Package org.drip.state.creator

Class ScenarioBasisCurveBuilder

java.lang.Object

org.drip.state.creator.ScenarioBasisCurveBuilder

public class ScenarioBasisCurveBuilder
extends java.lang.Object

ScenarioBasisCurveBuilder implements the construction of the scenario basis curve using the input instruments and their quotes. It exposes the following functions:

• Create an Instance of the Custom Splined Basis Curve
• Create an Instance of the Cubic Polynomial Splined Basis Curve
• Create an Instance of the Quartic Polynomial Splined Basis Curve
• Create an Instance of the Kaklis-Pandelis Splined Basis Curve
• Create an Instance of the KLK Hyperbolic Splined Basis Curve
• Create an Instance of the KLK Rational Linear Splined Basis Curve
• Create an Instance of the KLK Rational Quadratic Splined Basis Curve

Module	Product Core Module
Library	Fixed Income Analytics
Project	Latent State Inference and Creation Utilities
Package	Scenario State Curve/Surface Builders

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
ScenarioBasisCurveBuilder()

Method Summary

Modifier and Type	Method	Description
static BasisCurve	CubicPolynomialBasisCurve(java.lang.String name, JulianDate spotDate, ForwardLabel referenceForwardLabel, ForwardLabel derivedForwardLabel, boolean basisOnReference, java.lang.String[] tenorArray, double[] basisArray)	Create an Instance of the Cubic Polynomial Splined Basis Curve
static BasisCurve	CustomSplineBasisCurve(java.lang.String name, JulianDate spotDate, ForwardLabel referenceForwardLabel, ForwardLabel derivedForwardLabel, boolean basisOnReference, java.lang.String[] tenorArray, double[] basisArray, SegmentCustomBuilderControl segmentCustomBuilderControl)	Create an Instance of the Custom Splined Basis Curve
static BasisCurve	KaklisPandelisBasisCurve(java.lang.String name, JulianDate spotDate, ForwardLabel referenceForwardLabel, ForwardLabel derivedForwardLabel, boolean basisOnReference, java.lang.String[] tenorArray, double[] basisArray)	Create an Instance of the Kaklis-Pandelis Splined Basis Curve
static BasisCurve	KLKHyperbolicBasisCurve(java.lang.String name, JulianDate spotDate, ForwardLabel referenceForwardLabel, ForwardLabel derivedForwardLabel, boolean basisOnReference, java.lang.String[] tenorArray, double[] basisArray, double tension)	Create an Instance of the KLK Hyperbolic Splined Basis Curve
static BasisCurve	KLKRationalLinearBasisCurve(java.lang.String name, JulianDate spotDate, ForwardLabel referenceForwardLabel, ForwardLabel derivedForwardLabel, boolean basisOnReference, java.lang.String[] tenorArray, double[] basisArray, double tension)	Create an Instance of the KLK Rational Linear Splined Basis Curve
static BasisCurve	KLKRationalQuadraticBasisCurve(java.lang.String name, JulianDate spotDate, ForwardLabel referenceForwardLabel, ForwardLabel derivedForwardLabel, boolean basisOnReference, java.lang.String[] tenorArray, double[] basisArray, double tension)	Create an Instance of the KLK Rational Quadratic Splined Basis Curve
static BasisCurve	QuarticPolynomialBasisCurve(java.lang.String name, JulianDate spotDate, ForwardLabel referenceForwardLabel, ForwardLabel derivedForwardLabel, boolean basisOnReference, java.lang.String[] tenorArray, double[] basisArray)	Create an Instance of the Quartic Polynomial Splined Basis Curve

Methods inherited from class java.lang.Object

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

Constructor Details

ScenarioBasisCurveBuilder

public ScenarioBasisCurveBuilder()

Method Details

CustomSplineBasisCurve

public static final BasisCurve CustomSplineBasisCurve(java.lang.String name,
JulianDate spotDate,
ForwardLabel referenceForwardLabel,
ForwardLabel derivedForwardLabel,
boolean basisOnReference,
java.lang.String[] tenorArray,
double[] basisArray,
SegmentCustomBuilderControl segmentCustomBuilderControl)

Create an Instance of the Custom Splined Basis Curve

Parameters:

name - Curve Name

spotDate - The Spot Date

referenceForwardLabel - Reference Leg FRI

derivedForwardLabel - Derived Leg FRI

basisOnReference - TRUE - The Basis Quote is on the Reference Leg

tenorArray - Array of the Tenors

basisArray - Array of the Basis Spreads

segmentCustomBuilderControl - The Segment Custom Builder Control

Returns:

The Instance of the Basis Curve

CubicPolynomialBasisCurve

public static final BasisCurve CubicPolynomialBasisCurve(java.lang.String name,
JulianDate spotDate,
ForwardLabel referenceForwardLabel,
ForwardLabel derivedForwardLabel,
boolean basisOnReference,
java.lang.String[] tenorArray,
double[] basisArray)

Create an Instance of the Cubic Polynomial Splined Basis Curve

Parameters:

name - Curve Name

spotDate - The Spot Date

referenceForwardLabel - Reference Leg FRI

derivedForwardLabel - Derived Leg FRI

basisOnReference - TRUE - The Basis Quote is on the Reference Leg

tenorArray - Array of the Tenors

basisArray - Array of the Basis Spreads

Returns:

The Instance of the Basis Curve

QuarticPolynomialBasisCurve

public static final BasisCurve QuarticPolynomialBasisCurve(java.lang.String name,
JulianDate spotDate,
ForwardLabel referenceForwardLabel,
ForwardLabel derivedForwardLabel,
boolean basisOnReference,
java.lang.String[] tenorArray,
double[] basisArray)

Create an Instance of the Quartic Polynomial Splined Basis Curve

Parameters:

name - Curve Name

spotDate - The Spot Date

referenceForwardLabel - Reference Leg FRI

derivedForwardLabel - Derived Leg FRI

basisOnReference - TRUE - The Basis Quote is on the Reference Leg

tenorArray - Array of the Tenors

basisArray - Array of the Basis Spreads

Returns:

The Instance of the Basis Curve

KaklisPandelisBasisCurve

public static final BasisCurve KaklisPandelisBasisCurve(java.lang.String name,
JulianDate spotDate,
ForwardLabel referenceForwardLabel,
ForwardLabel derivedForwardLabel,
boolean basisOnReference,
java.lang.String[] tenorArray,
double[] basisArray)

Create an Instance of the Kaklis-Pandelis Splined Basis Curve

Parameters:

name - Curve Name

spotDate - The Spot Date

referenceForwardLabel - Reference Leg FRI

derivedForwardLabel - Derived Leg FRI

basisOnReference - TRUE - The Basis Quote is on the Reference Leg

tenorArray - Array of the Tenors

basisArray - Array of the Basis Spreads

Returns:

The Instance of the Basis Curve

KLKHyperbolicBasisCurve

public static final BasisCurve KLKHyperbolicBasisCurve(java.lang.String name,
JulianDate spotDate,
ForwardLabel referenceForwardLabel,
ForwardLabel derivedForwardLabel,
boolean basisOnReference,
java.lang.String[] tenorArray,
double[] basisArray,
double tension)

Create an Instance of the KLK Hyperbolic Splined Basis Curve

Parameters:

name - Curve Name

spotDate - The Spot Date

referenceForwardLabel - Reference Leg FRI

derivedForwardLabel - Derived Leg FRI

basisOnReference - TRUE - The Basis Quote is on the Reference Leg

tenorArray - Array of the Tenors

basisArray - Array of the Basis Spreads

tension - The Tension Parameter

Returns:

The Instance of the Basis Curve

KLKRationalLinearBasisCurve

public static final BasisCurve KLKRationalLinearBasisCurve(java.lang.String name,
JulianDate spotDate,
ForwardLabel referenceForwardLabel,
ForwardLabel derivedForwardLabel,
boolean basisOnReference,
java.lang.String[] tenorArray,
double[] basisArray,
double tension)

Create an Instance of the KLK Rational Linear Splined Basis Curve

Parameters:

name - Curve Name

spotDate - The Spot Date

referenceForwardLabel - Reference Leg FRI

derivedForwardLabel - Derived Leg FRI

basisOnReference - TRUE - The Basis Quote is on the Reference Leg

tenorArray - Array of the Tenors

basisArray - Array of the Basis Spreads

tension - The Tension Parameter

Returns:

The Instance of the Basis Curve

KLKRationalQuadraticBasisCurve

public static final BasisCurve KLKRationalQuadraticBasisCurve(java.lang.String name,
JulianDate spotDate,
ForwardLabel referenceForwardLabel,
ForwardLabel derivedForwardLabel,
boolean basisOnReference,
java.lang.String[] tenorArray,
double[] basisArray,
double tension)

Create an Instance of the KLK Rational Quadratic Splined Basis Curve

Parameters:

name - Curve Name

spotDate - The Spot Date

referenceForwardLabel - Reference Leg FRI

derivedForwardLabel - Derived Leg FRI

basisOnReference - TRUE - The Basis Quote is on the Reference Leg

tenorArray - Array of the Tenors

basisArray - Array of the Basis Spreads

tension - The Tension Parameter

Returns:

The Instance of the Basis Curve