Package org.drip.state.creator

Class ScenarioRepoCurveBuilder

java.lang.Object

org.drip.state.creator.ScenarioRepoCurveBuilder

public class ScenarioRepoCurveBuilder
extends java.lang.Object

ScenarioRepoCurveBuilder implements the Construction of the Scenario Repo Curve using the Input Instruments and their Quotes. It implements the following Functions:

• Create an Instance of the Custom Splined Repo Curve
• Create an Instance of the Cubic Polynomial Splined Repo Curve
• Create an Instance of the Quartic Polynomial Splined Repo Curve
• Create an Instance of the Kaklis-Pandelis Splined Repo Curve
• Create an Instance of the KLK Hyperbolic Splined Repo Curve
• Create an Instance of the KLK Rational Linear Splined Repo Curve
• Create an Instance of the KLK Rational Quadratic Splined Repo Curve
• Construct a Repo Curve using the Flat Repo Rate

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
ScenarioRepoCurveBuilder()

Method Summary

Modifier and Type	Method	Description
static RepoCurve	CubicPolynomialRepoCurve(java.lang.String name, JulianDate spotDate, Component component, int[] dateArray, double[] repoRateArray)	Create an Instance of the Cubic Polynomial Splined Repo Curve
static RepoCurve	CustomSplineRepoCurve(java.lang.String name, JulianDate spotDate, Component component, int[] dateArray, double[] repoRateArray, SegmentCustomBuilderControl segmentCustomBuilderControl)	Create an Instance of the Custom Splined Repo Curve
static RepoCurve	FlatRateRepoCurve(JulianDate spotDate, Component component, double repoRate)	Construct a Repo Curve using the Flat Repo Rate
static RepoCurve	KaklisPandelisRepoCurve(java.lang.String name, JulianDate spotDate, Component component, int[] dateArray, double[] repoRateArray)	Create an Instance of the Kaklis-Pandelis Splined Repo Curve
static RepoCurve	KLKHyperbolicRepoCurve(java.lang.String name, JulianDate spotDate, Component component, int[] dateArray, double[] repoRateArray, double tension)	Create an Instance of the KLK Hyperbolic Splined Repo Curve
static RepoCurve	KLKRationalLinearRepoCurve(java.lang.String name, JulianDate spotDate, Component component, int[] dateArray, double[] repoRateArray, double tension)	Create an Instance of the KLK Rational Linear Splined Repo Curve
static RepoCurve	KLKRationalQuadraticRepoCurve(java.lang.String name, JulianDate spotDate, Component component, int[] dateArray, double[] repoRateArray, double tension)	Create an Instance of the KLK Rational Quadratic Splined Repo Curve
static RepoCurve	QuarticPolynomialRepoCurve(java.lang.String name, JulianDate spotDate, Component component, int[] dateArray, double[] repoRateArray)	Create an Instance of the Quartic Polynomial Splined Repo Curve

Methods inherited from class java.lang.Object

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

Constructor Details

ScenarioRepoCurveBuilder

public ScenarioRepoCurveBuilder()

Method Details

CustomSplineRepoCurve

public static final RepoCurve CustomSplineRepoCurve(java.lang.String name,
JulianDate spotDate,
Component component,
int[] dateArray,
double[] repoRateArray,
SegmentCustomBuilderControl segmentCustomBuilderControl)

Create an Instance of the Custom Splined Repo Curve

Parameters:

name - Curve Name

spotDate - The Spot Date

component - The Underlying Repo Component

dateArray - Array of the Dates

repoRateArray - Array of the Repo Rates

segmentCustomBuilderControl - The Segment Custom Builder Control

Returns:

The Instance of the Custom Splined Repo Curve

CubicPolynomialRepoCurve

public static final RepoCurve CubicPolynomialRepoCurve(java.lang.String name,
JulianDate spotDate,
Component component,
int[] dateArray,
double[] repoRateArray)

Create an Instance of the Cubic Polynomial Splined Repo Curve

Parameters:

name - Curve Name

spotDate - The Spot Date

component - The Underlying Repo Component

dateArray - Array of the Dates

repoRateArray - Array of the Repo Rates

Returns:

The Instance of the Basis Curve

QuarticPolynomialRepoCurve

public static final RepoCurve QuarticPolynomialRepoCurve(java.lang.String name,
JulianDate spotDate,
Component component,
int[] dateArray,
double[] repoRateArray)

Create an Instance of the Quartic Polynomial Splined Repo Curve

Parameters:

name - Curve Name

spotDate - The Spot Date

component - The Underlying Repo Component

dateArray - Array of the Dates

repoRateArray - Array of the Repo Rates

Returns:

The Instance of the Splined Repo Curve

KaklisPandelisRepoCurve

public static final RepoCurve KaklisPandelisRepoCurve(java.lang.String name,
JulianDate spotDate,
Component component,
int[] dateArray,
double[] repoRateArray)

Create an Instance of the Kaklis-Pandelis Splined Repo Curve

Parameters:

name - Curve Name

spotDate - The Spot Date

component - The Underlying Repo Component

dateArray - Array of the Dates

repoRateArray - Array of the Repo Rates

Returns:

The Instance of the Splined Repo Curve

KLKHyperbolicRepoCurve

public static final RepoCurve KLKHyperbolicRepoCurve(java.lang.String name,
JulianDate spotDate,
Component component,
int[] dateArray,
double[] repoRateArray,
double tension)

Create an Instance of the KLK Hyperbolic Splined Repo Curve

Parameters:

name - Curve Name

spotDate - The Spot Date

component - The Underlying Repo Component

dateArray - Array of the Dates

repoRateArray - Array of the Repo Rates

tension - The Tension Parameter

Returns:

The Instance of the Splined Repo Curve

KLKRationalLinearRepoCurve

public static final RepoCurve KLKRationalLinearRepoCurve(java.lang.String name,
JulianDate spotDate,
Component component,
int[] dateArray,
double[] repoRateArray,
double tension)

Create an Instance of the KLK Rational Linear Splined Repo Curve

Parameters:

name - Curve Name

spotDate - The Spot Date

component - The Underlying Repo Component

dateArray - Array of the Dates

repoRateArray - Array of the Repo Rates

tension - The Tension Parameter

Returns:

The Instance of the Repo Curve

KLKRationalQuadraticRepoCurve

public static final RepoCurve KLKRationalQuadraticRepoCurve(java.lang.String name,
JulianDate spotDate,
Component component,
int[] dateArray,
double[] repoRateArray,
double tension)

Create an Instance of the KLK Rational Quadratic Splined Repo Curve

Parameters:

name - Curve Name

spotDate - The Spot Date

component - The Underlying Repo Component

dateArray - Array of the Dates

repoRateArray - Array of the Repo Rates

tension - The Tension Parameter

Returns:

The Instance of the Repo Curve

FlatRateRepoCurve

public static final RepoCurve FlatRateRepoCurve(JulianDate spotDate,
Component component,
double repoRate)

Construct a Repo Curve using the Flat Repo Rate

Parameters:

spotDate - Spot Date

component - Repo Component

repoRate - The Flat Repo Rate

Returns:

The Flat Repo Rate Curve