Package org.drip.state.creator

Class ScenarioTermStructureBuilder

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

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
    ScenarioTermStructureBuilder()  

  • Method Summary

    Modifier and Type Method Description
    static NodeStructure CubicPolynomialTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] nodeArray)
    Construct a Term Structure Instance based off of a Cubic Polynomial Spline
    static NodeStructure CustomSplineTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, double[] dateArray, double[] nodeArray, SegmentCustomBuilderControl segmentCustomBuilderControl)
    Construct a Term Structure Instance using the specified Custom Spline
    static NodeStructure KaklisPandelisTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] nodeArray)
    Construct a Term Structure Instance based off of a Kaklis-Pandelis Polynomial Tension Spline
    static NodeStructure KLKHyperbolicTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] nodeArray, double tension)
    Construct a Term Structure Instance based off of a KLK Hyperbolic Tension Spline
    static NodeStructure KLKRationalLinearTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] nodeArray, double tension)
    Construct a Term Structure Instance based off of a KLK Rational Linear Tension Spline
    static NodeStructure KLKRationalQuadraticTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] nodeArray, double tension)
    Construct a Term Structure Instance based off of a KLK Rational Quadratic Tension Spline
    static NodeStructure QuarticPolynomialTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] nodeArray)
    Construct a 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

    • ScenarioTermStructureBuilder

      public ScenarioTermStructureBuilder()

  • Method Details

    • CustomSplineTermStructure

      public static final NodeStructure CustomSplineTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, double[] dateArray, double[] nodeArray, SegmentCustomBuilderControl segmentCustomBuilderControl)
      Construct a 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
      nodeArray - Array of Term Structure Nodes
      segmentCustomBuilderControl - Segment Custom Builder Parameters
      Returns:
      Instance of the Term Structure

    • CubicPolynomialTermStructure

      public static final NodeStructure CubicPolynomialTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] nodeArray)
      Construct a 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
      nodeArray - Array of Term Structure Nodes
      Returns:
      The Term Structure Instance based off of a Cubic Polynomial Spline

    • QuarticPolynomialTermStructure

      public static final NodeStructure QuarticPolynomialTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] nodeArray)
      Construct a 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
      nodeArray - Array of Term Structure Nodes
      Returns:
      The Term Structure Instance based off of a Quartic Polynomial Spline

    • KaklisPandelisTermStructure

      public static final NodeStructure KaklisPandelisTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] nodeArray)
      Construct a 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
      nodeArray - Array of Term Structure Nodes
      Returns:
      The Term Structure Instance based off of a Kaklis-Pandelis Polynomial Tension Spline

    • KLKHyperbolicTermStructure

      public static final NodeStructure KLKHyperbolicTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] nodeArray, double tension)
      Construct a 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
      nodeArray - Array of Term Structure Nodes
      tension - Tension
      Returns:
      The Term Structure Instance based off of a KLK Hyperbolic Tension Spline

    • KLKRationalLinearTermStructure

      public static final NodeStructure KLKRationalLinearTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] nodeArray, double tension)
      Construct a 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
      nodeArray - Array of Term Structure Nodes
      tension - Tension
      Returns:
      The Term Structure Instance based off of a KLK Rational Linear Tension Spline

    • KLKRationalQuadraticTermStructure

      public static final NodeStructure KLKRationalQuadraticTermStructure​(java.lang.String name, JulianDate startDate, java.lang.String currency, java.lang.String[] tenorArray, double[] nodeArray, double tension)
      Construct a 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
      nodeArray - Array of Term Structure Nodes
      tension - Tension
      Returns:
      The Term Structure Instance based off of a KLK Rational Quadratic Tension Spline