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. It provides the following Functionality:
  • Shape Preserving Latent State
  • Smoothened Latent State
  • Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified Spline
  • Construct a Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified Spline
  • Construct a Shape Preserving Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments
  • Construct a Shape Preserving Funding Curve Based off of the Input Exchange/OTC Market Instruments
  • Construct a Smooth Funding Curve Based off of the Input Exchange/OTC Market Instruments
  • Construct a Smooth Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments
  • Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments
  • Construct a Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments
  • Construct a Instance of the Forward Curve off of Exchange/OTC Market Instruments
  • Construct a Instance of the Shape Preserving Forward Curve off of Exchange/OTC Market Instruments
  • Construct a Instance of Smooth Forward Curve off of Exchange/OTC Market Instruments
  • Construct a Instance of the Smooth/Shape Preserving Forward Curve off of Exchange/OTC Market Instruments
  • Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
  • Construct a Shape Preserving Overnight Curve from Overnight Exchange/OTC Market Instruments
  • Construct a Smooth Overnight Curve from Overnight Exchange/OTC Market Instruments
  • Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
  • Construct a Credit Curve from Overnight Exchange/OTC Market Instruments
  • Construct a Credit Curve from the specified Calibration CDS Instruments
  • Construct a Govvie Curve from the Treasury Instruments
  • Construct a Shape Preserving Govvie Curve from the Treasury Instruments
  • Construct a Smooth Govvie Curve from the Treasury Instruments
  • Construct a Govvie Curve from the Treasury Instruments
  • Construct an FX Curve from the FX Forward Instruments
  • Construct a Shape Preserving FX Curve from the FX Forward Instruments
  • Construct a Smooth FX Curve from the FX Forward Instruments
  • Construct an FX Curve from the FX Forward Instruments
  • Forward Rate Volatility Latent State Construction from Cap/Floor Instruments
  • Construct a Map of Tenor Bumped Funding Curve Based off of the Input Exchange/OTC Market Instruments
  • Construct a Map of Tenor Bumped Funding Curve Based off of the Underlying Forward Curve Shift
  • Construct a Map of Tenor Bumped Forward Curve Based off of the Input Exchange/OTC Market Instruments
  • Construct a Map of Tenor + Parallel Bumped Overnight Curves
  • Construct a Tenor + Parallel Map of Bumped Credit Curves from Overnight Exchange/OTC Market Instruments
  • Construct a Tenor + Parallel Map of Govvie Curves from the Treasury Instruments
  • Construct a Tenor + Parallel Map of FX Curve from the FX Instruments
  • Construct a Tenor + Parallel Forward Volatility Latent State Construction from Cap/Floor Instruments

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

  • Field Summary

    Fields
    Modifier and Type Field Description
    static int SHAPE_PRESERVING
    Shape Preserving Latent State
    static int SMOOTH
    Smoothened Latent State

  • Constructor Summary

    Constructors
    Constructor Description
    LatentMarketStateBuilder()  

  • Method Summary

    Modifier and Type Method Description
    static CaseInsensitiveTreeMap<CreditCurve> BumpedCreditCurve​(JulianDate spotDate, java.lang.String creditCurveName, java.lang.String[] maturityTenorArray, double[] couponArray, double[] quoteArray, java.lang.String calibrationMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve, double bumpAmount, boolean isProportional)
    Construct a Tenor + Parallel Map of Bumped Credit Curves from Overnight Exchange/OTC Market Instruments
    static CaseInsensitiveTreeMap<ForwardCurve> BumpedForwardCurve​(JulianDate spotDate, ForwardLabel forwardLabel, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] fraMaturityTenorArray, double[] fraQuoteArray, java.lang.String fraMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, java.lang.String[] floatFloatMaturityTenorArray, double[] floatFloatQuoteArray, java.lang.String floatFloatMeasure, java.lang.String[] syntheticFloatFloatMaturityTenorArray, double[] syntheticFloatFloatQuoteArray, java.lang.String syntheticFloatFloatMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve, ForwardCurve referenceForwardCurve, int latentStateType, double bumpAmount, boolean isProportional)
    Construct a Map of Tenor Bumped Forward Curve Based off of the Input Exchange/OTC Market Instruments
    static CaseInsensitiveTreeMap<MergedDiscountForwardCurve> BumpedForwardFundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, int latentStateType, double bumpAmount, boolean isProportional)
    Construct a Map of Tenor Bumped Funding Curve Based off of the Underlying Forward Curve Shift
    static CaseInsensitiveTreeMap<VolatilityCurve> BumpedForwardVolatilityCurve​(JulianDate spotDate, ForwardLabel forwardLabel, boolean isCap, java.lang.String[] maturityTenorArray, double[] strikeArray, double[] quoteArray, java.lang.String calibrationMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve, ForwardCurve forwardCurve, double bumpAmount, boolean isProportional)
    Construct a Tenor + Parallel Forward Volatility Latent State Construction from Cap/Floor Instruments
    static CaseInsensitiveTreeMap<MergedDiscountForwardCurve> BumpedFundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, int latentStateType, double bumpAmount, boolean isProportional)
    Construct a Map of Tenor Bumped Funding Curve Based off of the Input Exchange/OTC Market Instruments
    static CaseInsensitiveTreeMap<FXCurve> BumpedFXCurve​(JulianDate spotDate, CurrencyPair currencyPair, java.lang.String[] maturityTenorArray, double[] quoteArray, java.lang.String calibrationMeasure, double fxSpot, int latentStateType, double bumpAmount, boolean isProportional)
    Construct a Tenor + Parallel Map of FX Curve from the FX Instruments
    static CaseInsensitiveTreeMap<GovvieCurve> BumpedGovvieCurve​(java.lang.String govvieCode, JulianDate spotDate, JulianDate[] effectiveDateArray, JulianDate[] maturityDateArray, double[] couponArray, double[] quoteArray, java.lang.String calibrationMeasure, int latentStateType, double bumpAmount, boolean isProportional)
    Construct a Tenor + Parallel Map of Govvie Curves from the Treasury Instruments
    static CaseInsensitiveTreeMap<MergedDiscountForwardCurve> BumpedOvernightCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] shortEndOISMaturityTenorArray, double[] shortEndOISQuoteArray, java.lang.String shortEndOISMeasure, java.lang.String[] oisFuturesEffectiveTenorArray, java.lang.String[] oisFuturesMaturityTenorArray, double[] oisFuturesQuoteArray, java.lang.String oisFuturesMeasure, java.lang.String[] longEndOISMaturityTenorArray, double[] longEndOISQuoteArray, java.lang.String longEndOISMeasure, int latentStateType, double bumpAmount, boolean isProportional)
    Construct a Map of Tenor + Parallel Bumped Overnight Curves
    static CreditCurve CreditCurve​(JulianDate spotDate, java.lang.String creditCurveName, java.lang.String[] maturityTenorArray, double[] couponArray, double[] quoteArray, java.lang.String calibrationMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve)
    Construct a Credit Curve from Overnight Exchange/OTC Market Instruments
    static CreditCurve CreditCurve​(JulianDate spotDate, CreditDefaultSwap[] creditDefaultSwapArray, double[] quoteArray, java.lang.String calibrationMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve)
    Construct a Credit Curve from the specified Calibration CDS Instruments
    static ForwardCurve ForwardCurve​(JulianDate spotDate, ForwardLabel forwardLabel, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] fraMaturityTenorArray, double[] fraQuoteArray, java.lang.String fraMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, java.lang.String[] floatFloatMaturityTenorArray, double[] floatFloatQuoteArray, java.lang.String floatFloatMeasure, java.lang.String[] syntheticFloatFloatMaturityTenorArray, double[] syntheticFloatFloatQuoteArray, java.lang.String syntheticFloatFloatMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve, ForwardCurve referenceForwardCurve, int latentStateType)
    Construct a Instance of the Smooth/Shape Preserving Forward Curve off of Exchange/OTC Market Instruments
    static ForwardCurve ForwardCurve​(JulianDate spotDate, ForwardLabel forwardLabel, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] fraMaturityTenorArray, double[] fraQuoteArray, java.lang.String fraMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, java.lang.String[] floatFloatMaturityTenorArray, double[] floatFloatQuoteArray, java.lang.String floatFloatMeasure, java.lang.String[] syntheticFloatFloatMaturityTenorArray, double[] syntheticFloatFloatQuoteArray, java.lang.String syntheticFloatFloatMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve, ForwardCurve referenceForwardCurve, SegmentCustomBuilderControl segmentCustomBuilderControl)
    Construct a Instance of the Forward Curve off of Exchange/OTC Market Instruments
    static VolatilityCurve ForwardRateVolatilityCurve​(JulianDate spotDate, ForwardLabel forwardLabel, boolean isCap, java.lang.String[] maturityTenorArray, double[] strikeArray, double[] quoteArray, java.lang.String calibrationMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve, ForwardCurve forwardCurve)
    Forward Rate Volatility Latent State Construction from Cap/Floor Instruments
    static MergedDiscountForwardCurve FundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, int latentStateType)
    Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments
    static MergedDiscountForwardCurve FundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, SegmentCustomBuilderControl segmentCustomBuilderControl)
    Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified Spline
    static FXCurve FXCurve​(JulianDate spotDate, CurrencyPair currencyPair, java.lang.String[] maturityTenorArray, double[] quoteArray, java.lang.String calibrationMeasure, double fxSpot, int latentStateType)
    Construct an FX Curve from the FX Forward Instruments
    static FXCurve FXCurve​(JulianDate spotDate, CurrencyPair currencyPair, java.lang.String[] maturityTenorArray, double[] quoteArray, java.lang.String calibrationMeasure, double fxSpot, SegmentCustomBuilderControl segmentCustomBuilderControl)
    Construct an FX Curve from the FX Forward Instruments
    static GovvieCurve GovvieCurve​(java.lang.String treasuryCode, JulianDate spotDate, JulianDate[] effectiveDateArray, JulianDate[] maturityDateArray, double[] couponArray, double[] quoteArray, java.lang.String calibrationMeasure, int latentStateType)
    Construct a Govvie Curve from the Treasury Instruments
    static GovvieCurve GovvieCurve​(java.lang.String treasuryCode, JulianDate spotDate, JulianDate[] effectiveDateArray, JulianDate[] maturityDateArray, double[] couponArray, double[] quoteArray, java.lang.String calibrationMeasure, SegmentCustomBuilderControl segmentCustomBuilderControl)
    Construct a Govvie Curve from the Treasury Instruments
    static MergedDiscountForwardCurve OvernightCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] shortEndOISMaturityTenorArray, double[] shortEndOISQuoteArray, java.lang.String shortEndOISMeasure, java.lang.String[] oisFuturesEffectiveTenorArray, java.lang.String[] oisFuturesMaturityTenorArray, double[] oisFuturesQuoteArray, java.lang.String oisFuturesMeasure, java.lang.String[] longEndOISMaturityTenorArray, double[] longEndOISQuoteArray, java.lang.String longEndOISMeasure, int latentStateType)
    Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
    static MergedDiscountForwardCurve OvernightCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] shortEndOISMaturityTenorArray, double[] shortEndOISQuoteArray, java.lang.String shortEndOISMeasure, java.lang.String[] oisFuturesEffectiveTenorArray, java.lang.String[] oisFuturesMaturityTenorArray, double[] oisFuturesQuoteArray, java.lang.String oisFuturesMeasure, java.lang.String[] longEndOISMaturityTenorArray, double[] longEndOISQuoteArray, java.lang.String longEndOISMeasure, SegmentCustomBuilderControl segmentCustomBuilderControl)
    Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
    static ForwardCurve ShapePreservingForwardCurve​(JulianDate spotDate, ForwardLabel forwardLabel, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] fraMaturityTenorArray, double[] fraQuoteArray, java.lang.String fraMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, java.lang.String[] floatFloatMaturityTenorArray, double[] floatFloatQuoteArray, java.lang.String floatFloatMeasure, java.lang.String[] syntheticFloatFloatMaturityTenorArray, double[] syntheticFloatFloatQuoteArray, java.lang.String syntheticFloatFloatMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve, ForwardCurve referenceForwardCurve)
    Construct a Instance of the Shape Preserving Forward Curve off of Exchange/OTC Market Instruments
    static MergedDiscountForwardCurve ShapePreservingFundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure)
    Construct a Shape Preserving Funding Curve Based off of the Input Exchange/OTC Market Instruments
    static FXCurve ShapePreservingFXCurve​(JulianDate spotDate, CurrencyPair currencyPair, java.lang.String[] maturityTenorArray, double[] quoteArray, java.lang.String calibrationMeasure, double fxSpot)
    Construct a Shape Preserving FX Curve from the FX Forward Instruments
    static GovvieCurve ShapePreservingGovvieCurve​(java.lang.String treasuryCode, JulianDate spotDate, JulianDate[] effectiveDateArray, JulianDate[] maturityDateArray, double[] couponArray, double[] quoteArray, java.lang.String calibrationMeasure)
    Construct a Shape Preserving Govvie Curve from the Treasury Instruments
    static MergedDiscountForwardCurve ShapePreservingOvernightCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] shortEndOISMaturityTenorArray, double[] shortEndOISQuoteArray, java.lang.String shortEndOISMeasure, java.lang.String[] oisFuturesEffectiveTenorArray, java.lang.String[] oisFuturesMaturityTenorArray, double[] oisFuturesQuoteArray, java.lang.String oisFuturesMeasure, java.lang.String[] longEndOISMaturityTenorArray, double[] longEndOISQuoteArray, java.lang.String longEndOISMeasure)
    Construct a Shape Preserving Overnight Curve from Overnight Exchange/OTC Market Instruments
    static MergedDiscountForwardCurve SingleStretchFundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, int latentStateType)
    Construct a Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments
    static MergedDiscountForwardCurve SingleStretchFundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, SegmentCustomBuilderControl segmentCustomBuilderControl)
    Construct a Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified Spline
    static MergedDiscountForwardCurve SingleStretchShapePreservingFundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure)
    Construct a Shape Preserving Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments
    static MergedDiscountForwardCurve SingleStretchSmoothFundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure)
    Construct a Smooth Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments
    static ForwardCurve SmoothForwardCurve​(JulianDate spotDate, ForwardLabel forwardLabel, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] fraMaturityTenorArray, double[] fraQuoteArray, java.lang.String fraMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, java.lang.String[] floatFloatMaturityTenorArray, double[] floatFloatQuoteArray, java.lang.String floatFloatMeasure, java.lang.String[] syntheticFloatFloatMaturityTenorArray, double[] syntheticFloatFloatQuoteArray, java.lang.String syntheticFloatFloatMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve, ForwardCurve referenceForwardCurve)
    Construct a Instance of Smooth Forward Curve off of Exchange/OTC Market Instruments
    static MergedDiscountForwardCurve SmoothFundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure)
    Construct a Smooth Funding Curve Based off of the Input Exchange/OTC Market Instruments
    static FXCurve SmoothFXCurve​(JulianDate spotDate, CurrencyPair currencyPair, java.lang.String[] maturityTenorArray, double[] quoteArray, java.lang.String calibrationMeasure, double fxSpot)
    Construct a Smooth FX Curve from the FX Forward Instruments
    static GovvieCurve SmoothGovvieCurve​(java.lang.String treasuryCode, JulianDate spotDate, JulianDate[] effectiveDateArray, JulianDate[] maturityDateArray, double[] couponArray, double[] quoteArray, java.lang.String calibrationMeasure)
    Construct a Smooth Govvie Curve from the Treasury Instruments
    static MergedDiscountForwardCurve SmoothOvernightCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] shortEndOISMaturityTenorArray, double[] shortEndOISQuoteArray, java.lang.String shortEndOISMeasure, java.lang.String[] oisFuturesEffectiveTenorArray, java.lang.String[] oisFuturesMaturityTenorArray, double[] oisFuturesQuoteArray, java.lang.String oisFuturesMeasure, java.lang.String[] longEndOISMaturityTenorArray, double[] longEndOISQuoteArray, java.lang.String longEndOISMeasure)
    Construct a Smooth Overnight Curve from Overnight Exchange/OTC Market Instruments

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Field Details

    • SHAPE_PRESERVING

      public static final int SHAPE_PRESERVING
      Shape Preserving Latent State
      See Also:
      Constant Field Values

    • SMOOTH

      public static final int SMOOTH
      Smoothened Latent State
      See Also:
      Constant Field Values

  • Constructor Details

    • LatentMarketStateBuilder

      public LatentMarketStateBuilder()

  • Method Details

    • FundingCurve

      public static final MergedDiscountForwardCurve FundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, SegmentCustomBuilderControl segmentCustomBuilderControl)
      Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified Spline
      Parameters:
      spotDate - The Spot Date
      currency - Currency
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of Deposit Quotes
      depositMeasure - Deposit Calibration Measure
      futuresQuoteArray - Array of Futures Quotes
      futuresMeasure - Futures Calibration Measure
      fixFloatMaturityTenorArray - Array of Fix Float Swap Maturity Tenors
      fixFloatQuoteArray - Array of Fix Float Swap Quotes
      fixFloatMeasure - Fix Float Calibration Measure
      segmentCustomBuilderControl - Segment Custom Builder Control
      Returns:
      The Funding Curve Instance

    • SingleStretchFundingCurve

      public static final MergedDiscountForwardCurve SingleStretchFundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, SegmentCustomBuilderControl segmentCustomBuilderControl)
      Construct a Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified Spline
      Parameters:
      spotDate - The Spot Date
      currency - Currency
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of Deposit Quotes
      depositMeasure - Deposit Calibration Measure
      futuresQuoteArray - Array of Futures Quotes
      futuresMeasure - Futures Calibration Measure
      fixFloatMaturityTenorArray - Array of Fix Float Swap Maturity Tenors
      fixFloatQuoteArray - Array of Fix Float Swap Quotes
      fixFloatMeasure - Fix Float Calibration Measure
      segmentCustomBuilderControl - Segment Custom Builder Control
      Returns:
      The Funding Curve Instance

    • SingleStretchShapePreservingFundingCurve

      public static final MergedDiscountForwardCurve SingleStretchShapePreservingFundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure)
      Construct a Shape Preserving Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments
      Parameters:
      spotDate - The Spot Date
      currency - Currency
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of Deposit Quotes
      depositMeasure - Deposit Calibration Measure
      futuresQuoteArray - Array of Futures Quotes
      futuresMeasure - Futures Calibration Measure
      fixFloatMaturityTenorArray - Array of Fix Float Swap Maturity Tenors
      fixFloatQuoteArray - Array of Fix Float Swap Quotes
      fixFloatMeasure - Fix Float Calibration Measure
      Returns:
      The Single Stretch Funding Curve Instance

    • ShapePreservingFundingCurve

      public static final MergedDiscountForwardCurve ShapePreservingFundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure)
      Construct a Shape Preserving Funding Curve Based off of the Input Exchange/OTC Market Instruments
      Parameters:
      spotDate - The Spot Date
      currency - Currency
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of Deposit Quotes
      depositMeasure - Deposit Calibration Measure
      futuresQuoteArray - Array of Futures Quotes
      futuresMeasure - Futures Calibration Measure
      fixFloatMaturityTenorArray - Array of Fix Float Swap Maturity Tenors
      fixFloatQuoteArray - Array of Fix Float Swap Quotes
      fixFloatMeasure - Fix Float Calibration Measure
      Returns:
      The Funding Curve Instance

    • SmoothFundingCurve

      public static final MergedDiscountForwardCurve SmoothFundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure)
      Construct a Smooth Funding Curve Based off of the Input Exchange/OTC Market Instruments
      Parameters:
      spotDate - The Spot Date
      currency - Currency
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of Deposit Quotes
      depositMeasure - Deposit Calibration Measure
      futuresQuoteArray - Array of Futures Quotes
      futuresMeasure - Futures Calibration Measure
      fixFloatMaturityTenorArray - Array of Fix Float Swap Maturity Tenors
      fixFloatQuoteArray - Array of Fix Float Swap Quotes
      fixFloatMeasure - Fix Float Calibration Measure
      Returns:
      The Funding Curve Instance

    • SingleStretchSmoothFundingCurve

      public static final MergedDiscountForwardCurve SingleStretchSmoothFundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure)
      Construct a Smooth Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments
      Parameters:
      spotDate - The Spot Date
      currency - Currency
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of Deposit Quotes
      depositMeasure - Deposit Calibration Measure
      futuresQuoteArray - Array of Futures Quotes
      futuresMeasure - Futures Calibration Measure
      fixFloatMaturityTenorArray - Array of Fix Float Swap Maturity Tenors
      fixFloatQuoteArray - Array of Fix Float Swap Quotes
      fixFloatMeasure - Fix Float Calibration Measure
      Returns:
      The Single Stretch Funding Curve Instance

    • FundingCurve

      public static final MergedDiscountForwardCurve FundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, int latentStateType)
      Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments
      Parameters:
      spotDate - The Spot Date
      currency - Currency
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of Deposit Quotes
      depositMeasure - Deposit Calibration Measure
      futuresQuoteArray - Array of Futures Quotes
      futuresMeasure - Futures Calibration Measure
      fixFloatMaturityTenorArray - Array of Fix Float Swap Maturity Tenors
      fixFloatQuoteArray - Array of Fix Float Swap Quotes
      fixFloatMeasure - Fix Float Calibration Measure
      latentStateType - SHAPE_PRESERVING/SMOOTH
      Returns:
      The Funding Curve Instance

    • SingleStretchFundingCurve

      public static final MergedDiscountForwardCurve SingleStretchFundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, int latentStateType)
      Construct a Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments
      Parameters:
      spotDate - The Spot Date
      currency - Currency
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of Deposit Quotes
      depositMeasure - Deposit Calibration Measure
      futuresQuoteArray - Array of Futures Quotes
      futuresMeasure - Futures Calibration Measure
      fixFloatMaturityTenorArray - Array of Fix Float Swap Maturity Tenors
      fixFloatQuoteArray - Array of Fix Float Swap Quotes
      fixFloatMeasure - Fix Float Calibration Measure
      latentStateType - SHAPE_PRESERVING/SMOOTH
      Returns:
      The Single Stretch Funding Curve Instance

    • ForwardCurve

      public static final ForwardCurve ForwardCurve​(JulianDate spotDate, ForwardLabel forwardLabel, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] fraMaturityTenorArray, double[] fraQuoteArray, java.lang.String fraMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, java.lang.String[] floatFloatMaturityTenorArray, double[] floatFloatQuoteArray, java.lang.String floatFloatMeasure, java.lang.String[] syntheticFloatFloatMaturityTenorArray, double[] syntheticFloatFloatQuoteArray, java.lang.String syntheticFloatFloatMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve, ForwardCurve referenceForwardCurve, SegmentCustomBuilderControl segmentCustomBuilderControl)
      Construct a Instance of the Forward Curve off of Exchange/OTC Market Instruments
      Parameters:
      spotDate - Spot Date
      forwardLabel - Forward Label
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of the Deposit Instrument Quotes
      depositMeasure - The Deposit Instrument Calibration Measure
      fraMaturityTenorArray - Array of FRA Maturity Tenors
      fraQuoteArray - Array of the FRA Instrument Quotes
      fraMeasure - The FRA Instrument Calibration Measure
      fixFloatMaturityTenorArray - Array of Fix-Float Maturity Tenors
      fixFloatQuoteArray - Array of the Fix-Float Quotes
      fixFloatMeasure - The Fix-Float Calibration Measure
      floatFloatMaturityTenorArray - Array of Float-Float Maturity Tenors
      floatFloatQuoteArray - Array of the Float-Float Quotes
      floatFloatMeasure - The Float-Float Calibration Measure
      syntheticFloatFloatMaturityTenorArray - Array of Synthetic Float-Float Maturity Tenors
      syntheticFloatFloatQuoteArray - Array of the Synthetic Float-Float Quotes
      syntheticFloatFloatMeasure - The Synthetic Float-Float Calibration Measure
      mergedDiscountForwardCurve - The Base Discount Curve
      referenceForwardCurve - The Reference Forward Curve
      segmentCustomBuilderControl - Segment Custom Builder Control Parameters
      Returns:
      Instance of the Forward Curve

    • ShapePreservingForwardCurve

      public static final ForwardCurve ShapePreservingForwardCurve​(JulianDate spotDate, ForwardLabel forwardLabel, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] fraMaturityTenorArray, double[] fraQuoteArray, java.lang.String fraMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, java.lang.String[] floatFloatMaturityTenorArray, double[] floatFloatQuoteArray, java.lang.String floatFloatMeasure, java.lang.String[] syntheticFloatFloatMaturityTenorArray, double[] syntheticFloatFloatQuoteArray, java.lang.String syntheticFloatFloatMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve, ForwardCurve referenceForwardCurve)
      Construct a Instance of the Shape Preserving Forward Curve off of Exchange/OTC Market Instruments
      Parameters:
      spotDate - Spot Date
      forwardLabel - Forward Label
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of the Deposit Instrument Quotes
      depositMeasure - The Deposit Instrument Calibration Measure
      fraMaturityTenorArray - Array of FRA Maturity Tenors
      fraQuoteArray - Array of the FRA Instrument Quotes
      fraMeasure - The FRA Instrument Calibration Measure
      fixFloatMaturityTenorArray - Array of Fix-Float Maturity Tenors
      fixFloatQuoteArray - Array of the Fix-Float Quotes
      fixFloatMeasure - The Fix-Float Calibration Measure
      floatFloatMaturityTenorArray - Array of Float-Float Maturity Tenors
      floatFloatQuoteArray - Array of the Float-Float Quotes
      floatFloatMeasure - The Float-Float Calibration Measure
      syntheticFloatFloatMaturityTenorArray - Array of Synthetic Float-Float Maturity Tenors
      syntheticFloatFloatQuoteArray - Array of the Synthetic Float-Float Quotes
      syntheticFloatFloatMeasure - The Synthetic Float-Float Calibration Measure
      mergedDiscountForwardCurve - The Base Discount Curve
      referenceForwardCurve - The Reference Forward Curve
      Returns:
      Instance of the Forward Curve

    • SmoothForwardCurve

      public static final ForwardCurve SmoothForwardCurve​(JulianDate spotDate, ForwardLabel forwardLabel, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] fraMaturityTenorArray, double[] fraQuoteArray, java.lang.String fraMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, java.lang.String[] floatFloatMaturityTenorArray, double[] floatFloatQuoteArray, java.lang.String floatFloatMeasure, java.lang.String[] syntheticFloatFloatMaturityTenorArray, double[] syntheticFloatFloatQuoteArray, java.lang.String syntheticFloatFloatMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve, ForwardCurve referenceForwardCurve)
      Construct a Instance of Smooth Forward Curve off of Exchange/OTC Market Instruments
      Parameters:
      spotDate - Spot Date
      forwardLabel - Forward Label
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of the Deposit Instrument Quotes
      depositMeasure - The Deposit Instrument Calibration Measure
      fraMaturityTenorArray - Array of FRA Maturity Tenors
      fraQuoteArray - Array of the FRA Instrument Quotes
      fraMeasure - The FRA Instrument Calibration Measure
      fixFloatMaturityTenorArray - Array of Fix-Float Maturity Tenors
      fixFloatQuoteArray - Array of the Fix-Float Quotes
      fixFloatMeasure - The Fix-Float Calibration Measure
      floatFloatMaturityTenorArray - Array of Float-Float Maturity Tenors
      floatFloatQuoteArray - Array of the Float-Float Quotes
      floatFloatMeasure - The Float-Float Calibration Measure
      syntheticFloatFloatMaturityTenorArray - Array of Synthetic Float-Float Maturity Tenors
      syntheticFloatFloatQuoteArray - Array of the Synthetic Float-Float Quotes
      syntheticFloatFloatMeasure - The Synthetic Float-Float Calibration Measure
      mergedDiscountForwardCurve - The Base Discount Curve
      referenceForwardCurve - The Reference Forward Curve
      Returns:
      Instance of the Forward Curve

    • ForwardCurve

      public static final ForwardCurve ForwardCurve​(JulianDate spotDate, ForwardLabel forwardLabel, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] fraMaturityTenorArray, double[] fraQuoteArray, java.lang.String fraMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, java.lang.String[] floatFloatMaturityTenorArray, double[] floatFloatQuoteArray, java.lang.String floatFloatMeasure, java.lang.String[] syntheticFloatFloatMaturityTenorArray, double[] syntheticFloatFloatQuoteArray, java.lang.String syntheticFloatFloatMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve, ForwardCurve referenceForwardCurve, int latentStateType)
      Construct a Instance of the Smooth/Shape Preserving Forward Curve off of Exchange/OTC Market Instruments
      Parameters:
      spotDate - Spot Date
      forwardLabel - Forward Label
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of the Deposit Instrument Quotes
      depositMeasure - The Deposit Instrument Calibration Measure
      fraMaturityTenorArray - Array of FRA Maturity Tenors
      fraQuoteArray - Array of the FRA Instrument Quotes
      fraMeasure - The FRA Instrument Calibration Measure
      fixFloatMaturityTenorArray - Array of Fix-Float Maturity Tenors
      fixFloatQuoteArray - Array of the Fix-Float Quotes
      fixFloatMeasure - The Fix-Float Calibration Measure
      floatFloatMaturityTenorArray - Array of Float-Float Maturity Tenors
      floatFloatQuoteArray - Array of the Float-Float Quotes
      floatFloatMeasure - The Float-Float Calibration Measure
      syntheticFloatFloatMaturityTenorArray - Array of Synthetic Float-Float Maturity Tenors
      syntheticFloatFloatQuoteArray - Array of the Synthetic Float-Float Quotes
      syntheticFloatFloatMeasure - The Synthetic Float-Float Calibration Measure
      mergedDiscountForwardCurve - The Base Discount Curve
      referenceForwardCurve - The Reference Forward Curve
      latentStateType - SHAPE_PRESERVING/SMOOTH
      Returns:
      Instance of the Forward Curve

    • OvernightCurve

      public static final MergedDiscountForwardCurve OvernightCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] shortEndOISMaturityTenorArray, double[] shortEndOISQuoteArray, java.lang.String shortEndOISMeasure, java.lang.String[] oisFuturesEffectiveTenorArray, java.lang.String[] oisFuturesMaturityTenorArray, double[] oisFuturesQuoteArray, java.lang.String oisFuturesMeasure, java.lang.String[] longEndOISMaturityTenorArray, double[] longEndOISQuoteArray, java.lang.String longEndOISMeasure, SegmentCustomBuilderControl segmentCustomBuilderControl)
      Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
      Parameters:
      spotDate - Spot Date
      currency - Currency
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of Deposit Quotes
      depositMeasure - Deposit Measure
      shortEndOISMaturityTenorArray - Array of Short End OIS Maturity Tenors
      shortEndOISQuoteArray - Array of Short End OIS Quotes
      shortEndOISMeasure - Short End OIS Measure
      oisFuturesEffectiveTenorArray - Array of OIS Futures Effective Tenors
      oisFuturesMaturityTenorArray - Array of OIS Futures Maturity Tenors
      oisFuturesQuoteArray - Array of OIS Futures Quotes
      oisFuturesMeasure - OIS Futures Measure
      longEndOISMaturityTenorArray - Array of Long End OIS Maturity Tenors
      longEndOISQuoteArray - Array of Long End OIS Quotes
      longEndOISMeasure - Long End OIS Measure
      segmentCustomBuilderControl - Segment Custom Builder Control
      Returns:
      Overnight Curve from Overnight OTC Instruments

    • ShapePreservingOvernightCurve

      public static final MergedDiscountForwardCurve ShapePreservingOvernightCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] shortEndOISMaturityTenorArray, double[] shortEndOISQuoteArray, java.lang.String shortEndOISMeasure, java.lang.String[] oisFuturesEffectiveTenorArray, java.lang.String[] oisFuturesMaturityTenorArray, double[] oisFuturesQuoteArray, java.lang.String oisFuturesMeasure, java.lang.String[] longEndOISMaturityTenorArray, double[] longEndOISQuoteArray, java.lang.String longEndOISMeasure)
      Construct a Shape Preserving Overnight Curve from Overnight Exchange/OTC Market Instruments
      Parameters:
      spotDate - Spot Date
      currency - Currency
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of Deposit Quotes
      depositMeasure - Deposit Measure
      shortEndOISMaturityTenorArray - Array of Short End OIS Maturity Tenors
      shortEndOISQuoteArray - Array of Short End OIS Quotes
      shortEndOISMeasure - Short End OIS Measure
      oisFuturesEffectiveTenorArray - Array of OIS Futures Effective Tenors
      oisFuturesMaturityTenorArray - Array of OIS Futures Maturity Tenors
      oisFuturesQuoteArray - Array of OIS Futures Quotes
      oisFuturesMeasure - OIS Futures Measure
      longEndOISMaturityTenorArray - Array of Long End OIS Maturity Tenors
      longEndOISQuoteArray - Array of Long End OIS Quotes
      longEndOISMeasure - Long End OIS Measure
      Returns:
      Overnight Curve from Overnight OTC Instruments

    • SmoothOvernightCurve

      public static final MergedDiscountForwardCurve SmoothOvernightCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] shortEndOISMaturityTenorArray, double[] shortEndOISQuoteArray, java.lang.String shortEndOISMeasure, java.lang.String[] oisFuturesEffectiveTenorArray, java.lang.String[] oisFuturesMaturityTenorArray, double[] oisFuturesQuoteArray, java.lang.String oisFuturesMeasure, java.lang.String[] longEndOISMaturityTenorArray, double[] longEndOISQuoteArray, java.lang.String longEndOISMeasure)
      Construct a Smooth Overnight Curve from Overnight Exchange/OTC Market Instruments
      Parameters:
      spotDate - Spot Date
      currency - Currency
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of Deposit Quotes
      depositMeasure - Deposit Measure
      shortEndOISMaturityTenorArray - Array of Short End OIS Maturity Tenors
      shortEndOISQuoteArray - Array of Short End OIS Quotes
      shortEndOISMeasure - Short End OIS Measure
      oisFuturesEffectiveTenorArray - Array of OIS Futures Effective Tenors
      oisFuturesMaturityTenorArray - Array of OIS Futures Maturity Tenors
      oisFuturesQuoteArray - Array of OIS Futures Quotes
      oisFuturesMeasure - OIS Futures Measure
      longEndOISMaturityTenorArray - Array of Long End OIS Maturity Tenors
      longEndOISQuoteArray - Array of Long End OIS Quotes
      longEndOISMeasure - Long End OIS Measure
      Returns:
      Overnight Curve from Overnight OTC Instruments

    • OvernightCurve

      public static final MergedDiscountForwardCurve OvernightCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] shortEndOISMaturityTenorArray, double[] shortEndOISQuoteArray, java.lang.String shortEndOISMeasure, java.lang.String[] oisFuturesEffectiveTenorArray, java.lang.String[] oisFuturesMaturityTenorArray, double[] oisFuturesQuoteArray, java.lang.String oisFuturesMeasure, java.lang.String[] longEndOISMaturityTenorArray, double[] longEndOISQuoteArray, java.lang.String longEndOISMeasure, int latentStateType)
      Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
      Parameters:
      spotDate - Spot Date
      currency - Currency
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of Deposit Quotes
      depositMeasure - Deposit Measure
      shortEndOISMaturityTenorArray - Array of Short End OIS Maturity Tenors
      shortEndOISQuoteArray - Array of Short End OIS Quotes
      shortEndOISMeasure - Short End OIS Measure
      oisFuturesEffectiveTenorArray - Array of OIS Futures Effective Tenors
      oisFuturesMaturityTenorArray - Array of OIS Futures Maturity Tenors
      oisFuturesQuoteArray - Array of OIS Futures Quotes
      oisFuturesMeasure - OIS Futures Measure
      longEndOISMaturityTenorArray - Array of Long End OIS Maturity Tenors
      longEndOISQuoteArray - Array of Long End OIS Quotes
      longEndOISMeasure - Long End OIS Measure
      latentStateType - SHAPE PRESERVING/SMOOTH
      Returns:
      Overnight Curve from Overnight OTC Instruments

    • CreditCurve

      public static final CreditCurve CreditCurve​(JulianDate spotDate, java.lang.String creditCurveName, java.lang.String[] maturityTenorArray, double[] couponArray, double[] quoteArray, java.lang.String calibrationMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve)
      Construct a Credit Curve from Overnight Exchange/OTC Market Instruments
      Parameters:
      spotDate - Spot Date
      creditCurveName - Credit Curve Name
      maturityTenorArray - Maturity Tenor Array
      couponArray - Coupon Array
      quoteArray - Array of Market Quotes
      calibrationMeasure - Calibration Measure
      mergedDiscountForwardCurve - Discount Curve
      Returns:
      The Credit Curve Instance

    • CreditCurve

      public static final CreditCurve CreditCurve​(JulianDate spotDate, CreditDefaultSwap[] creditDefaultSwapArray, double[] quoteArray, java.lang.String calibrationMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve)
      Construct a Credit Curve from the specified Calibration CDS Instruments
      Parameters:
      spotDate - Spot Date
      creditDefaultSwapArray - Array of the Calibration CDS Instruments
      quoteArray - Array of Market Quotes
      calibrationMeasure - Calibration Measure
      mergedDiscountForwardCurve - Discount Curve
      Returns:
      The Credit Curve Instance

    • GovvieCurve

      public static final GovvieCurve GovvieCurve​(java.lang.String treasuryCode, JulianDate spotDate, JulianDate[] effectiveDateArray, JulianDate[] maturityDateArray, double[] couponArray, double[] quoteArray, java.lang.String calibrationMeasure, SegmentCustomBuilderControl segmentCustomBuilderControl)
      Construct a Govvie Curve from the Treasury Instruments
      Parameters:
      treasuryCode - Treasury Code
      spotDate - Spot Date
      effectiveDateArray - Array of Effective Dates
      maturityDateArray - Array of Maturity Dates
      couponArray - Array of Coupons
      quoteArray - Array of Market Quotes
      calibrationMeasure - Calibration Measure
      segmentCustomBuilderControl - Segment Custom Builder Control Parameters
      Returns:
      The Govvie Curve Instance

    • ShapePreservingGovvieCurve

      public static final GovvieCurve ShapePreservingGovvieCurve​(java.lang.String treasuryCode, JulianDate spotDate, JulianDate[] effectiveDateArray, JulianDate[] maturityDateArray, double[] couponArray, double[] quoteArray, java.lang.String calibrationMeasure)
      Construct a Shape Preserving Govvie Curve from the Treasury Instruments
      Parameters:
      treasuryCode - Treasury Code
      spotDate - Spot Date
      effectiveDateArray - Array of Effective Dates
      maturityDateArray - Array of Maturity Dates
      couponArray - Array of Coupons
      quoteArray - Array of Market Quotes
      calibrationMeasure - Calibration Measure
      Returns:
      The Govvie Curve Instance

    • SmoothGovvieCurve

      public static final GovvieCurve SmoothGovvieCurve​(java.lang.String treasuryCode, JulianDate spotDate, JulianDate[] effectiveDateArray, JulianDate[] maturityDateArray, double[] couponArray, double[] quoteArray, java.lang.String calibrationMeasure)
      Construct a Smooth Govvie Curve from the Treasury Instruments
      Parameters:
      treasuryCode - Treasury Code
      spotDate - Spot Date
      effectiveDateArray - Array of Effective Dates
      maturityDateArray - Array of Maturity Dates
      couponArray - Array of Coupons
      quoteArray - Array of Market Quotes
      calibrationMeasure - Calibration Measure
      Returns:
      The Govvie Curve Instance

    • GovvieCurve

      public static final GovvieCurve GovvieCurve​(java.lang.String treasuryCode, JulianDate spotDate, JulianDate[] effectiveDateArray, JulianDate[] maturityDateArray, double[] couponArray, double[] quoteArray, java.lang.String calibrationMeasure, int latentStateType)
      Construct a Govvie Curve from the Treasury Instruments
      Parameters:
      treasuryCode - Treasury Code
      spotDate - Spot Date
      effectiveDateArray - Array of Effective Dates
      maturityDateArray - Array of Maturity Dates
      couponArray - Array of Coupons
      quoteArray - Array of Market Quotes
      calibrationMeasure - Calibration Measure
      latentStateType - SHAPE PRESERVING/SMOOTH
      Returns:
      The Govvie Curve Instance

    • FXCurve

      public static final FXCurve FXCurve​(JulianDate spotDate, CurrencyPair currencyPair, java.lang.String[] maturityTenorArray, double[] quoteArray, java.lang.String calibrationMeasure, double fxSpot, SegmentCustomBuilderControl segmentCustomBuilderControl)
      Construct an FX Curve from the FX Forward Instruments
      Parameters:
      spotDate - Spot Date
      currencyPair - The FX Currency Pair
      maturityTenorArray - Array of Maturity Tenors
      quoteArray - Array of FX Forwards
      calibrationMeasure - Calibration Measure
      fxSpot - FX Spot
      segmentCustomBuilderControl - Segment Custom Builder Builder Parameters
      Returns:
      The FX Curve Instance

    • ShapePreservingFXCurve

      public static final FXCurve ShapePreservingFXCurve​(JulianDate spotDate, CurrencyPair currencyPair, java.lang.String[] maturityTenorArray, double[] quoteArray, java.lang.String calibrationMeasure, double fxSpot)
      Construct a Shape Preserving FX Curve from the FX Forward Instruments
      Parameters:
      spotDate - Spot Date
      currencyPair - The FX Currency Pair
      maturityTenorArray - Array of Maturity Tenors
      quoteArray - Array of FX Forwards
      calibrationMeasure - Calibration Measure
      fxSpot - FX Spot
      Returns:
      The FX Curve Instance

    • SmoothFXCurve

      public static final FXCurve SmoothFXCurve​(JulianDate spotDate, CurrencyPair currencyPair, java.lang.String[] maturityTenorArray, double[] quoteArray, java.lang.String calibrationMeasure, double fxSpot)
      Construct a Smooth FX Curve from the FX Forward Instruments
      Parameters:
      spotDate - Spot Date
      currencyPair - The FX Currency Pair
      maturityTenorArray - Array of Maturity Tenors
      quoteArray - Array of FX Forwards
      calibrationMeasure - Calibration Measure
      fxSpot - FX Spot
      Returns:
      The FX Curve Instance

    • FXCurve

      public static final FXCurve FXCurve​(JulianDate spotDate, CurrencyPair currencyPair, java.lang.String[] maturityTenorArray, double[] quoteArray, java.lang.String calibrationMeasure, double fxSpot, int latentStateType)
      Construct an FX Curve from the FX Forward Instruments
      Parameters:
      spotDate - Spot Date
      currencyPair - The FX Currency Pair
      maturityTenorArray - Array of Maturity Tenors
      quoteArray - Array of FX Forwards
      calibrationMeasure - Calibration Measure
      fxSpot - FX Spot
      latentStateType - SHAPE PRESERVING/SMOOTH
      Returns:
      The FX Curve Instance

    • ForwardRateVolatilityCurve

      public static final VolatilityCurve ForwardRateVolatilityCurve​(JulianDate spotDate, ForwardLabel forwardLabel, boolean isCap, java.lang.String[] maturityTenorArray, double[] strikeArray, double[] quoteArray, java.lang.String calibrationMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve, ForwardCurve forwardCurve)
      Forward Rate Volatility Latent State Construction from Cap/Floor Instruments
      Parameters:
      spotDate - Spot Date
      forwardLabel - Forward Label
      isCap - TRUE - Create and Use Array of Caps
      maturityTenorArray - Array of Cap/floor Maturities
      strikeArray - Array of Cap/Floor Strikes
      quoteArray - Array of Cap/Floor Quotes
      calibrationMeasure - Calibration Measure
      mergedDiscountForwardCurve - Discount Curve Instance
      forwardCurve - Forward Curve Instance
      Returns:
      Instance of the Forward Rate Volatility Curve

    • BumpedFundingCurve

      public static final CaseInsensitiveTreeMap<MergedDiscountForwardCurve> BumpedFundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, int latentStateType, double bumpAmount, boolean isProportional)
      Construct a Map of Tenor Bumped Funding Curve Based off of the Input Exchange/OTC Market Instruments
      Parameters:
      spotDate - The Spot Date
      currency - Currency
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of Deposit Quotes
      depositMeasure - Deposit Calibration Measure
      futuresQuoteArray - Array of Futures Quotes
      futuresMeasure - Futures Calibration Measure
      fixFloatMaturityTenorArray - Array of Fix Float Swap Maturity Tenors
      fixFloatQuoteArray - Array of Fix Float Swap Quotes
      fixFloatMeasure - Fix Float Calibration Measure
      latentStateType - SHAPE_PRESERVING/SMOOTH
      bumpAmount - The Tenor Node Bump Amount
      isProportional - TRUE - The Bump Applied is Proportional
      Returns:
      The Tenor Bumped Funding Curve Map

    • BumpedForwardFundingCurve

      public static final CaseInsensitiveTreeMap<MergedDiscountForwardCurve> BumpedForwardFundingCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, double[] futuresQuoteArray, java.lang.String futuresMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, int latentStateType, double bumpAmount, boolean isProportional)
      Construct a Map of Tenor Bumped Funding Curve Based off of the Underlying Forward Curve Shift
      Parameters:
      spotDate - The Spot Date
      currency - Currency
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of Deposit Quotes
      depositMeasure - Deposit Calibration Measure
      futuresQuoteArray - Array of Futures Quotes
      futuresMeasure - Futures Calibration Measure
      fixFloatMaturityTenorArray - Array of Fix Float Swap Maturity Tenors
      fixFloatQuoteArray - Array of Fix Float Swap Quotes
      fixFloatMeasure - Fix Float Calibration Measure
      latentStateType - SHAPE_PRESERVING/SMOOTH
      bumpAmount - The Tenor Node Bump Amount
      isProportional - TRUE - The Bump Applied is Proportional
      Returns:
      The Tenor Bumped Funding Curve Map

    • BumpedForwardCurve

      public static final CaseInsensitiveTreeMap<ForwardCurve> BumpedForwardCurve​(JulianDate spotDate, ForwardLabel forwardLabel, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] fraMaturityTenorArray, double[] fraQuoteArray, java.lang.String fraMeasure, java.lang.String[] fixFloatMaturityTenorArray, double[] fixFloatQuoteArray, java.lang.String fixFloatMeasure, java.lang.String[] floatFloatMaturityTenorArray, double[] floatFloatQuoteArray, java.lang.String floatFloatMeasure, java.lang.String[] syntheticFloatFloatMaturityTenorArray, double[] syntheticFloatFloatQuoteArray, java.lang.String syntheticFloatFloatMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve, ForwardCurve referenceForwardCurve, int latentStateType, double bumpAmount, boolean isProportional)
      Construct a Map of Tenor Bumped Forward Curve Based off of the Input Exchange/OTC Market Instruments
      Parameters:
      spotDate - Spot Date
      forwardLabel - Forward Label
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of the Deposit Instrument Quotes
      depositMeasure - The Deposit Instrument Calibration Measure
      fraMaturityTenorArray - Array of FRA Maturity Tenors
      fraQuoteArray - Array of the FRA Instrument Quotes
      fraMeasure - The FRA Instrument Calibration Measure
      fixFloatMaturityTenorArray - Array of Fix-Float Maturity Tenors
      fixFloatQuoteArray - Array of the Fix-Float Quotes
      fixFloatMeasure - The Fix-Float Calibration Measure
      floatFloatMaturityTenorArray - Array of Float-Float Maturity Tenors
      floatFloatQuoteArray - Array of the Float-Float Quotes
      floatFloatMeasure - The Float-Float Calibration Measure
      syntheticFloatFloatMaturityTenorArray - Array of Synthetic Float-Float Maturity Tenors
      syntheticFloatFloatQuoteArray - Array of the Synthetic Float-Float Quotes
      syntheticFloatFloatMeasure - The Synthetic Float-Float Calibration Measure
      mergedDiscountForwardCurve - The Base Discount Curve
      referenceForwardCurve - The Reference Forward Curve
      latentStateType - SHAPE_PRESERVING/SMOOTH
      bumpAmount - The Tenor Node Bump Amount
      isProportional - TRUE - The Bump Applied is Proportional
      Returns:
      The Tenor Bumped Forward Curve Map

    • BumpedOvernightCurve

      public static final CaseInsensitiveTreeMap<MergedDiscountForwardCurve> BumpedOvernightCurve​(JulianDate spotDate, java.lang.String currency, java.lang.String[] depositMaturityTenorArray, double[] depositQuoteArray, java.lang.String depositMeasure, java.lang.String[] shortEndOISMaturityTenorArray, double[] shortEndOISQuoteArray, java.lang.String shortEndOISMeasure, java.lang.String[] oisFuturesEffectiveTenorArray, java.lang.String[] oisFuturesMaturityTenorArray, double[] oisFuturesQuoteArray, java.lang.String oisFuturesMeasure, java.lang.String[] longEndOISMaturityTenorArray, double[] longEndOISQuoteArray, java.lang.String longEndOISMeasure, int latentStateType, double bumpAmount, boolean isProportional)
      Construct a Map of Tenor + Parallel Bumped Overnight Curves
      Parameters:
      spotDate - Spot Date
      currency - Currency
      depositMaturityTenorArray - Array of Deposit Maturity Tenors
      depositQuoteArray - Array of Deposit Quotes
      depositMeasure - Deposit Measure
      shortEndOISMaturityTenorArray - Array of Short End OIS Maturity Tenors
      shortEndOISQuoteArray - Array of Short End OIS Quotes
      shortEndOISMeasure - Short End OIS Measure
      oisFuturesEffectiveTenorArray - Array of OIS Futures Effective Tenors
      oisFuturesMaturityTenorArray - Array of OIS Futures Maturity Tenors
      oisFuturesQuoteArray - Array of OIS Futures Quotes
      oisFuturesMeasure - OIS Futures Measure
      longEndOISMaturityTenorArray - Array of Long End OIS Maturity Tenors
      longEndOISQuoteArray - Array of Long End OIS Quotes
      longEndOISMeasure - Long End OIS Measure
      latentStateType - SHAPE PRESERVING/SMOOTH
      bumpAmount - The Tenor Node Bump Amount
      isProportional - TRUE - The Bump Applied is Proportional
      Returns:
      Map of Overnight Curves

    • BumpedCreditCurve

      public static final CaseInsensitiveTreeMap<CreditCurve> BumpedCreditCurve​(JulianDate spotDate, java.lang.String creditCurveName, java.lang.String[] maturityTenorArray, double[] couponArray, double[] quoteArray, java.lang.String calibrationMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve, double bumpAmount, boolean isProportional)
      Construct a Tenor + Parallel Map of Bumped Credit Curves from Overnight Exchange/OTC Market Instruments
      Parameters:
      spotDate - Spot Date
      creditCurveName - Credit Curve
      maturityTenorArray - Maturity Tenor
      couponArray - Coupon Array
      quoteArray - Array of Market Quotes
      calibrationMeasure - Calibration Measure
      mergedDiscountForwardCurve - Discount Curve
      bumpAmount - The Tenor Node Bump Amount
      isProportional - TRUE - The Bump Applied is Proportional
      Returns:
      Map of Bumped Credit Curves

    • BumpedGovvieCurve

      public static final CaseInsensitiveTreeMap<GovvieCurve> BumpedGovvieCurve​(java.lang.String govvieCode, JulianDate spotDate, JulianDate[] effectiveDateArray, JulianDate[] maturityDateArray, double[] couponArray, double[] quoteArray, java.lang.String calibrationMeasure, int latentStateType, double bumpAmount, boolean isProportional)
      Construct a Tenor + Parallel Map of Govvie Curves from the Treasury Instruments
      Parameters:
      govvieCode - The Govvie Code
      spotDate - Spot Date
      effectiveDateArray - Array of Effective Dates
      maturityDateArray - Array of Maturity Dates
      couponArray - Array of Coupons
      quoteArray - Array of Market Quotes
      calibrationMeasure - Calibration Measure
      latentStateType - SHAPE PRESERVING/SMOOTH
      bumpAmount - The Tenor Node Bump Amount
      isProportional - TRUE - The Bump Applied is Proportional
      Returns:
      Map of Govvie Curve Instance

    • BumpedFXCurve

      public static final CaseInsensitiveTreeMap<FXCurve> BumpedFXCurve​(JulianDate spotDate, CurrencyPair currencyPair, java.lang.String[] maturityTenorArray, double[] quoteArray, java.lang.String calibrationMeasure, double fxSpot, int latentStateType, double bumpAmount, boolean isProportional)
      Construct a Tenor + Parallel Map of FX Curve from the FX Instruments
      Parameters:
      spotDate - Spot Date
      currencyPair - The FX Currency Pair
      maturityTenorArray - Array of Maturity Tenors
      quoteArray - Array of FX Forwards
      calibrationMeasure - Calibration Measure
      fxSpot - FX Spot
      latentStateType - SHAPE PRESERVING/SMOOTH
      bumpAmount - The Tenor Node Bump Amount
      isProportional - TRUE - The Bump Applied is Proportional
      Returns:
      Map of FX Curve Instance

    • BumpedForwardVolatilityCurve

      public static final CaseInsensitiveTreeMap<VolatilityCurve> BumpedForwardVolatilityCurve​(JulianDate spotDate, ForwardLabel forwardLabel, boolean isCap, java.lang.String[] maturityTenorArray, double[] strikeArray, double[] quoteArray, java.lang.String calibrationMeasure, MergedDiscountForwardCurve mergedDiscountForwardCurve, ForwardCurve forwardCurve, double bumpAmount, boolean isProportional)
      Construct a Tenor + Parallel Forward Volatility Latent State Construction from Cap/Floor Instruments
      Parameters:
      spotDate - Spot Date
      forwardLabel - Forward Label
      isCap - TRUE - Create and Use Array of Caps
      maturityTenorArray - Array of Cap/floor Maturities
      strikeArray - Array of Cap/Floor Strikes
      quoteArray - Array of Cap/Floor Quotes
      calibrationMeasure - Calibration Measure
      mergedDiscountForwardCurve - Discount Curve Instance
      forwardCurve - Forward Curve Instance
      bumpAmount - The Tenor Node Bump Amount
      isProportional - TRUE - The Bump Applied is Proportional
      Returns:
      Map of Forward Volatility Curve Instance