Package org.drip.sample.funding

Class HaganWestForwardInterpolator

java.lang.Object
org.drip.sample.funding.HaganWestForwardInterpolator
public class HaganWestForwardInterpolator
extends java.lang.Object
HaganWestForwardInterpolator illustrates using the Hagan and West (2006) Estimator. It provides the following functionality:

  • Set up the Predictor ordinates and the response values.
  • Construct the rational linear shape control with the specified tension.
  • Create the Segment Inelastic design using the Ck and Curvature Penalty Derivatives.
  • Build the Array of Segment Custom Builder Control Parameters of the KLK Hyperbolic Tension Basis Type, the tension, the segment inelastic design control, and the shape controller.
  • Setup the monotone convex stretch using the above settings, and with no linear inference, no spurious extrema, or no monotone filtering applied.
  • Setup the monotone convex stretch using the above settings, and with linear inference, no spurious extrema, or no monotone filtering applied.
  • Compute and display the monotone convex output with the linear forward state.
  • Compute and display the monotone convex output with the harmonic forward state.




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    HaganWestForwardInterpolator()  

  • 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

    • HaganWestForwardInterpolator

      public HaganWestForwardInterpolator()

  • 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