Package org.drip.state.creator

Class ScenarioDeterministicVolatilityBuilder

java.lang.Object
org.drip.state.creator.ScenarioDeterministicVolatilityBuilder
public class ScenarioDeterministicVolatilityBuilder
extends java.lang.Object
ScenarioDeterministicVolatilityBuilder implements the construction of the basis spline deterministic volatility term structure using the input instruments and their quotes. It exposes the following Functions:
  • Construct the Deterministic Volatility Term Structure Instance using the specified Custom Spline
  • Construct the Deterministic Volatility Term Structure Instance based off of a Cubic Polynomial Spline
  • Construct the Deterministic Volatility Term Structure Instance based off of a Quartic Polynomial Spline
  • Construct the Deterministic Volatility Term Structure Instance based off of a Kaklis-Pandelis Polynomial Tension Spline
  • Construct the Deterministic Volatility Term Structure Instance based off of a KLK Hyperbolic Tension Spline
  • Construct the Deterministic Volatility Term Structure Instance based off of a KLK Rational Linear Tension Spline
  • Construct the Deterministic Volatility Term Structure Instance based off of a KLK Rational Quadratic Tension Spline
  • Construct the Flat Constant Forward Volatility Forward 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
    ScenarioDeterministicVolatilityBuilder()  

  • Method Summary

    Modifier and Type Method Description
    static VolatilityCurve CubicPolynomialTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] impliedVolatilityArray)
    Construct the Deterministic Volatility Term Structure Instance based off of a Cubic Polynomial Spline
    static VolatilityCurve CustomSplineTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, int[] dateArray, double[] impliedVolatilityArray, SegmentCustomBuilderControl segmentCustomBuilderControl)
    Construct the Deterministic Volatility Term Structure Instance using the specified Custom Spline
    static VolatilityCurve FlatForward​(int epochDate, VolatilityLabel volatilityLabel, java.lang.String currency, double flatVolatility)
    Construct the Flat Constant Forward Volatility Forward Curve
    static VolatilityCurve KaklisPandelisTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] impliedVolatilityArray)
    Construct the Deterministic Volatility Term Structure Instance based off of a Kaklis-Pandelis Polynomial Tension Spline
    static VolatilityCurve KLKHyperbolicTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] impliedVolatilityArray, double tension)
    Construct the Deterministic Volatility Term Structure Instance based off of a KLK Hyperbolic Tension Spline
    static VolatilityCurve KLKRationalLinearTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] impliedVolatilityArray, double tension)
    Construct the Deterministic Volatility Term Structure Instance based off of a KLK Rational Linear Tension Spline
    static VolatilityCurve KLKRationalQuadraticTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] impliedVolatilityArray, double tension)
    Construct the Deterministic Volatility Term Structure Instance based off of a KLK Rational Quadratic Tension Spline
    static VolatilityCurve QuarticPolynomialTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] impliedVolatilityArray)
    Construct the Deterministic Volatility Term Structure Instance based off of a Quartic Polynomial Spline

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ScenarioDeterministicVolatilityBuilder

      public ScenarioDeterministicVolatilityBuilder()

  • Method Details

    • CustomSplineTermStructure

      public static final VolatilityCurve CustomSplineTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, int[] dateArray, double[] impliedVolatilityArray, SegmentCustomBuilderControl segmentCustomBuilderControl)
      Construct the Deterministic Volatility Term Structure Instance using the specified Custom Spline
      Parameters:
      name - Name of the the Term Structure Instance
      startDate - The Start Date
      currency - Currency
      dateArray - Array of Dates
      impliedVolatilityArray - Array of Implied Volatility Nodes
      segmentCustomBuilderControl - Segment Custom Builder Parameters
      Returns:
      Instance of the Term Structure

    • CubicPolynomialTermStructure

      public static final VolatilityCurve CubicPolynomialTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] impliedVolatilityArray)
      Construct the Deterministic Volatility Term Structure Instance based off of a Cubic Polynomial Spline
      Parameters:
      name - Name of the the Term Structure Instance
      startDate - The Start Date
      currency - Currency
      tenorArray - Array of Tenors
      impliedVolatilityArray - Array of Implied Volatility Nodes
      Returns:
      The Deterministic Volatility Term Structure Instance based off of a Cubic Polynomial Spline

    • QuarticPolynomialTermStructure

      public static final VolatilityCurve QuarticPolynomialTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] impliedVolatilityArray)
      Construct the Deterministic Volatility Term Structure Instance based off of a Quartic Polynomial Spline
      Parameters:
      name - Name of the the Term Structure Instance
      startDate - The Start Date
      currency - Currency
      tenorArray - Array of Tenors
      impliedVolatilityArray - Array of Implied Volatility Nodes
      Returns:
      The Deterministic Volatility Term Structure Instance based off of a Quartic Polynomial Spline

    • KaklisPandelisTermStructure

      public static final VolatilityCurve KaklisPandelisTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] impliedVolatilityArray)
      Construct the Deterministic Volatility Term Structure Instance based off of a Kaklis-Pandelis Polynomial Tension Spline
      Parameters:
      name - Name of the the Term Structure Instance
      startDate - The Start Date
      currency - Currency
      tenorArray - Array of Tenors
      impliedVolatilityArray - Array of Implied Volatility Nodes
      Returns:
      The Deterministic Volatility Term Structure Instance based off of a Kaklis-Pandelis Polynomial Tension Spline

    • KLKHyperbolicTermStructure

      public static final VolatilityCurve KLKHyperbolicTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] impliedVolatilityArray, double tension)
      Construct the Deterministic Volatility Term Structure Instance based off of a KLK Hyperbolic Tension Spline
      Parameters:
      name - Name of the the Term Structure Instance
      startDate - The Start Date
      currency - Currency
      tenorArray - Array of Tenors
      impliedVolatilityArray - Array of Implied Volatility Nodes
      tension - Tension
      Returns:
      The Deterministic Volatility Term Structure Instance based off of a KLK Hyperbolic Tension Spline

    • KLKRationalLinearTermStructure

      public static final VolatilityCurve KLKRationalLinearTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] impliedVolatilityArray, double tension)
      Construct the Deterministic Volatility Term Structure Instance based off of a KLK Rational Linear Tension Spline
      Parameters:
      name - Name of the the Term Structure Instance
      startDate - The Start Date
      currency - Currency
      tenorArray - Array of Tenors
      impliedVolatilityArray - Array of Implied Volatility Nodes
      tension - Tension
      Returns:
      The Deterministic Volatility Term Structure Instance based off of a KLK Rational Linear Tension Spline

    • KLKRationalQuadraticTermStructure

      public static final VolatilityCurve KLKRationalQuadraticTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] impliedVolatilityArray, double tension)
      Construct the Deterministic Volatility Term Structure Instance based off of a KLK Rational Quadratic Tension Spline
      Parameters:
      name - Name of the the Term Structure Instance
      startDate - The Start Date
      currency - Currency
      tenorArray - Array of Tenors
      impliedVolatilityArray - Array of Implied Volatility Nodes
      tension - Tension
      Returns:
      The Deterministic Volatility Term Structure Instance based off of a KLK Rational Quadratic Tension Spline

    • FlatForward

      public static final VolatilityCurve FlatForward​(int epochDate, VolatilityLabel volatilityLabel, java.lang.String currency, double flatVolatility)
      Construct the Flat Constant Forward Volatility Forward Curve
      Parameters:
      epochDate - Epoch Date
      volatilityLabel - Forward Volatility Label
      currency - Currency
      flatVolatility - Flat Volatility
      Returns:
      The Volatility Curve Instance