

Class IBORCurve

java.lang.Object
org.drip.sample.forward.IBORCurve
public class IBORCurve
extends java.lang.Object
IBORCurve illustrates the Construction and Usage of the IBOR Forward Curve.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    IBORCurve()  

  • Method Summary

    Modifier and Type Method Description
    static ForwardCurve CustomIBORBuilderSample​(MergedDiscountForwardCurve dc, ForwardCurve fcReference, ForwardLabel fri, SegmentCustomBuilderControl scbc, java.lang.String[] astrDepositTenor, double[] adblDepositQuote, java.lang.String strDepositCalibMeasure, java.lang.String[] astrFRATenor, double[] adblFRAQuote, java.lang.String strFRACalibMeasure, java.lang.String[] astrFixFloatTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatCalibMeasure, java.lang.String[] astrFloatFloatTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatCalibMeasure, java.lang.String[] astrSyntheticFloatFloatTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatCalibMeasure, java.lang.String strHeaderComment, boolean bPrintMetric)
    Construct the Custom IBOR Sample Curve
    static ForwardCurve CustomIBORBuilderSample2​(MergedDiscountForwardCurve dc, ForwardCurve fcReference, ForwardLabel fri, SegmentCustomBuilderControl scbc, java.lang.String[] astrDepositTenor, double[] adblDepositQuote, java.lang.String strDepositCalibMeasure, java.lang.String[] astrFRATenor, double[] adblFRAQuote, java.lang.String strFRACalibMeasure, java.lang.String[] astrFixFloatTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatCalibMeasure, java.lang.String[] astrComponentPairTenor, double[] adblComponentPairQuote, java.lang.String strComponentPairCalibMeasure, java.lang.String[] astrSyntheticComponentPairTenor, double[] adblSyntheticComponentPairQuote, java.lang.String strSyntheticComponentPairCalibMeasure, java.lang.String strHeaderComment, boolean bPrintMetric)
    Construct the Custom IBOR Sample Curve #2
    static void ForwardJack​(JulianDate dt, java.lang.String strHeaderComment, ForwardCurve fc, java.lang.String strManifestMeasure)
    Display the Forward Jacobian

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • IBORCurve

      public IBORCurve()

  • Method Details

    • CustomIBORBuilderSample

      public static final ForwardCurve CustomIBORBuilderSample​(MergedDiscountForwardCurve dc, ForwardCurve fcReference, ForwardLabel fri, SegmentCustomBuilderControl scbc, java.lang.String[] astrDepositTenor, double[] adblDepositQuote, java.lang.String strDepositCalibMeasure, java.lang.String[] astrFRATenor, double[] adblFRAQuote, java.lang.String strFRACalibMeasure, java.lang.String[] astrFixFloatTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatCalibMeasure, java.lang.String[] astrFloatFloatTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatCalibMeasure, java.lang.String[] astrSyntheticFloatFloatTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatCalibMeasure, java.lang.String strHeaderComment, boolean bPrintMetric) throws java.lang.Exception
      Construct the Custom IBOR Sample Curve
      Parameters:
      dc - Discount Curve
      fcReference - Reference Forward Curve
      fri - Floating Rate Index
      scbc - Segment Custom Builder Control
      astrDepositTenor - Deposit Tenor Array
      adblDepositQuote - Deposit Quote Array
      strDepositCalibMeasure - Deposit Calibration Measure
      astrFRATenor - FRA Tenor Array
      adblFRAQuote - FRA Quote Array
      strFRACalibMeasure - FRA Calibration Measure Array
      astrFixFloatTenor - Fix-Float Tenor Array
      adblFixFloatQuote - Fix-Float Quote Array
      strFixFloatCalibMeasure - Fix-Float Calibration Measure
      astrFloatFloatTenor - Float-float Tenor Array
      adblFloatFloatQuote - Float-Float Quote Array
      strFloatFloatCalibMeasure - Float-float Calibration Measure
      astrSyntheticFloatFloatTenor - Synthetic Float-float Tenor Array
      adblSyntheticFloatFloatQuote - Synthetic Float-float Quote Array
      strSyntheticFloatFloatCalibMeasure - Synthetic Float-float Measure
      strHeaderComment - Header Comment
      bPrintMetric - TRUE - Print Metric
      Returns:
      The Custom IBOR Sample Curve
      Throws:
      java.lang.Exception - Thrown if the Custom IBOR Sample Curve cannot be constructed

    • CustomIBORBuilderSample2

      public static final ForwardCurve CustomIBORBuilderSample2​(MergedDiscountForwardCurve dc, ForwardCurve fcReference, ForwardLabel fri, SegmentCustomBuilderControl scbc, java.lang.String[] astrDepositTenor, double[] adblDepositQuote, java.lang.String strDepositCalibMeasure, java.lang.String[] astrFRATenor, double[] adblFRAQuote, java.lang.String strFRACalibMeasure, java.lang.String[] astrFixFloatTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatCalibMeasure, java.lang.String[] astrComponentPairTenor, double[] adblComponentPairQuote, java.lang.String strComponentPairCalibMeasure, java.lang.String[] astrSyntheticComponentPairTenor, double[] adblSyntheticComponentPairQuote, java.lang.String strSyntheticComponentPairCalibMeasure, java.lang.String strHeaderComment, boolean bPrintMetric) throws java.lang.Exception
      Construct the Custom IBOR Sample Curve #2
      Parameters:
      dc - Discount Curve
      fcReference - Reference Forward Curve
      fri - Floating Rate Index
      scbc - Segment Custom Builder Control
      astrDepositTenor - Deposit Tenor Array
      adblDepositQuote - Deposit Quote Array
      strDepositCalibMeasure - Deposit Calibration Measure
      astrFRATenor - FRA Tenor Array
      adblFRAQuote - FRA Quote Array
      strFRACalibMeasure - FRA Calibration Measure Array
      astrFixFloatTenor - Fix-Float Tenor Array
      adblFixFloatQuote - Fix-Float Quote Array
      strFixFloatCalibMeasure - Fix-Float Calibration Measure
      astrComponentPairTenor - Component Pair Tenor Array
      adblComponentPairQuote - Component Pair Quote Array
      strComponentPairCalibMeasure - Component Pair Calibration Measure
      astrSyntheticComponentPairTenor - Synthetic Component Pair Tenor Array
      adblSyntheticComponentPairQuote - Synthetic Component Pair Quote Array
      strSyntheticComponentPairCalibMeasure - Synthetic Component Pair Measure
      strHeaderComment - Header Comment
      bPrintMetric - TRUE - Print Metric
      Returns:
      The Custom IBOR Sample Curve
      Throws:
      java.lang.Exception - Thrown if the Custom IBOR Sample Curve cannot be constructed

    • ForwardJack

      public static final void ForwardJack​(JulianDate dt, java.lang.String strHeaderComment, ForwardCurve fc, java.lang.String strManifestMeasure)
      Display the Forward Jacobian
      Parameters:
      dt - Date
      strHeaderComment - Header Comment
      fc - Forward Curve
      strManifestMeasure - Manifest Measure