Package org.drip.sample.overnight

Class ShapePreservingOvernightZeroSmooth

java.lang.Object
org.drip.sample.overnight.ShapePreservingOvernightZeroSmooth
public class ShapePreservingOvernightZeroSmooth
extends java.lang.Object
ShapePreservingOvernightZeroSmooth demonstrates the usage of different shape preserving and smoothing techniques involved in the Overnight curve creation. It shows the following: - Construct the Array of Cash/OIS Instruments and their Quotes from the given set of parameters. - Construct the Cash/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 Global Curve Control parameters as follows: - 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 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 - 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 Cash and OIS Stretches. - Construct the Globally Smoothened OIS Discount Curve by applying the linear curve calibrator and the Global Curve Control parameters to the array of Cash and OIS Stretches and the shape preserving discount curve. - Construct the Locally Smoothened OIS Discount Curve by applying the linear curve calibrator and the Local Curve Control parameters to the array of Cash and OIS Stretches and the shape preserving discount curve. - Cross-Comparison of the Cash/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 OIS instruments.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ShapePreservingOvernightZeroSmooth()  

  • 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

    • ShapePreservingOvernightZeroSmooth

      public ShapePreservingOvernightZeroSmooth()

  • 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