Package org.drip.state.boot

Class DiscountCurveScenario

java.lang.Object

org.drip.state.boot.DiscountCurveScenario

public class DiscountCurveScenario
extends java.lang.Object

DiscountCurveScenario uses the interest rate calibration instruments along with the component calibrator to produce scenario interest rate curves. DiscountCurveScenario typically first constructs the actual curve calibrator instance to localize the intelligence around curve construction. It then uses this curve calibrator instance to build individual curves or the sequence of node bumped scenario curves. The curves in the set may be an array, or tenor-keyed. It exposes the following functions:

• Calibrate a discount curve
• Calibrate an array of tenor bumped discount curves
• Calibrate a tenor map of tenor bumped discount curves

Module	Product Core Module
Library	Fixed Income Analytics
Project	Latent State Inference and Creation Utilities
Package	Bootable Discount, Credit, Volatility States

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
DiscountCurveScenario()

Method Summary

Modifier and Type	Method	Description
static MergedDiscountForwardCurve	Standard(ValuationParams valuationParams, CalibratableComponent[] calibratableComponentArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, double bump, GovvieCurve govvieCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Calibrate a discount curve
static MergedDiscountForwardCurve[]	Tenor(ValuationParams valuationParams, CalibratableComponent[] calibratableComponentArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, double bump, GovvieCurve govvieCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Calibrate an array of tenor bumped discount curves
static CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	TenorMap(ValuationParams valuationParams, CalibratableComponent[] calibratableComponentArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, double bump, GovvieCurve govvieCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Calibrate a tenor map of tenor bumped discount curves

Methods inherited from class java.lang.Object

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

Constructor Details

DiscountCurveScenario

public DiscountCurveScenario()

Method Details

Standard

public static final MergedDiscountForwardCurve Standard(ValuationParams valuationParams,
CalibratableComponent[] calibratableComponentArray,
double[] calibrationQuoteArray,
java.lang.String[] calibrationMeasureArray,
double bump,
GovvieCurve govvieCurve,
LatentStateFixingsContainer latentStateFixingsContainer,
ValuationCustomizationParams valuationCustomizationParams)

Calibrate a discount curve

Parameters:

valuationParams - ValuationParams

calibratableComponentArray - Array of Calibratable Components

calibrationQuoteArray - Array of component quotes

calibrationMeasureArray - Array of the calibration measures

bump - Quote bump

govvieCurve - Govvie Curve

latentStateFixingsContainer - Latent State Fixings Container

valuationCustomizationParams - Valuation Customization Parameters

Returns:

DiscountCurve Instance

Tenor

public static final MergedDiscountForwardCurve[] Tenor(ValuationParams valuationParams,
CalibratableComponent[] calibratableComponentArray,
double[] calibrationQuoteArray,
java.lang.String[] calibrationMeasureArray,
double bump,
GovvieCurve govvieCurve,
LatentStateFixingsContainer latentStateFixingsContainer,
ValuationCustomizationParams valuationCustomizationParams)

Calibrate an array of tenor bumped discount curves

Parameters:

valuationParams - Valuation Parameters

calibratableComponentArray - Array of Calibratable Components

calibrationQuoteArray - Array of component quotes

calibrationMeasureArray - Array of the calibration measures

bump - Quote bump

govvieCurve - Govvie Curve

latentStateFixingsContainer - Latent State Fixings Container

valuationCustomizationParams - Valuation Customization Parameters

Returns:

Array of tenor bumped discount curves

TenorMap

public static final CaseInsensitiveTreeMap<MergedDiscountForwardCurve> TenorMap(ValuationParams valuationParams,
CalibratableComponent[] calibratableComponentArray,
double[] calibrationQuoteArray,
java.lang.String[] calibrationMeasureArray,
double bump,
GovvieCurve govvieCurve,
LatentStateFixingsContainer latentStateFixingsContainer,
ValuationCustomizationParams valuationCustomizationParams)

Calibrate a tenor map of tenor bumped discount curves

Parameters:

valuationParams - ValuationParams

calibratableComponentArray - Array of Calibratable Components

calibrationQuoteArray - Array of component quotes

calibrationMeasureArray - Array of the calibration measures

bump - Quote bump

govvieCurve - Govvie Curve

latentStateFixingsContainer - Latent State Fixings Container

valuationCustomizationParams - Valuation Customization Parameters

Returns:

Tenor map of tenor bumped discount curves