Package org.drip.sample.funding

Class ShapePreservingZeroSmooth

java.lang.Object

org.drip.sample.funding.ShapePreservingZeroSmooth

public class ShapePreservingZeroSmooth
extends java.lang.Object

ShapePreservingZeroSmooth demonstrates the usage of different shape preserving and smoothing techniques involved in the funding curve creation. It shows the following:

• Construct the Array of Cash/Swap Instruments and their Quotes from the given set of parameters.
• Construct the Cash/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
• Set up the Global Curve Control parameters as follows:
  • Zero Rate Quantification Metric
  • Cubic Polynomial Basis Spline Set
  • C_k = 2 Segment Curvature Penalty = 2
  • Quadratic Rational Shape Controller
  • Natural Boundary Setting
• Set up the Local Curve Control parameters as follows:
  • C1 Bessel Monotone Smoothener with no spurious extrema elimination and no monotone filter
  • Zero Rate Quantification Metric
  • Cubic Polynomial 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.
• Construct the Globally Smoothened Discount Curve by applying the linear curve calibrator and the Global Curve Control parameters to the array of Cash and Swap Stretches and the shape preserving discount curve.
• Construct the Locally Smoothened Discount Curve by applying the linear curve calibrator and the Local Curve Control parameters to the array of Cash and Swap Stretches and the shape preserving discount curve.
• Cross-Comparison of the Cash/Swap Calibration Instrument "Rate" metric across the different curve construction methodologies.
• Cross-Comparison of the Swap Calibration Instrument "Rate" metric across the different curve construction methodologies for a sequence of bespoke swap instruments.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = DROP API Construction and Usage
• Package = Shape Preserving Local Funding Curve

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
ShapePreservingZeroSmooth()

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

ShapePreservingZeroSmooth

public ShapePreservingZeroSmooth()

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