Package org.drip.sample.overnight

Class ShapeOvernightZeroLocalSmooth

java.lang.Object
org.drip.sample.overnight.ShapeOvernightZeroLocalSmooth
public class ShapeOvernightZeroLocalSmooth
extends java.lang.Object
ShapeOvernightZeroLocalSmooth demonstrates the usage of different local smoothing techniques involved in the Overnight curve creation. It shows the following: - Construct the Array of Deposit/OIS Instruments and their Quotes from the given set of parameters. - Construct the Deposit/OIS Instrument Set Stretch Builder. - Set up the Linear Curve Calibrator using the following parameters: - Cubic Exponential Mixture Basis Spline Set - Ck = 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 - Ck = 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 - Ck = 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 - Ck = 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 - Ck = 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 - Ck = 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 - Ck = 2, Segment Curvature Penalty = 2 - Quadratic Rational Shape Controller - Natural Boundary Setting - Construct the Shape Preserving OIS Discount Curve by applying the linear curve calibrator to the array of Deposit and OIS Stretches. - Construct the Akima Locally Smoothened OIS Discount Curve by applying the linear curve calibrator and the Local Curve Control parameters to the array of Deposit and OIS Stretches and the shape preserving discount curve. - Construct the Harmonic Locally Smoothened OIS Discount Curve by applying the linear curve calibrator and the Local Curve Control parameters to the array of Deposit and OIS Stretches and the shape preserving discount curve. - Construct the Hyman 1983 Locally Smoothened OIS Discount Curve by applying the linear curve calibrator and the Local Curve Control parameters to the array of Deposit and OIS Stretches and the shape preserving discount curve. - Construct the Hyman 1989 Locally Smoothened OIS Discount Curve by applying the linear curve calibrator and the Local Curve Control parameters to the array of Deposit and OIS Stretches and the shape preserving discount curve. - Construct the Huynh-Le Floch Delimiter Locally Smoothened OIS Discount Curve by applying the linear curve calibrator and the Local Curve Control parameters to the array of Deposit and OIS Stretches and the shape preserving discount curve. - Construct the Kruger Locally Smoothened OIS Discount Curve by applying the linear curve calibrator and the Local Curve Control parameters to the array of Deposit and OIS Stretches and the shape preserving discount curve. - Cross-Comparison of the Deposit/OIS Calibration Instrument "Rate" metric across the different curve construction methodologies. - Cross-Comparison of the OIS Calibration Instrument "Rate" metric across the different curve construction methodologies for a sequence of bespoke swap instruments.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ShapeOvernightZeroLocalSmooth()  

  • 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

    • ShapeOvernightZeroLocalSmooth

      public ShapeOvernightZeroLocalSmooth()

  • 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