Package org.drip.state.creator

Class ScenarioGovvieCurveBuilder

java.lang.Object
org.drip.state.creator.ScenarioGovvieCurveBuilder
public class ScenarioGovvieCurveBuilder
extends java.lang.Object
ScenarioGovvieCurveBuilder implements the Construction of the Scenario Govvie Curve using the Input Govvie Curve Instruments. It implements the following Functions:
  • Build the Shape Preserving Govvie Curve using the Custom Parameters
  • Construct an Instance of the Shape Preserver of the desired Basis Spline Type, using the Specified Basis Set Builder Parameters
  • Construct an Instance of the Shape Preserver of the Linear Polynomial 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 Govvie Yield Curve
  • Create an Instance of the Linear Polynomial Splined Govvie Yield Curve
  • Create an Instance of the Cubic Polynomial Splined Govvie Yield Curve
  • Create an Instance of the Quartic Polynomial Splined Govvie Yield Curve
  • Create an Instance of the Kaklis-Pandelis Splined Govvie Yield Curve
  • Create an Instance of the KLK Hyperbolic Splined Govvie Yield Curve
  • Create an Instance of the KLK Rational Linear Splined Govvie Yield Curve
  • Create an Instance of the KLK Rational Quadratic Splined Govvie Yield Curve
  • Construct a Govvie Curve from an Array of Dates and Yields
  • Construct a Govvie Curve from the Specified Date and Yield

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
    ScenarioGovvieCurveBuilder()  

  • Method Summary

    Modifier and Type Method Description
    static GovvieCurve ConstantYield​(int epochDate, java.lang.String treasuryCode, java.lang.String currency, double yield)
    Construct a Govvie Curve from the Specified Date and Yield
    static GovvieCurve CubicPolynomialCurve​(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray)
    Create an Instance of the Cubic Polynomial Splined Govvie Yield Curve
    static GovvieCurve CubicPolyShapePreserver​(java.lang.String name, java.lang.String treasuryCode, java.lang.String currency, int spotDate, CalibratableComponent[] calibratableComponentArray, double[] quoteArray, java.lang.String manifestMeasure)
    Construct an Instance of the Shape Preserver of the Cubic Polynomial Type, using the Specified Basis Set Builder Parameters.
    static GovvieCurve CustomSplineCurve​(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray, SegmentCustomBuilderControl segmentCustomBuilderControl)
    Create an Instance of the Custom Splined Govvie Yield Curve
    static GovvieCurve DateYield​(int epochDate, java.lang.String treasuryCode, java.lang.String currency, int[] dateArray, double[] yieldArray)
    Construct a Govvie Curve from an Array of Dates and Yields
    static GovvieCurve KaklisPandelisCurve​(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray)
    Create an Instance of the Kaklis-Pandelis Splined Govvie Yield Curve
    static GovvieCurve KLKHyperbolicCurve​(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray, double tension)
    Create an Instance of the KLK Hyperbolic Splined Govvie Yield Curve
    static GovvieCurve KLKRationalLinearCurve​(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray, double tension)
    Create an Instance of the KLK Rational Linear Splined Govvie Yield Curve
    static GovvieCurve KLKRationalQuadraticCurve​(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray, double tension)
    Create an Instance of the KLK Rational Quadratic Splined Govvie Yield Curve
    static GovvieCurve LinearPolynomialCurve​(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray)
    Create an Instance of the Linear Polynomial Splined Govvie Yield Curve
    static GovvieCurve LinearPolyShapePreserver​(java.lang.String name, java.lang.String treasuryCode, java.lang.String currency, int spotDate, CalibratableComponent[] calibratableComponentArray, double[] quoteArray, java.lang.String manifestMeasure)
    Construct an Instance of the Shape Preserver of the Linear Polynomial Type, using the Specified Basis Set Builder Parameters.
    static GovvieCurve QuarticPolynomialCurve​(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray)
    Create an Instance of the Quartic Polynomial Splined Govvie Yield Curve
    static GovvieCurve ShapePreservingGovvieCurve​(java.lang.String name, java.lang.String treasuryCode, java.lang.String currency, ValuationParams valuationParams, CreditPricerParams creditPricerParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, ValuationCustomizationParams valuationCustomizationParams, java.lang.String basisType, FunctionSetBuilderParams functionSetBuilderParams, SegmentInelasticDesignControl segmentInelasticDesignControl, CalibratableComponent[] calibratableComponentArray, java.lang.String manifestMeasure, double[] quoteArray)
    Construct an Instance of the Shape Preserver of the desired Basis Spline Type, using the specified Basis Spline Set Builder Parameters.
    static GovvieCurve ShapePreservingGovvieCurve​(LinearLatentStateCalibrator linearLatentStateCalibrator, LatentStateStretchSpec[] latentStateStretchSpecArray, java.lang.String treasuryCode, java.lang.String currency, ValuationParams valuationParams, CreditPricerParams creditPricerParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, ValuationCustomizationParams valuationCustomizationParams, double epochResponse)
    Build the Shape Preserving Govvie Curve using the Custom Parameters

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ScenarioGovvieCurveBuilder

      public ScenarioGovvieCurveBuilder()

  • Method Details

    • ShapePreservingGovvieCurve

      public static final GovvieCurve ShapePreservingGovvieCurve​(LinearLatentStateCalibrator linearLatentStateCalibrator, LatentStateStretchSpec[] latentStateStretchSpecArray, java.lang.String treasuryCode, java.lang.String currency, ValuationParams valuationParams, CreditPricerParams creditPricerParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, ValuationCustomizationParams valuationCustomizationParams, double epochResponse)
      Build the Shape Preserving Govvie Curve using the Custom Parameters
      Parameters:
      linearLatentStateCalibrator - The Linear Latent State Calibrator Instance
      latentStateStretchSpecArray - Array of the Latent State Stretches
      treasuryCode - Treasury Code
      currency - Currency
      valuationParams - Valuation Parameters
      creditPricerParams - Pricer Parameters
      curveSurfaceQuoteContainer - Market Parameters
      valuationCustomizationParams - Valuation Customization Parameters
      epochResponse - The Starting Response Value
      Returns:
      Instance of the Shape Preserving Discount Curve

    • ShapePreservingGovvieCurve

      public static final GovvieCurve ShapePreservingGovvieCurve​(java.lang.String name, java.lang.String treasuryCode, java.lang.String currency, ValuationParams valuationParams, CreditPricerParams creditPricerParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, ValuationCustomizationParams valuationCustomizationParams, java.lang.String basisType, FunctionSetBuilderParams functionSetBuilderParams, SegmentInelasticDesignControl segmentInelasticDesignControl, CalibratableComponent[] calibratableComponentArray, java.lang.String manifestMeasure, double[] quoteArray)
      Construct an Instance of the Shape Preserver of the desired Basis Spline Type, using the specified Basis Spline Set Builder Parameters.
      Parameters:
      name - Curve Name
      treasuryCode - Treasury Code
      currency - Currency
      valuationParams - Valuation Parameters
      creditPricerParams - Pricer Parameters
      curveSurfaceQuoteContainer - Market Parameters
      valuationCustomizationParams - Valuation Customization Parameters
      basisType - The Basis Type
      functionSetBuilderParams - The Function Set Basis Parameters
      segmentInelasticDesignControl - Segment Design In-elastic Control
      calibratableComponentArray - Array of Calibration Components
      manifestMeasure - The Calibration Manifest Measure
      quoteArray - Array of Calibration Quotes
      Returns:
      Instance of the Shape Preserver of the Desired Basis Type

    • LinearPolyShapePreserver

      public static final GovvieCurve LinearPolyShapePreserver​(java.lang.String name, java.lang.String treasuryCode, java.lang.String currency, int spotDate, CalibratableComponent[] calibratableComponentArray, double[] quoteArray, java.lang.String manifestMeasure)
      Construct an Instance of the Shape Preserver of the Linear Polynomial Type, using the Specified Basis Set Builder Parameters.
      Parameters:
      name - Curve Name
      treasuryCode - Treasury Code
      currency - Currency
      spotDate - Spot Date
      calibratableComponentArray - Array of Calibration Components
      quoteArray - Array of Calibration Quotes
      manifestMeasure - The Calibration Manifest Measure
      Returns:
      Instance of the Shape Preserver of the Cubic Polynomial Type

    • CubicPolyShapePreserver

      public static final GovvieCurve CubicPolyShapePreserver​(java.lang.String name, java.lang.String treasuryCode, java.lang.String currency, int spotDate, CalibratableComponent[] calibratableComponentArray, double[] quoteArray, java.lang.String manifestMeasure)
      Construct an Instance of the Shape Preserver of the Cubic Polynomial Type, using the Specified Basis Set Builder Parameters.
      Parameters:
      name - Curve Name
      treasuryCode - Treasury Code
      currency - Currency
      spotDate - Spot Date
      calibratableComponentArray - Array of Calibration Components
      quoteArray - Array of Calibration Quotes
      manifestMeasure - The Calibration Manifest Measure
      Returns:
      Instance of the Shape Preserver of the Cubic Polynomial Type

    • CustomSplineCurve

      public static final GovvieCurve CustomSplineCurve​(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray, SegmentCustomBuilderControl segmentCustomBuilderControl)
      Create an Instance of the Custom Splined Govvie Yield Curve
      Parameters:
      name - Curve Name
      startDate - The Tenor Start Date
      treasuryCode - Treasury Code
      currency - Currency
      maturityDateArray - Array of the Maturity Dates
      yieldArray - Array of the Yields
      segmentCustomBuilderControl - The Segment Custom Builder Control
      Returns:
      The Instance of the Govvie Yield Curve

    • LinearPolynomialCurve

      public static final GovvieCurve LinearPolynomialCurve​(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray)
      Create an Instance of the Linear Polynomial Splined Govvie Yield Curve
      Parameters:
      name - Curve Name
      startDate - The Tenor Start Date
      treasuryCode - Treasury Code
      currency - Currency
      maturityDateArray - Array of the Maturity Dates
      yieldArray - Array of the Yields
      Returns:
      The Instance of the Govvie Yield Curve

    • CubicPolynomialCurve

      public static final GovvieCurve CubicPolynomialCurve​(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray)
      Create an Instance of the Cubic Polynomial Splined Govvie Yield Curve
      Parameters:
      name - Curve Name
      startDate - The Tenor Start Date
      treasuryCode - Treasury Code
      currency - Currency
      maturityDateArray - Array of the Maturity Dates
      yieldArray - Array of the Yields
      Returns:
      The Instance of the Govvie Yield Curve

    • QuarticPolynomialCurve

      public static final GovvieCurve QuarticPolynomialCurve​(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray)
      Create an Instance of the Quartic Polynomial Splined Govvie Yield Curve
      Parameters:
      name - Curve Name
      startDate - The Tenor Start Date
      treasuryCode - Treasury Code
      currency - Currency
      maturityDateArray - Array of the Maturity Dates
      yieldArray - Array of the Yields
      Returns:
      The Instance of the Govvie Yield Curve

    • KaklisPandelisCurve

      public static final GovvieCurve KaklisPandelisCurve​(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray)
      Create an Instance of the Kaklis-Pandelis Splined Govvie Yield Curve
      Parameters:
      name - Curve Name
      startDate - The Tenor Start Date
      treasuryCode - Treasury Code
      currency - Currency
      maturityDateArray - Array of the Maturity Dates
      yieldArray - Array of the Yields
      Returns:
      The Instance of the Govvie Yield Curve

    • KLKHyperbolicCurve

      public static final GovvieCurve KLKHyperbolicCurve​(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray, double tension)
      Create an Instance of the KLK Hyperbolic Splined Govvie Yield Curve
      Parameters:
      name - Curve Name
      startDate - The Tenor Start Date
      treasuryCode - Treasury Code
      currency - Currency
      maturityDateArray - Array of the Maturity Dates
      yieldArray - Array of the Yields
      tension - The Tension Parameter
      Returns:
      The Instance of the Govvie Yield Curve

    • KLKRationalLinearCurve

      public static final GovvieCurve KLKRationalLinearCurve​(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray, double tension)
      Create an Instance of the KLK Rational Linear Splined Govvie Yield Curve
      Parameters:
      name - Curve Name
      startDate - The Tenor Start Date
      treasuryCode - Treasury Code
      currency - Currency
      maturityDateArray - Array of the Maturity Dates
      yieldArray - Array of the Yields
      tension - The Tension Parameter
      Returns:
      The Instance of the Govvie Yield Curve

    • KLKRationalQuadraticCurve

      public static final GovvieCurve KLKRationalQuadraticCurve​(java.lang.String name, JulianDate startDate, java.lang.String treasuryCode, java.lang.String currency, int[] maturityDateArray, double[] yieldArray, double tension)
      Create an Instance of the KLK Rational Quadratic Splined Govvie Yield Curve
      Parameters:
      name - Curve Name
      startDate - The Tenor Start Date
      treasuryCode - Treasury Code
      currency - Currency
      maturityDateArray - Array of the Maturity Dates
      yieldArray - Array of the Yields
      tension - The Tension Parameter
      Returns:
      The Instance of the Govvie Yield Curve

    • DateYield

      public static final GovvieCurve DateYield​(int epochDate, java.lang.String treasuryCode, java.lang.String currency, int[] dateArray, double[] yieldArray)
      Construct a Govvie Curve from an Array of Dates and Yields
      Parameters:
      epochDate - Epoch Date
      treasuryCode - Treasury Code
      currency - Currency
      dateArray - Array of Dates
      yieldArray - Array of Yields
      Returns:
      The Govvie Curve Instance

    • ConstantYield

      public static final GovvieCurve ConstantYield​(int epochDate, java.lang.String treasuryCode, java.lang.String currency, double yield)
      Construct a Govvie Curve from the Specified Date and Yield
      Parameters:
      epochDate - Epoch Date
      treasuryCode - Treasury Code
      currency - Currency
      yield - Yield
      Returns:
      The Govvie Curve Instance