Package org.drip.sample.stretch

Class CustomDiscountCurveBuilder

java.lang.Object
org.drip.sample.stretch.CustomDiscountCurveBuilder
public class CustomDiscountCurveBuilder
extends java.lang.Object
CustomDiscountCurveBuilder contains samples that demo how to build a discount curve from purely the cash flows. It provides for elaborate curve builder control, both at the segment level and at the Stretch level. In particular, it shows the following: - Construct a discount curve from the discount factors available purely from the cash and the euro-dollar instruments. - Construct a discount curve from the cash flows available from the swap instruments. In addition, the sample demonstrates the following ways of controlling curve construction: - Control over the type of segment basis spline - Control over the polynomial basis spline order, Ck, and tension parameters - Provision of custom shape controllers (in this case rational shape controller) - Calculation of segment monotonicity and convexity

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CustomDiscountCurveBuilder()  

  • 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

    • CustomDiscountCurveBuilder

      public CustomDiscountCurveBuilder()

  • 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