Package org.drip.sample.funding

Class CustomFundingCurveReconciler

java.lang.Object
org.drip.sample.funding.CustomFundingCurveReconciler
public class CustomFundingCurveReconciler
extends java.lang.Object
CustomFundingCurveReconciler demonstrates the multi-stretch transition custom Funding curve construction, turns application, discount factor extraction, and calibration quote recovery. It shows the following steps:

  • Setup the linear curve calibrator.
  • Setup the cash instruments and their quotes for calibration.
  • Setup the cash instruments stretch latent state representation - this uses the discount factor quantification metric and the "rate" manifest measure.
  • Setup the swap instruments and their quotes for calibration.
  • Setup the swap instruments stretch latent state representation - this uses the discount factor quantification metric and the "rate" manifest measure.
  • Calibrate over the instrument set to generate a new overlapping latent state span instance.
  • Retrieve the "cash" stretch from the span.
  • Retrieve the "swap" stretch from the span.
  • Create a discount curve instance by converting the overlapping stretch to an exclusive non-overlapping stretch.
  • Compare the discount factors and their monotonicity emitted from the discount curve, the non-overlapping span, and the "swap" stretch across the range of tenor predictor ordinates.
  • Cross-Recovery of the Cash Calibration Instrument "Rate" metric across the different curve construction methodologies.
  • Cross-Recovery of the Swap Calibration Instrument "Rate" metric across the different curve construction methodologies.
  • Create a turn list instance and add new turn instances.
  • Update the discount curve with the turn list.
  • Compare the discount factor implied the discount curve with and without applying the turns adjustment.




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CustomFundingCurveReconciler()  

  • 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

    • CustomFundingCurveReconciler

      public CustomFundingCurveReconciler()

  • 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