Package org.drip.sample.funding

Class ShapeZeroLocalSmooth

java.lang.Object

org.drip.sample.funding.ShapeZeroLocalSmooth

public class ShapeZeroLocalSmooth
extends java.lang.Object

ShapeZeroLocalSmooth demonstrates the usage of different local 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 Akima Local Curve Control parameters as follows:
  • C1 Akima Monotone Smoothener with spurious extrema elimination and monotone filtering applied
  • 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 Harmonic Local Curve Control parameters as follows:
  • C1 Harmonic Monotone Smoothener with spurious extrema elimination and monotone filtering applied
  • 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 Hyman 1983 Local Curve Control parameters as follows:
  • C1 Hyman 1983 Monotone Smoothener with spurious extrema elimination and monotone filtering applied
  • 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 Hyman 1989 Local Curve Control parameters as follows:
  • C1 Akima Monotone Smoothener with spurious extrema elimination and monotone filtering applied
  • 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 Huynh-Le Floch Delimited Local Curve Control parameters as follows:
  • C1 Huynh-Le Floch Delimited Monotone Smoothener with spurious extrema elimination and monotone filtering applied
  • 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 Kruger Local Curve Control parameters as follows:
  • C1 Kruger Monotone Smoothener with spurious extrema elimination and monotone filtering applied
  • 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 Akima 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.
• Construct the Harmonic 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.
• Construct the Hyman 1983 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.
• Construct the Hyman 1989 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.
• Construct the Huynh-Le Floch Delimiter 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.
• Construct the Kruger 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
ShapeZeroLocalSmooth()

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

ShapeZeroLocalSmooth

public ShapeZeroLocalSmooth()

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