Package org.drip.sample.sensitivity

Class OISCurveQuoteSensitivity

java.lang.Object
org.drip.sample.sensitivity.OISCurveQuoteSensitivity
public class OISCurveQuoteSensitivity
extends java.lang.Object
OISCurveQuoteSensitivity demonstrates the calculation of the OIS discount curve sensitivity to the calibration instrument quotes. It does 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 - Construct the Shape Preserving OIS Discount Curve by applying the linear curve calibrator to the array of Cash and OIS Stretches. - Cross-Comparison of the Cash/OIS Calibration Instrument "Rate" metric across the different curve construction methodologies. - Display of the Cash Instrument Discount Factor Quote Jacobian Sensitivities. - Display of the OIS Instrument Discount Factor Quote Jacobian Sensitivities.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    OISCurveQuoteSensitivity()  

  • 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

    • OISCurveQuoteSensitivity

      public OISCurveQuoteSensitivity()

  • 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