Package org.drip.state.creator

Scenario State Curve/Surface Builders
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    ScenarioBasisCurveBuilder
    ScenarioBasisCurveBuilder implements the construction of the scenario basis curve using the input instruments and their quotes.
    ScenarioCreditCurveBuilder
    ScenarioCreditCurveBuilder implements the construction of the custom Scenario based credit curves.
    ScenarioDeterministicVolatilityBuilder
    ScenarioDeterministicVolatilityBuilder implements the construction of the basis spline deterministic volatility term structure using the input instruments and their quotes.
    ScenarioDiscountCurveBuilder
    ScenarioDiscountCurveBuilder implements the the construction of the scenario discount curve using the input discount curve instruments, and a wide variety of custom builds.
    ScenarioForwardCurveBuilder
    ScenarioForwardCurveBuilder implements the the construction of the scenario Forward curve using the input discount curve instruments, and a wide variety of custom builds.
    ScenarioFXCurveBuilder
    ScenarioFXCurveBuilder implements the construction of the scenario FX Curve using the input FX Curve instruments.
    ScenarioGovvieCurveBuilder
    ScenarioGovvieCurveBuilder implements the Construction of the Scenario Govvie Curve using the Input Govvie Curve Instruments.
    ScenarioLocalVolatilityBuilder
    ScenarioLocalVolatilityBuilder implements the construction of the Local Volatility surface using the input option instruments, their Call Prices, and a wide variety of custom build schemes.
    ScenarioMarketSurfaceBuilder
    ScenarioMarketSurfaceBuilder implements the construction of the scenario market Node surface using the input option instruments, their quotes, and a wide variety of custom builds.
    ScenarioRepoCurveBuilder
    ScenarioRepoCurveBuilder implements the Construction of the Scenario Repo Curve using the Input Instruments and their Quotes.
    ScenarioTermStructureBuilder
    ScenarioTermStructureBuilder implements the construction of the basis spline term structure using the input instruments and their quotes.