Package org.drip.state.creator

Class ScenarioForwardCurveBuilder

java.lang.Object
org.drip.state.creator.ScenarioForwardCurveBuilder
public class ScenarioForwardCurveBuilder
extends java.lang.Object
ScenarioForwardCurveBuilder implements the the construction of the scenario Forward curve using the input discount curve instruments, and a wide variety of custom builds. It implements the following functionality:
  • Build the Shape Preserving Forward 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 Flat Forward Rate 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 Details

    • ScenarioForwardCurveBuilder

      public ScenarioForwardCurveBuilder()

  • Method Details

    • ShapePreservingForwardCurve

      public static final ForwardCurve ShapePreservingForwardCurve​(LinearLatentStateCalibrator linearLatentStateCalibrator, LatentStateStretchSpec[] latentStateStretchSpecArray, ForwardLabel forwardLabel, ValuationParams valuationParams, CreditPricerParams creditPricerParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, ValuationCustomizationParams valuationCustomizationParams, double epochResponse)
      Build the Shape Preserving Forward Curve using the Custom Parameters
      Parameters:
      linearLatentStateCalibrator - The Linear Latent State Calibrator Instance
      latentStateStretchSpecArray - Array of the Latent State Stretches
      forwardLabel - The Floating Rate Index Forward Label
      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

    • ShapePreservingForwardCurve

      public static final ForwardCurve ShapePreservingForwardCurve​(java.lang.String name, ForwardLabel friForwardLabel, ValuationParams valuationParams, CreditPricerParams creditPricerParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, ValuationCustomizationParams valuationCustomizationParams, java.lang.String basisType, FunctionSetBuilderParams functionSetBuilderParams, CalibratableComponent[] calibrationComponentArray, 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
      friForwardLabel - The Floating Rate Index Forward Label
      valuationParams - Valuation Parameters
      creditPricerParams - Pricer Parameters
      curveSurfaceQuoteContainer - Market Parameters
      valuationCustomizationParams - Quoting Parameters
      basisType - The Basis Type
      functionSetBuilderParams - The Function Set Basis Parameters
      calibrationComponentArray - Array of Calibration Components
      manifestMeasure - The Calibration Manifest Measure
      quoteArray - Array of Calibration Quotes
      epochResponse - The Starting Response Value
      Returns:
      Instance of the Shape Preserver of the desired basis type

    • FlatForwardForwardCurve

      public static final ForwardCurve FlatForwardForwardCurve​(JulianDate startDate, ForwardLabel forwardLabel, double flatForwardRate)
      Construct an Instance of the Flat Forward Rate Forward Curve
      Parameters:
      startDate - The Forward Curve Start Date
      forwardLabel - The Floating Rate Index
      flatForwardRate - The Flat Forward Rate
      Returns:
      Instance of the Flat Forward Rate Forward Curve