Package org.drip.sample.sensitivity

Class ForwardDerivedBasisSensitivity

java.lang.Object
org.drip.sample.sensitivity.ForwardDerivedBasisSensitivity
public class ForwardDerivedBasisSensitivity
extends java.lang.Object
ForwardDerivedBasisSensitivity contains the sample demonstrating the full functionality behind creating highly customized spline based forward curves. The first sample illustrates the creation and usage of the xM-6M Tenor Basis Swap: - Construct the 6M-xM float-float basis swap. - Calculate the corresponding starting forward rate off of the discount curve. - Construct the shape preserving forward curve off of Cubic Polynomial Basis Spline. - Construct the shape preserving forward curve off of Quartic Polynomial Basis Spline. - Construct the shape preserving forward curve off of Hyperbolic Tension Based Basis Spline. - Set the discount curve based component market parameters. - Set the discount curve + cubic polynomial forward curve based component market parameters. - Set the discount curve + quartic polynomial forward curve based component market parameters. - Set the discount curve + hyperbolic tension forward curve based component market parameters. - Compute the following forward curve metrics for each of cubic polynomial forward, quartic polynomial forward, and KLK Hyperbolic tension forward curves: - Reference Basis Par Spread - Derived Basis Par Spread - Compare these with a) the forward rate off of the discount curve, b) The LIBOR rate, and c) The Input Basis Swap Quote. The second sample illustrates how to build and test the forward curves across various tenor basis. It shows the following steps: - Construct the Discount Curve using its instruments and quotes. - Build and run the sampling for the 1M-6M Tenor Basis Swap from its instruments and quotes. - Build and run the sampling for the 3M-6M Tenor Basis Swap from its instruments and quotes. - Build and run the sampling for the 6M-6M Tenor Basis Swap from its instruments and quotes. - Build and run the sampling for the 12M-6M Tenor Basis Swap from its instruments and quotes.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ForwardDerivedBasisSensitivity()  

  • 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

    • ForwardDerivedBasisSensitivity

      public ForwardDerivedBasisSensitivity()

  • 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