Package org.drip.sample.funding

Class TemplatedFundingCurveBuilder

java.lang.Object
org.drip.sample.funding.TemplatedFundingCurveBuilder
public class TemplatedFundingCurveBuilder
extends java.lang.Object
TemplatedFundingCurveBuilder sample demonstrates the usage of the different pre-built Funding Curve Builders. It shows the following:

  • Construct the Array of Cash Instruments and their Quotes from the given set of parameters.
  • Construct the Array of Swap Instruments and their Quotes from the given set of parameters.
  • Construct the Cubic Tension KLK Hyperbolic Discount Factor Shape Preserver.
  • Construct the Cubic Tension KLK Hyperbolic Discount Factor Shape Preserver with Zero Rate Smoothening applied.
  • Construct the Cubic Polynomial Discount Factor Shape Preserver.
  • Construct the Cubic Polynomial Discount Factor Shape Preserver with Zero Rate Smoothening applied.
  • Construct the Discount Curve using the Bear Sterns' DENSE Methodology.
  • Construct the Discount Curve using the Bear Sterns' DUALDENSE Methodology.
  • Cross-Comparison of the Cash 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.
  • Cross-Comparison of the generated Discount Factor across the different curve construction Methodologies for different node points.




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    TemplatedFundingCurveBuilder()  

  • 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

    • TemplatedFundingCurveBuilder

      public TemplatedFundingCurveBuilder()

  • 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