Package org.drip.state.creator

Class ScenarioFXCurveBuilder

java.lang.Object

org.drip.state.creator.ScenarioFXCurveBuilder

public class ScenarioFXCurveBuilder
extends java.lang.Object

ScenarioFXCurveBuilder implements the construction of the scenario FX Curve using the input FX Curve instruments. It implements the following Functions:

• Build the Shape Preserving FX Curve using the Custom Parameters
• Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set builder parameters
• Construct an Instance of the Shape Preserver of the Cubic Polynomial Type, using the Specified Basis Set Builder Parameters
• Create an Instance of the Custom Splined FX Forward Curve
• Create an Instance of the Cubic Polynomial Splined FX Forward Curve
• Create an Instance of the Quartic Polynomial Splined FX Forward Curve
• Create an Instance of the Kaklis-Pandelis Splined FX Forward Curve
• Create an Instance of the KLK Hyperbolic Splined FX Forward Curve
• Create an Instance of the KLK Rational Linear Splined FX Forward Curve
• Create an Instance of the KLK Rational Quadratic Splined FX 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
ScenarioFXCurveBuilder()

Method Summary

Modifier and Type	Method	Description
static FXCurve	CubicPolynomialCurve(java.lang.String name, JulianDate startDate, CurrencyPair currencyPair, java.lang.String[] tenorArray, double[] fxForwardArray, double fxSpot)	Create an Instance of the Cubic Polynomial Splined FX Forward Curve
static FXCurve	CubicPolyShapePreserver(java.lang.String name, CurrencyPair currencyPair, int spotDate, CalibratableComponent[] calibratableComponentArray, double[] quoteArray, java.lang.String manifestMeasure, double fxSpot)	Construct an Instance of the Shape Preserver of the Cubic Polynomial Type, using the Specified Basis Set Builder Parameters.
static FXCurve	CustomSplineCurve(java.lang.String name, JulianDate startDate, CurrencyPair currencyPair, java.lang.String[] tenorArray, double[] fxForwardArray, SegmentCustomBuilderControl segmentCustomBuilderControl, double fxSpot)	Create an Instance of the Custom Splined FX Forward Curve
static FXCurve	KaklisPandelisCurve(java.lang.String name, JulianDate startDate, CurrencyPair currencyPair, java.lang.String[] tenorArray, double[] fxForwardArray, double fxSpot)	Create an Instance of the Kaklis-Pandelis Splined FX Forward Curve
static FXCurve	KLKHyperbolicCurve(java.lang.String name, JulianDate startDate, CurrencyPair currencyPair, java.lang.String[] tenorArray, double[] fxForwardArray, double fxSpot, double tension)	Create an Instance of the KLK Hyperbolic Splined FX Forward Curve
static FXCurve	KLKRationalLinearCurve(java.lang.String name, JulianDate startDate, CurrencyPair currencyPair, java.lang.String[] tenorArray, double[] fxForwardArray, double fxSpot, double tension)	Create an Instance of the KLK Rational Linear Splined FX Forward Curve
static FXCurve	KLKRationalQuadraticCurve(java.lang.String name, JulianDate startDate, CurrencyPair currencyPair, java.lang.String[] tenorArray, double[] fxForwardArray, double fxSpot, double tension)	Create an Instance of the KLK Rational Quadratic Splined FX Forward Curve
static FXCurve	QuarticPolynomialCurve(java.lang.String name, JulianDate startDate, CurrencyPair currencyPair, java.lang.String[] tenorArray, double[] fxForwardArray, double fxSpot)	Create an Instance of the Quartic Polynomial Splined FX Forward Curve
static FXCurve	ShapePreservingFXCurve(java.lang.String name, CurrencyPair currencyPair, ValuationParams valuationParams, CreditPricerParams creditPricerParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, ValuationCustomizationParams valuationCustomizationParams, java.lang.String basisType, FunctionSetBuilderParams functionSetBuilderParams, CalibratableComponent[] calibratableComponentArray, java.lang.String manifestMeasure, double[] quoteArray, double epochResponse)	Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set builder parameters.
static FXCurve	ShapePreservingFXCurve(java.lang.String name, CurrencyPair currencyPair, ValuationParams valuationParams, CreditPricerParams creditPricerParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, ValuationCustomizationParams valuationCustomizationParams, CalibratableComponent[] calibratableComponentArray, java.lang.String manifestMeasure, double[] quoteArray, double epochResponse, SegmentCustomBuilderControl segmentCustomBuilderControl)	Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set builder parameters.
static FXCurve	ShapePreservingFXCurve(LinearLatentStateCalibrator linearLatentStateCalibrator, LatentStateStretchSpec[] latentStateStretchSpecArray, CurrencyPair currencyPair, ValuationParams valuationParams, CreditPricerParams creditPricerParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, ValuationCustomizationParams valuationCustomizationParams, double epochResponse)	Build the Shape Preserving FX Curve using the Custom Parameters

Methods inherited from class java.lang.Object

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

Constructor Details

ScenarioFXCurveBuilder

public ScenarioFXCurveBuilder()

Method Details

ShapePreservingFXCurve

public static final FXCurve ShapePreservingFXCurve(LinearLatentStateCalibrator linearLatentStateCalibrator,
LatentStateStretchSpec[] latentStateStretchSpecArray,
CurrencyPair currencyPair,
ValuationParams valuationParams,
CreditPricerParams creditPricerParams,
CurveSurfaceQuoteContainer curveSurfaceQuoteContainer,
ValuationCustomizationParams valuationCustomizationParams,
double epochResponse)

Build the Shape Preserving FX Curve using the Custom Parameters

Parameters:

linearLatentStateCalibrator - The Linear Latent State Calibrator Instance

latentStateStretchSpecArray - Array of the Latent State Stretches

currencyPair - The FX Currency Pair

valuationParams - Valuation Parameters

creditPricerParams - Pricer Parameters

curveSurfaceQuoteContainer - Market Parameters

valuationCustomizationParams - Quoting Parameters

epochResponse - The Starting Response Value

Returns:

Instance of the Shape Preserving Discount Curve

ShapePreservingFXCurve

public static final FXCurve ShapePreservingFXCurve(java.lang.String name,
CurrencyPair currencyPair,
ValuationParams valuationParams,
CreditPricerParams creditPricerParams,
CurveSurfaceQuoteContainer curveSurfaceQuoteContainer,
ValuationCustomizationParams valuationCustomizationParams,
CalibratableComponent[] calibratableComponentArray,
java.lang.String manifestMeasure,
double[] quoteArray,
double epochResponse,
SegmentCustomBuilderControl segmentCustomBuilderControl)

Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set builder parameters.

Parameters:

name - Curve Name

currencyPair - The FX Currency Pair

valuationParams - Valuation Parameters

creditPricerParams - Pricer Parameters

curveSurfaceQuoteContainer - Market Parameters

valuationCustomizationParams - Quoting Parameters

calibratableComponentArray - Array of Calibration Components

manifestMeasure - The Calibration Manifest Measure

quoteArray - Array of Calibration Quotes

epochResponse - The Stretch Start DF

segmentCustomBuilderControl - Segment Custom Builder Control Parameters

Returns:

Instance of the Shape Preserver of the desired basis type

ShapePreservingFXCurve

public static final FXCurve ShapePreservingFXCurve(java.lang.String name,
CurrencyPair currencyPair,
ValuationParams valuationParams,
CreditPricerParams creditPricerParams,
CurveSurfaceQuoteContainer curveSurfaceQuoteContainer,
ValuationCustomizationParams valuationCustomizationParams,
java.lang.String basisType,
FunctionSetBuilderParams functionSetBuilderParams,
CalibratableComponent[] calibratableComponentArray,
java.lang.String manifestMeasure,
double[] quoteArray,
double epochResponse)

Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set builder parameters.

Parameters:

name - Curve Name

currencyPair - The FX Currency Pair

valuationParams - Valuation Parameters

creditPricerParams - Pricer Parameters

curveSurfaceQuoteContainer - Market Parameters

valuationCustomizationParams - Quoting Parameters

basisType - The Basis Type

functionSetBuilderParams - The Function Set Basis Parameters

calibratableComponentArray - Array of Calibration Components

manifestMeasure - The Calibration Manifest Measure

quoteArray - Array of Calibration Quotes

epochResponse - The Stretch Start DF

Returns:

Instance of the Shape Preserver of the desired basis type

CubicPolyShapePreserver

public static final FXCurve CubicPolyShapePreserver(java.lang.String name,
CurrencyPair currencyPair,
int spotDate,
CalibratableComponent[] calibratableComponentArray,
double[] quoteArray,
java.lang.String manifestMeasure,
double fxSpot)

Construct an Instance of the Shape Preserver of the Cubic Polynomial Type, using the Specified Basis Set Builder Parameters.

Parameters:

name - Curve Name

currencyPair - The FX Currency Pair

spotDate - Spot Date

calibratableComponentArray - Array of Calibration Components

quoteArray - Array of Calibration Quotes

manifestMeasure - The Calibration Manifest Measure

fxSpot - The FX Spot

Returns:

Instance of the Shape Preserver of the Cubic Polynomial Type

CustomSplineCurve

public static final FXCurve CustomSplineCurve(java.lang.String name,
JulianDate startDate,
CurrencyPair currencyPair,
java.lang.String[] tenorArray,
double[] fxForwardArray,
SegmentCustomBuilderControl segmentCustomBuilderControl,
double fxSpot)

Create an Instance of the Custom Splined FX Forward Curve

Parameters:

name - Curve Name

startDate - The Tenor Start Date

currencyPair - The FX Currency Pair

tenorArray - Array of the Tenors

fxForwardArray - Array of the FX Forwards

segmentCustomBuilderControl - The Segment Custom Builder Control

fxSpot - The FX Spot

Returns:

The Instance of the FX Forward Curve

CubicPolynomialCurve

public static final FXCurve CubicPolynomialCurve(java.lang.String name,
JulianDate startDate,
CurrencyPair currencyPair,
java.lang.String[] tenorArray,
double[] fxForwardArray,
double fxSpot)

Create an Instance of the Cubic Polynomial Splined FX Forward Curve

Parameters:

name - Curve Name

startDate - The Tenor Start Date

currencyPair - The FX Currency Pair

tenorArray - Array of the Tenors

fxForwardArray - Array of the FX Forwards

fxSpot - The FX Spot

Returns:

The Instance of the FX Forward Curve

QuarticPolynomialCurve

public static final FXCurve QuarticPolynomialCurve(java.lang.String name,
JulianDate startDate,
CurrencyPair currencyPair,
java.lang.String[] tenorArray,
double[] fxForwardArray,
double fxSpot)

Create an Instance of the Quartic Polynomial Splined FX Forward Curve

Parameters:

name - Curve Name

startDate - The Tenor Start Date

currencyPair - The FX Currency Pair

tenorArray - Array of the Tenors

fxForwardArray - Array of the FX Forwards

fxSpot - The FX Spot

Returns:

The Instance of the FX Forward Curve

KaklisPandelisCurve

public static FXCurve KaklisPandelisCurve(java.lang.String name,
JulianDate startDate,
CurrencyPair currencyPair,
java.lang.String[] tenorArray,
double[] fxForwardArray,
double fxSpot)

Create an Instance of the Kaklis-Pandelis Splined FX Forward Curve

Parameters:

name - Curve Name

startDate - The Tenor Start Date

currencyPair - The FX Currency Pair

tenorArray - Array of the Tenors

fxForwardArray - Array of the FX Forwards

fxSpot - The FX Spot

Returns:

The Instance of the FX Forward Curve

KLKHyperbolicCurve

public static final FXCurve KLKHyperbolicCurve(java.lang.String name,
JulianDate startDate,
CurrencyPair currencyPair,
java.lang.String[] tenorArray,
double[] fxForwardArray,
double fxSpot,
double tension)

Create an Instance of the KLK Hyperbolic Splined FX Forward Curve

Parameters:

name - Curve Name

startDate - The Tenor Start Date

currencyPair - The FX Currency Pair

tenorArray - Array of the Tenors

fxForwardArray - Array of the FX Forwards

fxSpot - The FX Spot

tension - The Tension Parameter

Returns:

The Instance of the FX Forward Curve

KLKRationalLinearCurve

public static final FXCurve KLKRationalLinearCurve(java.lang.String name,
JulianDate startDate,
CurrencyPair currencyPair,
java.lang.String[] tenorArray,
double[] fxForwardArray,
double fxSpot,
double tension)

Create an Instance of the KLK Rational Linear Splined FX Forward Curve

Parameters:

name - Curve Name

startDate - The Tenor Start Date

currencyPair - The FX Currency Pair

tenorArray - Array of the Tenors

fxForwardArray - Array of the FX Forwards

fxSpot - The FX Spot

tension - The Tension Parameter

Returns:

The Instance of the FX Forward Curve

KLKRationalQuadraticCurve

public static final FXCurve KLKRationalQuadraticCurve(java.lang.String name,
JulianDate startDate,
CurrencyPair currencyPair,
java.lang.String[] tenorArray,
double[] fxForwardArray,
double fxSpot,
double tension)

Create an Instance of the KLK Rational Quadratic Splined FX Forward Curve

Parameters:

name - Curve Name

startDate - The Tenor Start Date

currencyPair - The FX Currency Pair

tenorArray - Array of the Tenors

fxForwardArray - Array of the FX Forwards

fxSpot - The FX Spot

tension - The Tension Parameter

Returns:

The Instance of the FX Forward Curve