Package org.drip.service.template
Class LatentMarketStateBuilder
java.lang.Object
org.drip.service.template.LatentMarketStateBuilder
public class LatentMarketStateBuilder
extends java.lang.Object
LatentMarketStateBuilder contains static Helper API to facilitate Construction of the Latent Market
States as Curves/Surfaces.
- Module = Computational Core Module
- Library = Computation Support
- Project = Environment, Product/Definition Containers, and Scenario/State Manipulation APIs
- Package = Curve Construction Product Builder Templates
- Author:
- Lakshmi Krishnamurthy
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Field Summary
Fields Modifier and Type Field Description static int
SHAPE_PRESERVING
Shape Preserving Latent Statestatic int
SMOOTH
Smoothened Latent State -
Constructor Summary
Constructors Constructor Description LatentMarketStateBuilder()
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Method Summary
Modifier and Type Method Description static CaseInsensitiveTreeMap<CreditCurve>
BumpedCreditCurve(JulianDate dtSpot, java.lang.String strCredit, java.lang.String[] astrMaturityTenor, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc, double dblBump, boolean bIsProportional)
Construct a Tenor + Parallel Map of Bumped Credit Curves from Overnight Exchange/OTC Market Instrumentsstatic CaseInsensitiveTreeMap<ForwardCurve>
BumpedForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference, int iLatentStateType, double dblBump, boolean bIsProportional)
Construct a Map of Tenor Bumped Forward Curve Based off of the Input Exchange/OTC Market Instrumentsstatic CaseInsensitiveTreeMap<MergedDiscountForwardCurve>
BumpedForwardFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, int iLatentStateType, double dblBump, boolean bIsProportional)
Construct a Map of Tenor Bumped Funding Curve Based off of the Underlying Forward Curve Shiftstatic CaseInsensitiveTreeMap<VolatilityCurve>
BumpedForwardVolatilityCurve(JulianDate dtSpot, ForwardLabel forwardLabel, boolean bIsCap, java.lang.String[] astrMaturityTenor, double[] adblStrike, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc, ForwardCurve fc, double dblBump, boolean bIsProportional)
Construct a Tenor + Parallel Forward Volatility Latent State Construction from Cap/Floor Instrumentsstatic CaseInsensitiveTreeMap<MergedDiscountForwardCurve>
BumpedFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, int iLatentStateType, double dblBump, boolean bIsProportional)
Construct a Map of Tenor Bumped Funding Curve Based off of the Input Exchange/OTC Market Instrumentsstatic CaseInsensitiveTreeMap<FXCurve>
BumpedFXCurve(JulianDate dtSpot, CurrencyPair cp, java.lang.String[] astrMaturityTenor, double[] adblQuote, java.lang.String strMeasure, double dblFXSpot, int iLatentStateType, double dblBump, boolean bIsProportional)
Construct a Tenor + Parallel Map of FX Curve from the FX Instrumentsstatic CaseInsensitiveTreeMap<GovvieCurve>
BumpedGovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, int iLatentStateType, double dblBump, boolean bIsProportional)
Construct a Tenor + Parallel Map of Govvie Curves from the Treasury Instrumentsstatic CaseInsensitiveTreeMap<MergedDiscountForwardCurve>
BumpedOvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure, int iLatentStateType, double dblBump, boolean bIsProportional)
Construct a Map of Tenor + Parallel Bumped Overnight Curvesstatic CreditCurve
CreditCurve(JulianDate dtSpot, java.lang.String strCredit, java.lang.String[] astrMaturityTenor, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc)
Construct a Credit Curve from Overnight Exchange/OTC Market Instrumentsstatic CreditCurve
CreditCurve(JulianDate dtSpot, CreditDefaultSwap[] aCDS, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc)
Construct a Credit Curve from the specified Calibration CDS Instrumentsstatic ForwardCurve
ForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference, int iLatentStateType)
Construct a Instance of the Smooth/Shape Preserving Forward Curve off of Exchange/OTC Market Instrumentsstatic ForwardCurve
ForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference, SegmentCustomBuilderControl scbc)
Construct a Instance of the Forward Curve off of Exchange/OTC Market Instrumentsstatic VolatilityCurve
ForwardRateVolatilityCurve(JulianDate dtSpot, ForwardLabel forwardLabel, boolean bIsCap, java.lang.String[] astrMaturityTenor, double[] adblStrike, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc, ForwardCurve fc)
Forward Rate Volatility Latent State Construction from Cap/Floor Instrumentsstatic MergedDiscountForwardCurve
FundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, int iLatentStateType)
Construct a Funding Curve Based off of the Input Exchange/OTC Market Instrumentsstatic MergedDiscountForwardCurve
FundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, SegmentCustomBuilderControl scbc)
Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified Splinestatic FXCurve
FXCurve(JulianDate dtSpot, CurrencyPair cp, java.lang.String[] astrMaturityTenor, double[] adblQuote, java.lang.String strMeasure, double dblFXSpot, int iLatentStateType)
Construct an FX Curve from the FX Forward Instrumentsstatic FXCurve
FXCurve(JulianDate dtSpot, CurrencyPair cp, java.lang.String[] astrMaturityTenor, double[] adblQuote, java.lang.String strMeasure, double dblFXSpot, SegmentCustomBuilderControl scbc)
Construct an FX Curve from the FX Forward Instrumentsstatic GovvieCurve
GovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, int iLatentStateType)
Construct a Govvie Curve from the Treasury Instrumentsstatic GovvieCurve
GovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, SegmentCustomBuilderControl scbc)
Construct a Govvie Curve from the Treasury Instrumentsstatic MergedDiscountForwardCurve
OvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure, int iLatentStateType)
Construct an Overnight Curve from Overnight Exchange/OTC Market Instrumentsstatic MergedDiscountForwardCurve
OvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure, SegmentCustomBuilderControl scbc)
Construct an Overnight Curve from Overnight Exchange/OTC Market Instrumentsstatic ForwardCurve
ShapePreservingForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference)
Construct a Instance of the Shape Preserving Forward Curve off of Exchange/OTC Market Instrumentsstatic MergedDiscountForwardCurve
ShapePreservingFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure)
Construct a Shape Preserving Funding Curve Based off of the Input Exchange/OTC Market Instrumentsstatic FXCurve
ShapePreservingFXCurve(JulianDate dtSpot, CurrencyPair cp, java.lang.String[] astrMaturityTenor, double[] adblQuote, java.lang.String strMeasure, double dblFXSpot)
Construct a Shape Preserving FX Curve from the FX Forward Instrumentsstatic GovvieCurve
ShapePreservingGovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure)
Construct a Shape Preserving Govvie Curve from the Treasury Instrumentsstatic MergedDiscountForwardCurve
ShapePreservingOvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure)
Construct a Shape Preserving Overnight Curve from Overnight Exchange/OTC Market Instrumentsstatic MergedDiscountForwardCurve
SingleStretchFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, int iLatentStateType)
Construct a Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instrumentsstatic MergedDiscountForwardCurve
SingleStretchFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, SegmentCustomBuilderControl scbc)
Construct a Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified Splinestatic MergedDiscountForwardCurve
SingleStretchShapePreservingFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure)
Construct a Shape Preserving Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instrumentsstatic MergedDiscountForwardCurve
SingleStretchSmoothFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure)
Construct a Smooth Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instrumentsstatic ForwardCurve
SmoothForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference)
Construct a Instance of Smooth Forward Curve off of Exchange/OTC Market Instrumentsstatic MergedDiscountForwardCurve
SmoothFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure)
Construct a Smooth Funding Curve Based off of the Input Exchange/OTC Market Instrumentsstatic FXCurve
SmoothFXCurve(JulianDate dtSpot, CurrencyPair cp, java.lang.String[] astrMaturityTenor, double[] adblQuote, java.lang.String strMeasure, double dblFXSpot)
Construct a Smooth FX Curve from the FX Forward Instrumentsstatic GovvieCurve
SmoothGovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure)
Construct a Smooth Govvie Curve from the Treasury Instrumentsstatic MergedDiscountForwardCurve
SmoothOvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure)
Construct a Smooth Overnight Curve from Overnight Exchange/OTC Market InstrumentsMethods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Field Details
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SHAPE_PRESERVING
public static final int SHAPE_PRESERVINGShape Preserving Latent State- See Also:
- Constant Field Values
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SMOOTH
public static final int SMOOTHSmoothened Latent State- See Also:
- Constant Field Values
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Constructor Details
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LatentMarketStateBuilder
public LatentMarketStateBuilder()
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Method Details
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FundingCurve
public static final MergedDiscountForwardCurve FundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, SegmentCustomBuilderControl scbc)Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified Spline- Parameters:
dtSpot
- The Spot DatestrCurrency
- CurrencyastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of Deposit QuotesstrDepositMeasure
- Deposit Calibration MeasureadblFuturesQuote
- Array of Futures QuotesstrFuturesMeasure
- Futures Calibration MeasureastrFixFloatMaturityTenor
- Array of Fix Float Swap Maturity TenorsadblFixFloatQuote
- Array of Fix Float Swap QuotesstrFixFloatMeasure
- Fix Float Calibration Measurescbc
- Segment Custom Builder Control- Returns:
- The Funding Curve Instance
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SingleStretchFundingCurve
public static final MergedDiscountForwardCurve SingleStretchFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, SegmentCustomBuilderControl scbc)Construct a Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified Spline- Parameters:
dtSpot
- The Spot DatestrCurrency
- CurrencyastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of Deposit QuotesstrDepositMeasure
- Deposit Calibration MeasureadblFuturesQuote
- Array of Futures QuotesstrFuturesMeasure
- Futures Calibration MeasureastrFixFloatMaturityTenor
- Array of Fix Float Swap Maturity TenorsadblFixFloatQuote
- Array of Fix Float Swap QuotesstrFixFloatMeasure
- Fix Float Calibration Measurescbc
- Segment Custom Builder Control- Returns:
- The Funding Curve Instance
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SingleStretchShapePreservingFundingCurve
public static final MergedDiscountForwardCurve SingleStretchShapePreservingFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure)Construct a Shape Preserving Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments- Parameters:
dtSpot
- The Spot DatestrCurrency
- CurrencyastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of Deposit QuotesstrDepositMeasure
- Deposit Calibration MeasureadblFuturesQuote
- Array of Futures QuotesstrFuturesMeasure
- Futures Calibration MeasureastrFixFloatMaturityTenor
- Array of Fix Float Swap Maturity TenorsadblFixFloatQuote
- Array of Fix Float Swap QuotesstrFixFloatMeasure
- Fix Float Calibration Measure- Returns:
- The Single Stretch Funding Curve Instance
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ShapePreservingFundingCurve
public static final MergedDiscountForwardCurve ShapePreservingFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure)Construct a Shape Preserving Funding Curve Based off of the Input Exchange/OTC Market Instruments- Parameters:
dtSpot
- The Spot DatestrCurrency
- CurrencyastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of Deposit QuotesstrDepositMeasure
- Deposit Calibration MeasureadblFuturesQuote
- Array of Futures QuotesstrFuturesMeasure
- Futures Calibration MeasureastrFixFloatMaturityTenor
- Array of Fix Float Swap Maturity TenorsadblFixFloatQuote
- Array of Fix Float Swap QuotesstrFixFloatMeasure
- Fix Float Calibration Measure- Returns:
- The Funding Curve Instance
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SmoothFundingCurve
public static final MergedDiscountForwardCurve SmoothFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure)Construct a Smooth Funding Curve Based off of the Input Exchange/OTC Market Instruments- Parameters:
dtSpot
- The Spot DatestrCurrency
- CurrencyastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of Deposit QuotesstrDepositMeasure
- Deposit Calibration MeasureadblFuturesQuote
- Array of Futures QuotesstrFuturesMeasure
- Futures Calibration MeasureastrFixFloatMaturityTenor
- Array of Fix Float Swap Maturity TenorsadblFixFloatQuote
- Array of Fix Float Swap QuotesstrFixFloatMeasure
- Fix Float Calibration Measure- Returns:
- The Funding Curve Instance
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SingleStretchSmoothFundingCurve
public static final MergedDiscountForwardCurve SingleStretchSmoothFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure)Construct a Smooth Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments- Parameters:
dtSpot
- The Spot DatestrCurrency
- CurrencyastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of Deposit QuotesstrDepositMeasure
- Deposit Calibration MeasureadblFuturesQuote
- Array of Futures QuotesstrFuturesMeasure
- Futures Calibration MeasureastrFixFloatMaturityTenor
- Array of Fix Float Swap Maturity TenorsadblFixFloatQuote
- Array of Fix Float Swap QuotesstrFixFloatMeasure
- Fix Float Calibration Measure- Returns:
- The Single Stretch Funding Curve Instance
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FundingCurve
public static final MergedDiscountForwardCurve FundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, int iLatentStateType)Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments- Parameters:
dtSpot
- The Spot DatestrCurrency
- CurrencyastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of Deposit QuotesstrDepositMeasure
- Deposit Calibration MeasureadblFuturesQuote
- Array of Futures QuotesstrFuturesMeasure
- Futures Calibration MeasureastrFixFloatMaturityTenor
- Array of Fix Float Swap Maturity TenorsadblFixFloatQuote
- Array of Fix Float Swap QuotesstrFixFloatMeasure
- Fix Float Calibration MeasureiLatentStateType
- SHAPE_PRESERVING/SMOOTH- Returns:
- The Funding Curve Instance
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SingleStretchFundingCurve
public static final MergedDiscountForwardCurve SingleStretchFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, int iLatentStateType)Construct a Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments- Parameters:
dtSpot
- The Spot DatestrCurrency
- CurrencyastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of Deposit QuotesstrDepositMeasure
- Deposit Calibration MeasureadblFuturesQuote
- Array of Futures QuotesstrFuturesMeasure
- Futures Calibration MeasureastrFixFloatMaturityTenor
- Array of Fix Float Swap Maturity TenorsadblFixFloatQuote
- Array of Fix Float Swap QuotesstrFixFloatMeasure
- Fix Float Calibration MeasureiLatentStateType
- SHAPE_PRESERVING/SMOOTH- Returns:
- The Single Stretch Funding Curve Instance
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ForwardCurve
public static final ForwardCurve ForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference, SegmentCustomBuilderControl scbc)Construct a Instance of the Forward Curve off of Exchange/OTC Market Instruments- Parameters:
dtSpot
- Spot DateforwardLabel
- Forward LabelastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of the Deposit Instrument QuotesstrDepositMeasure
- The Deposit Instrument Calibration MeasureastrFRAMaturityTenor
- Array of FRA Maturity TenorsadblFRAQuote
- Array of the FRA Instrument QuotesstrFRAMeasure
- The FRA Instrument Calibration MeasureastrFixFloatMaturityTenor
- Array of Fix-Float Maturity TenorsadblFixFloatQuote
- Array of the Fix-Float QuotesstrFixFloatMeasure
- The Fix-Float Calibration MeasureastrFloatFloatMaturityTenor
- Array of Float-Float Maturity TenorsadblFloatFloatQuote
- Array of the Float-Float QuotesstrFloatFloatMeasure
- The Float-Float Calibration MeasureastrSyntheticFloatFloatMaturityTenor
- Array of Synthetic Float-Float Maturity TenorsadblSyntheticFloatFloatQuote
- Array of the Synthetic Float-Float QuotesstrSyntheticFloatFloatMeasure
- The Synthetic Float-Float Calibration Measuredc
- The Base Discount CurvefcReference
- The Reference Forward Curvescbc
- Segment Custom Builder Control Parameters- Returns:
- Instance of the Forward Curve
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ShapePreservingForwardCurve
public static final ForwardCurve ShapePreservingForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference)Construct a Instance of the Shape Preserving Forward Curve off of Exchange/OTC Market Instruments- Parameters:
dtSpot
- Spot DateforwardLabel
- Forward LabelastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of the Deposit Instrument QuotesstrDepositMeasure
- The Deposit Instrument Calibration MeasureastrFRAMaturityTenor
- Array of FRA Maturity TenorsadblFRAQuote
- Array of the FRA Instrument QuotesstrFRAMeasure
- The FRA Instrument Calibration MeasureastrFixFloatMaturityTenor
- Array of Fix-Float Maturity TenorsadblFixFloatQuote
- Array of the Fix-Float QuotesstrFixFloatMeasure
- The Fix-Float Calibration MeasureastrFloatFloatMaturityTenor
- Array of Float-Float Maturity TenorsadblFloatFloatQuote
- Array of the Float-Float QuotesstrFloatFloatMeasure
- The Float-Float Calibration MeasureastrSyntheticFloatFloatMaturityTenor
- Array of Synthetic Float-Float Maturity TenorsadblSyntheticFloatFloatQuote
- Array of the Synthetic Float-Float QuotesstrSyntheticFloatFloatMeasure
- The Synthetic Float-Float Calibration Measuredc
- The Base Discount CurvefcReference
- The Reference Forward Curve- Returns:
- Instance of the Forward Curve
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SmoothForwardCurve
public static final ForwardCurve SmoothForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference)Construct a Instance of Smooth Forward Curve off of Exchange/OTC Market Instruments- Parameters:
dtSpot
- Spot DateforwardLabel
- Forward LabelastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of the Deposit Instrument QuotesstrDepositMeasure
- The Deposit Instrument Calibration MeasureastrFRAMaturityTenor
- Array of FRA Maturity TenorsadblFRAQuote
- Array of the FRA Instrument QuotesstrFRAMeasure
- The FRA Instrument Calibration MeasureastrFixFloatMaturityTenor
- Array of Fix-Float Maturity TenorsadblFixFloatQuote
- Array of the Fix-Float QuotesstrFixFloatMeasure
- The Fix-Float Calibration MeasureastrFloatFloatMaturityTenor
- Array of Float-Float Maturity TenorsadblFloatFloatQuote
- Array of the Float-Float QuotesstrFloatFloatMeasure
- The Float-Float Calibration MeasureastrSyntheticFloatFloatMaturityTenor
- Array of Synthetic Float-Float Maturity TenorsadblSyntheticFloatFloatQuote
- Array of the Synthetic Float-Float QuotesstrSyntheticFloatFloatMeasure
- The Synthetic Float-Float Calibration Measuredc
- The Base Discount CurvefcReference
- The Reference Forward Curve- Returns:
- Instance of the Forward Curve
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ForwardCurve
public static final ForwardCurve ForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference, int iLatentStateType)Construct a Instance of the Smooth/Shape Preserving Forward Curve off of Exchange/OTC Market Instruments- Parameters:
dtSpot
- Spot DateforwardLabel
- Forward LabelastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of the Deposit Instrument QuotesstrDepositMeasure
- The Deposit Instrument Calibration MeasureastrFRAMaturityTenor
- Array of FRA Maturity TenorsadblFRAQuote
- Array of the FRA Instrument QuotesstrFRAMeasure
- The FRA Instrument Calibration MeasureastrFixFloatMaturityTenor
- Array of Fix-Float Maturity TenorsadblFixFloatQuote
- Array of the Fix-Float QuotesstrFixFloatMeasure
- The Fix-Float Calibration MeasureastrFloatFloatMaturityTenor
- Array of Float-Float Maturity TenorsadblFloatFloatQuote
- Array of the Float-Float QuotesstrFloatFloatMeasure
- The Float-Float Calibration MeasureastrSyntheticFloatFloatMaturityTenor
- Array of Synthetic Float-Float Maturity TenorsadblSyntheticFloatFloatQuote
- Array of the Synthetic Float-Float QuotesstrSyntheticFloatFloatMeasure
- The Synthetic Float-Float Calibration Measuredc
- The Base Discount CurvefcReference
- The Reference Forward CurveiLatentStateType
- SHAPE_PRESERVING/SMOOTH- Returns:
- Instance of the Forward Curve
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OvernightCurve
public static final MergedDiscountForwardCurve OvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure, SegmentCustomBuilderControl scbc)Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments- Parameters:
dtSpot
- Spot DatestrCurrency
- CurrencyastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of Deposit QuotesstrDepositMeasure
- Deposit MeasureastrShortEndOISMaturityTenor
- Array of Short End OIS Maturity TenorsadblShortEndOISQuote
- Array of Short End OIS QuotesstrShortEndOISMeasure
- Short End OIS MeasureastrOISFuturesEffectiveTenor
- Array of OIS Futures Effective TenorsastrOISFuturesMaturityTenor
- Array of OIS Futures Maturity TenorsadblOISFuturesQuote
- Array of OIS Futures QuotesstrOISFuturesMeasure
- OIS Futures MeasureastrLongEndOISMaturityTenor
- Array of Long End OIS Maturity TenorsadblLongEndOISQuote
- Array of Long End OIS QuotesstrLongEndOISMeasure
- Long End OIS Measurescbc
- Segment Custom Builder Control- Returns:
- Overnight Curve from Overnight OTC Instruments
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ShapePreservingOvernightCurve
public static final MergedDiscountForwardCurve ShapePreservingOvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure)Construct a Shape Preserving Overnight Curve from Overnight Exchange/OTC Market Instruments- Parameters:
dtSpot
- Spot DatestrCurrency
- CurrencyastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of Deposit QuotesstrDepositMeasure
- Deposit MeasureastrShortEndOISMaturityTenor
- Array of Short End OIS Maturity TenorsadblShortEndOISQuote
- Array of Short End OIS QuotesstrShortEndOISMeasure
- Short End OIS MeasureastrOISFuturesEffectiveTenor
- Array of OIS Futures Effective TenorsastrOISFuturesMaturityTenor
- Array of OIS Futures Maturity TenorsadblOISFuturesQuote
- Array of OIS Futures QuotesstrOISFuturesMeasure
- OIS Futures MeasureastrLongEndOISMaturityTenor
- Array of Long End OIS Maturity TenorsadblLongEndOISQuote
- Array of Long End OIS QuotesstrLongEndOISMeasure
- Long End OIS Measure- Returns:
- Overnight Curve from Overnight OTC Instruments
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SmoothOvernightCurve
public static final MergedDiscountForwardCurve SmoothOvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure)Construct a Smooth Overnight Curve from Overnight Exchange/OTC Market Instruments- Parameters:
dtSpot
- Spot DatestrCurrency
- CurrencyastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of Deposit QuotesstrDepositMeasure
- Deposit MeasureastrShortEndOISMaturityTenor
- Array of Short End OIS Maturity TenorsadblShortEndOISQuote
- Array of Short End OIS QuotesstrShortEndOISMeasure
- Short End OIS MeasureastrOISFuturesEffectiveTenor
- Array of OIS Futures Effective TenorsastrOISFuturesMaturityTenor
- Array of OIS Futures Maturity TenorsadblOISFuturesQuote
- Array of OIS Futures QuotesstrOISFuturesMeasure
- OIS Futures MeasureastrLongEndOISMaturityTenor
- Array of Long End OIS Maturity TenorsadblLongEndOISQuote
- Array of Long End OIS QuotesstrLongEndOISMeasure
- Long End OIS Measure- Returns:
- Overnight Curve from Overnight OTC Instruments
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OvernightCurve
public static final MergedDiscountForwardCurve OvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure, int iLatentStateType)Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments- Parameters:
dtSpot
- Spot DatestrCurrency
- CurrencyastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of Deposit QuotesstrDepositMeasure
- Deposit MeasureastrShortEndOISMaturityTenor
- Array of Short End OIS Maturity TenorsadblShortEndOISQuote
- Array of Short End OIS QuotesstrShortEndOISMeasure
- Short End OIS MeasureastrOISFuturesEffectiveTenor
- Array of OIS Futures Effective TenorsastrOISFuturesMaturityTenor
- Array of OIS Futures Maturity TenorsadblOISFuturesQuote
- Array of OIS Futures QuotesstrOISFuturesMeasure
- OIS Futures MeasureastrLongEndOISMaturityTenor
- Array of Long End OIS Maturity TenorsadblLongEndOISQuote
- Array of Long End OIS QuotesstrLongEndOISMeasure
- Long End OIS MeasureiLatentStateType
- SHAPE PRESERVING/SMOOTH- Returns:
- Overnight Curve from Overnight OTC Instruments
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CreditCurve
public static final CreditCurve CreditCurve(JulianDate dtSpot, java.lang.String strCredit, java.lang.String[] astrMaturityTenor, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc)Construct a Credit Curve from Overnight Exchange/OTC Market Instruments- Parameters:
dtSpot
- Spot DatestrCredit
- Credit CurveastrMaturityTenor
- Maturity TenoradblCoupon
- Coupon ArrayadblQuote
- Array of Market QuotesstrMeasure
- Calibration Measuredc
- Discount Curve- Returns:
- The Credit Curve Instance
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CreditCurve
public static final CreditCurve CreditCurve(JulianDate dtSpot, CreditDefaultSwap[] aCDS, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc)Construct a Credit Curve from the specified Calibration CDS Instruments- Parameters:
dtSpot
- Spot DateaCDS
- Array of the Calibration CDS InstrumentsadblQuote
- Array of Market QuotesstrMeasure
- Calibration Measuredc
- Discount Curve- Returns:
- The Credit Curve Instance
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GovvieCurve
public static final GovvieCurve GovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, SegmentCustomBuilderControl scbc)Construct a Govvie Curve from the Treasury Instruments- Parameters:
strCode
- Treasury CodedtSpot
- Spot DateadtEffective
- Array of Effective DatesadtMaturity
- Array of Maturity DatesadblCoupon
- Array of CouponsadblQuote
- Array of Market QuotesstrMeasure
- Calibration Measurescbc
- Segment Custom Builder Control Parameters- Returns:
- The Govvie Curve Instance
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ShapePreservingGovvieCurve
public static final GovvieCurve ShapePreservingGovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure)Construct a Shape Preserving Govvie Curve from the Treasury Instruments- Parameters:
strCode
- Treasury CodedtSpot
- Spot DateadtEffective
- Array of Effective DatesadtMaturity
- Array of Maturity DatesadblCoupon
- Array of CouponsadblQuote
- Array of Market QuotesstrMeasure
- Calibration Measure- Returns:
- The Govvie Curve Instance
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SmoothGovvieCurve
public static final GovvieCurve SmoothGovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure)Construct a Smooth Govvie Curve from the Treasury Instruments- Parameters:
strCode
- Treasury CodedtSpot
- Spot DateadtEffective
- Array of Effective DatesadtMaturity
- Array of Maturity DatesadblCoupon
- Array of CouponsadblQuote
- Array of Market QuotesstrMeasure
- Calibration Measure- Returns:
- The Govvie Curve Instance
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GovvieCurve
public static final GovvieCurve GovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, int iLatentStateType)Construct a Govvie Curve from the Treasury Instruments- Parameters:
strCode
- Treasury CodedtSpot
- Spot DateadtEffective
- Array of Effective DatesadtMaturity
- Array of Maturity DatesadblCoupon
- Array of CouponsadblQuote
- Array of Market QuotesstrMeasure
- Calibration MeasureiLatentStateType
- SHAPE PRESERVING/SMOOTH- Returns:
- The Govvie Curve Instance
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FXCurve
public static final FXCurve FXCurve(JulianDate dtSpot, CurrencyPair cp, java.lang.String[] astrMaturityTenor, double[] adblQuote, java.lang.String strMeasure, double dblFXSpot, SegmentCustomBuilderControl scbc)Construct an FX Curve from the FX Forward Instruments- Parameters:
dtSpot
- Spot Datecp
- The FX Currency PairastrMaturityTenor
- Array of Maturity TenorsadblQuote
- Array of FX ForwardsstrMeasure
- Calibration MeasuredblFXSpot
- FX Spotscbc
- Segment Custom Builder Builder Parameters- Returns:
- The FX Curve Instance
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ShapePreservingFXCurve
public static final FXCurve ShapePreservingFXCurve(JulianDate dtSpot, CurrencyPair cp, java.lang.String[] astrMaturityTenor, double[] adblQuote, java.lang.String strMeasure, double dblFXSpot)Construct a Shape Preserving FX Curve from the FX Forward Instruments- Parameters:
dtSpot
- Spot Datecp
- The FX Currency PairastrMaturityTenor
- Array of Maturity TenorsadblQuote
- Array of FX ForwardsstrMeasure
- Calibration MeasuredblFXSpot
- FX Spot- Returns:
- The FX Curve Instance
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SmoothFXCurve
public static final FXCurve SmoothFXCurve(JulianDate dtSpot, CurrencyPair cp, java.lang.String[] astrMaturityTenor, double[] adblQuote, java.lang.String strMeasure, double dblFXSpot)Construct a Smooth FX Curve from the FX Forward Instruments- Parameters:
dtSpot
- Spot Datecp
- The FX Currency PairastrMaturityTenor
- Array of Maturity TenorsadblQuote
- Array of FX ForwardsstrMeasure
- Calibration MeasuredblFXSpot
- FX Spot- Returns:
- The FX Curve Instance
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FXCurve
public static final FXCurve FXCurve(JulianDate dtSpot, CurrencyPair cp, java.lang.String[] astrMaturityTenor, double[] adblQuote, java.lang.String strMeasure, double dblFXSpot, int iLatentStateType)Construct an FX Curve from the FX Forward Instruments- Parameters:
dtSpot
- Spot Datecp
- The FX Currency PairastrMaturityTenor
- Array of Maturity TenorsadblQuote
- Array of FX ForwardsstrMeasure
- Calibration MeasuredblFXSpot
- FX SpotiLatentStateType
- SHAPE PRESERVING/SMOOTH- Returns:
- The FX Curve Instance
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ForwardRateVolatilityCurve
public static final VolatilityCurve ForwardRateVolatilityCurve(JulianDate dtSpot, ForwardLabel forwardLabel, boolean bIsCap, java.lang.String[] astrMaturityTenor, double[] adblStrike, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc, ForwardCurve fc)Forward Rate Volatility Latent State Construction from Cap/Floor Instruments- Parameters:
dtSpot
- Spot DateforwardLabel
- Forward LabelbIsCap
- TRUE - Create and Use Array of CapsastrMaturityTenor
- Array of Cap/floor MaturitiesadblStrike
- Array of Cap/Floor StrikesadblQuote
- Array of Cap/Floor QuotesstrMeasure
- Calibration Measuredc
- Discount Curve Instancefc
- Forward Curve Instance- Returns:
- Instance of the Forward Rate Volatility Curve
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BumpedFundingCurve
public static final CaseInsensitiveTreeMap<MergedDiscountForwardCurve> BumpedFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, int iLatentStateType, double dblBump, boolean bIsProportional)Construct a Map of Tenor Bumped Funding Curve Based off of the Input Exchange/OTC Market Instruments- Parameters:
dtSpot
- The Spot DatestrCurrency
- CurrencyastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of Deposit QuotesstrDepositMeasure
- Deposit Calibration MeasureadblFuturesQuote
- Array of Futures QuotesstrFuturesMeasure
- Futures Calibration MeasureastrFixFloatMaturityTenor
- Array of Fix Float Swap Maturity TenorsadblFixFloatQuote
- Array of Fix Float Swap QuotesstrFixFloatMeasure
- Fix Float Calibration MeasureiLatentStateType
- SHAPE_PRESERVING/SMOOTHdblBump
- The Tenor Node Bump AmountbIsProportional
- TRUE - The Bump Applied is Proportional- Returns:
- The Tenor Bumped Funding Curve Map
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BumpedForwardFundingCurve
public static final CaseInsensitiveTreeMap<MergedDiscountForwardCurve> BumpedForwardFundingCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, double[] adblFuturesQuote, java.lang.String strFuturesMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, int iLatentStateType, double dblBump, boolean bIsProportional)Construct a Map of Tenor Bumped Funding Curve Based off of the Underlying Forward Curve Shift- Parameters:
dtSpot
- The Spot DatestrCurrency
- CurrencyastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of Deposit QuotesstrDepositMeasure
- Deposit Calibration MeasureadblFuturesQuote
- Array of Futures QuotesstrFuturesMeasure
- Futures Calibration MeasureastrFixFloatMaturityTenor
- Array of Fix Float Swap Maturity TenorsadblFixFloatQuote
- Array of Fix Float Swap QuotesstrFixFloatMeasure
- Fix Float Calibration MeasureiLatentStateType
- SHAPE_PRESERVING/SMOOTHdblBump
- The Tenor Node Bump AmountbIsProportional
- TRUE - The Bump Applied is Proportional- Returns:
- The Tenor Bumped Funding Curve Map
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BumpedForwardCurve
public static final CaseInsensitiveTreeMap<ForwardCurve> BumpedForwardCurve(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrFRAMaturityTenor, double[] adblFRAQuote, java.lang.String strFRAMeasure, java.lang.String[] astrFixFloatMaturityTenor, double[] adblFixFloatQuote, java.lang.String strFixFloatMeasure, java.lang.String[] astrFloatFloatMaturityTenor, double[] adblFloatFloatQuote, java.lang.String strFloatFloatMeasure, java.lang.String[] astrSyntheticFloatFloatMaturityTenor, double[] adblSyntheticFloatFloatQuote, java.lang.String strSyntheticFloatFloatMeasure, MergedDiscountForwardCurve dc, ForwardCurve fcReference, int iLatentStateType, double dblBump, boolean bIsProportional)Construct a Map of Tenor Bumped Forward Curve Based off of the Input Exchange/OTC Market Instruments- Parameters:
dtSpot
- Spot DateforwardLabel
- Forward LabelastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of the Deposit Instrument QuotesstrDepositMeasure
- The Deposit Instrument Calibration MeasureastrFRAMaturityTenor
- Array of FRA Maturity TenorsadblFRAQuote
- Array of the FRA Instrument QuotesstrFRAMeasure
- The FRA Instrument Calibration MeasureastrFixFloatMaturityTenor
- Array of Fix-Float Maturity TenorsadblFixFloatQuote
- Array of the Fix-Float QuotesstrFixFloatMeasure
- The Fix-Float Calibration MeasureastrFloatFloatMaturityTenor
- Array of Float-Float Maturity TenorsadblFloatFloatQuote
- Array of the Float-Float QuotesstrFloatFloatMeasure
- The Float-Float Calibration MeasureastrSyntheticFloatFloatMaturityTenor
- Array of Synthetic Float-Float Maturity TenorsadblSyntheticFloatFloatQuote
- Array of the Synthetic Float-Float QuotesstrSyntheticFloatFloatMeasure
- The Synthetic Float-Float Calibration Measuredc
- The Base Discount CurvefcReference
- The Reference Forward CurveiLatentStateType
- SHAPE_PRESERVING/SMOOTHdblBump
- The Tenor Node Bump AmountbIsProportional
- TRUE - The Bump Applied is Proportional- Returns:
- The Tenor Bumped Forward Curve Map
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BumpedOvernightCurve
public static final CaseInsensitiveTreeMap<MergedDiscountForwardCurve> BumpedOvernightCurve(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrDepositMaturityTenor, double[] adblDepositQuote, java.lang.String strDepositMeasure, java.lang.String[] astrShortEndOISMaturityTenor, double[] adblShortEndOISQuote, java.lang.String strShortEndOISMeasure, java.lang.String[] astrOISFuturesEffectiveTenor, java.lang.String[] astrOISFuturesMaturityTenor, double[] adblOISFuturesQuote, java.lang.String strOISFuturesMeasure, java.lang.String[] astrLongEndOISMaturityTenor, double[] adblLongEndOISQuote, java.lang.String strLongEndOISMeasure, int iLatentStateType, double dblBump, boolean bIsProportional)Construct a Map of Tenor + Parallel Bumped Overnight Curves- Parameters:
dtSpot
- Spot DatestrCurrency
- CurrencyastrDepositMaturityTenor
- Array of Deposit Maturity TenorsadblDepositQuote
- Array of Deposit QuotesstrDepositMeasure
- Deposit MeasureastrShortEndOISMaturityTenor
- Array of Short End OIS Maturity TenorsadblShortEndOISQuote
- Array of Short End OIS QuotesstrShortEndOISMeasure
- Short End OIS MeasureastrOISFuturesEffectiveTenor
- Array of OIS Futures Effective TenorsastrOISFuturesMaturityTenor
- Array of OIS Futures Maturity TenorsadblOISFuturesQuote
- Array of OIS Futures QuotesstrOISFuturesMeasure
- OIS Futures MeasureastrLongEndOISMaturityTenor
- Array of Long End OIS Maturity TenorsadblLongEndOISQuote
- Array of Long End OIS QuotesstrLongEndOISMeasure
- Long End OIS MeasureiLatentStateType
- SHAPE PRESERVING/SMOOTHdblBump
- The Tenor Node Bump AmountbIsProportional
- TRUE - The Bump Applied is Proportional- Returns:
- Map of Overnight Curves
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BumpedCreditCurve
public static final CaseInsensitiveTreeMap<CreditCurve> BumpedCreditCurve(JulianDate dtSpot, java.lang.String strCredit, java.lang.String[] astrMaturityTenor, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc, double dblBump, boolean bIsProportional)Construct a Tenor + Parallel Map of Bumped Credit Curves from Overnight Exchange/OTC Market Instruments- Parameters:
dtSpot
- Spot DatestrCredit
- Credit CurveastrMaturityTenor
- Maturity TenoradblCoupon
- Coupon ArrayadblQuote
- Array of Market QuotesstrMeasure
- Calibration Measuredc
- Discount CurvedblBump
- The Tenor Node Bump AmountbIsProportional
- TRUE - The Bump Applied is Proportional- Returns:
- Map of Bumped Credit Curves
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BumpedGovvieCurve
public static final CaseInsensitiveTreeMap<GovvieCurve> BumpedGovvieCurve(java.lang.String strCode, JulianDate dtSpot, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, int iLatentStateType, double dblBump, boolean bIsProportional)Construct a Tenor + Parallel Map of Govvie Curves from the Treasury Instruments- Parameters:
strCode
- The Govvie CodedtSpot
- Spot DateadtEffective
- Array of Effective DatesadtMaturity
- Array of Maturity DatesadblCoupon
- Array of CouponsadblQuote
- Array of Market QuotesstrMeasure
- Calibration MeasureiLatentStateType
- SHAPE PRESERVING/SMOOTHdblBump
- The Tenor Node Bump AmountbIsProportional
- TRUE - The Bump Applied is Proportional- Returns:
- Map of Govvie Curve Instance
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BumpedFXCurve
public static final CaseInsensitiveTreeMap<FXCurve> BumpedFXCurve(JulianDate dtSpot, CurrencyPair cp, java.lang.String[] astrMaturityTenor, double[] adblQuote, java.lang.String strMeasure, double dblFXSpot, int iLatentStateType, double dblBump, boolean bIsProportional)Construct a Tenor + Parallel Map of FX Curve from the FX Instruments- Parameters:
dtSpot
- Spot Datecp
- The FX Currency PairastrMaturityTenor
- Array of Maturity TenorsadblQuote
- Array of FX ForwardsstrMeasure
- Calibration MeasuredblFXSpot
- FX SpotiLatentStateType
- SHAPE PRESERVING/SMOOTHdblBump
- The Tenor Node Bump AmountbIsProportional
- TRUE - The Bump Applied is Proportional- Returns:
- Map of FX Curve Instance
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BumpedForwardVolatilityCurve
public static final CaseInsensitiveTreeMap<VolatilityCurve> BumpedForwardVolatilityCurve(JulianDate dtSpot, ForwardLabel forwardLabel, boolean bIsCap, java.lang.String[] astrMaturityTenor, double[] adblStrike, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc, ForwardCurve fc, double dblBump, boolean bIsProportional)Construct a Tenor + Parallel Forward Volatility Latent State Construction from Cap/Floor Instruments- Parameters:
dtSpot
- Spot DateforwardLabel
- Forward LabelbIsCap
- TRUE - Create and Use Array of CapsastrMaturityTenor
- Array of Cap/floor MaturitiesadblStrike
- Array of Cap/Floor StrikesadblQuote
- Array of Cap/Floor QuotesstrMeasure
- Calibration Measuredc
- Discount Curve Instancefc
- Forward Curve InstancedblBump
- The Tenor Node Bump AmountbIsProportional
- TRUE - The Bump Applied is Proportional- Returns:
- Map of Forward Volatility Curve Instance
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