Package org.drip.state.estimator

Class LatentStateStretchBuilder

java.lang.Object
org.drip.state.estimator.LatentStateStretchBuilder
public class LatentStateStretchBuilder
extends java.lang.Object
LatentStateStretchBuilder contains the Functionality to construct the Curve Latent State Stretch for the different Latent States. It provides Functionality to:
  • Construct a Forward Latent State Stretch Spec Instance
  • Construct a Merged Forward-Funding Latent State Stretch Spec Instance
  • Construct a Funding Latent State Stretch Spec Instance
  • Construct an instance of LatentStateStretchSpec for the Construction of the Forward Curve from the specified Inputs
  • Construct an instance of LatentStateStretchSpec for the Construction of the Discount Curve from the specified Inputs
  • Construct a FX Latent State Stretch Spec Instance

Module Product Core Module
Library Fixed Income Analytics
Project Latent State Inference and Creation Utilities
Package Multi-Pass Customized Stretch Curve
Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • LatentStateStretchBuilder

      public LatentStateStretchBuilder()

  • Method Details

    • ForwardStretchSpec

      public static final LatentStateStretchSpec ForwardStretchSpec​(java.lang.String stretchName, CalibratableComponent[] calibratableComponentArray, java.lang.String[] calibrationMeasureArray, double[] calibrationQuoteArray)
      Construct a Forward Latent State Stretch Spec Instance
      Parameters:
      stretchName - Stretch Name
      calibratableComponentArray - Array of Calibration Components
      calibrationMeasureArray - Array of the Calibration Measures
      calibrationQuoteArray - Array of the Calibration Quotes
      Returns:
      Forward Latent State Stretch Spec Instance

    • ForwardFundingStretchSpec

      public static final LatentStateStretchSpec ForwardFundingStretchSpec​(java.lang.String stretchName, CalibratableComponent[] calibratableComponentArray, java.lang.String[] calibrationMeasureArray, double[] calibrationQuoteArray)
      Construct a Merged Forward-Funding Latent State Stretch Spec Instance
      Parameters:
      stretchName - Stretch Name
      calibratableComponentArray - Array of Calibration Components
      calibrationMeasureArray - Array of the Calibration Measures
      calibrationQuoteArray - Array of the Calibration Quotes
      Returns:
      Merged Forward-Funding Latent State Stretch Spec Instance

    • FundingStretchSpec

      public static final LatentStateStretchSpec FundingStretchSpec​(java.lang.String stretchName, CalibratableComponent[] calibratableComponentArray, java.lang.String[] calibrationMeasureArray, double[] calibrationQuoteArray)
      Construct a Funding Latent State Stretch Spec Instance
      Parameters:
      stretchName - Stretch Name
      calibratableComponentArray - Array of Calibration Components
      calibrationMeasureArray - Array of the Calibration Measures
      calibrationQuoteArray - Array of the Calibration Quotes
      Returns:
      Funding Latent State Stretch Spec Instance

    • ForwardStretchSpec

      public static final LatentStateStretchSpec ForwardStretchSpec​(java.lang.String stretchName, CalibratableComponent[] calibratableComponentArray, java.lang.String calibrationMeasure, double[] calibrationQuoteArray)
      Construct a Forward Latent State Stretch Spec Instance
      Parameters:
      stretchName - Stretch Name
      calibratableComponentArray - Array of Calibration Components
      calibrationMeasure - The Calibration Measure
      calibrationQuoteArray - Array of the Calibration Quotes
      Returns:
      Forward Latent State Stretch Spec Instance

    • ForwardFundingStretchSpec

      public static final LatentStateStretchSpec ForwardFundingStretchSpec​(java.lang.String stretchName, CalibratableComponent[] calibratableComponentArray, java.lang.String calibrationMeasure, double[] calibrationQuoteArray)
      Construct a Merged Forward-Funding Latent State Stretch Spec Instance
      Parameters:
      stretchName - Stretch Name
      calibratableComponentArray - Array of Calibration Components
      calibrationMeasure - The Calibration Measure
      calibrationQuoteArray - Array of the Calibration Quotes
      Returns:
      Merged Forward-Funding Latent State Stretch Spec Instance

    • FundingStretchSpec

      public static final LatentStateStretchSpec FundingStretchSpec​(java.lang.String stretchName, CalibratableComponent[] calibratableComponentArray, java.lang.String calibrationMeasure, double[] calibrationQuoteArray)
      Construct a Funding Latent State Stretch Spec Instance
      Parameters:
      stretchName - Stretch Name
      calibratableComponentArray - Array of Calibration Components
      calibrationMeasure - The Calibration Measure
      calibrationQuoteArray - Array of the Calibration Quotes
      Returns:
      Funding Latent State Stretch Spec Instance

    • ComponentPairForwardStretch

      public static final LatentStateStretchSpec ComponentPairForwardStretch​(java.lang.String stretchName, ComponentPair[] componentPairArray, ValuationParams valuationParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, double[] basisArray, boolean basisOnDerivedComponent, boolean basisOnDerivedStream)
      Construct an instance of LatentStateStretchSpec for the Construction of the Forward Curve from the specified Inputs
      Parameters:
      stretchName - Stretch Name
      componentPairArray - Array of Calibration Cross Currency Swap Pair Instances
      valuationParams - The Valuation Parameters
      curveSurfaceQuoteContainer - The Basket Market Parameters to imply the Market Quote Measure
      basisArray - Array of the Basis on either the Reference Component or the Derived Component
      basisOnDerivedComponent - TRUE - Apply the Basis on the Derived Component
      basisOnDerivedStream - TRUE - Apply the Basis on the Derived Stream (FALSE - Reference Stream)
      Returns:
      Instance of LatentStateStretchSpec

    • ComponentPairDiscountStretch

      public static final LatentStateStretchSpec ComponentPairDiscountStretch​(java.lang.String stretchName, ComponentPair[] componentPairArray, ValuationParams valuationParams, CurveSurfaceQuoteContainer curveSurfaceQuoteContainer, double[] referenceComponentBasisArray, double[] swapRateArray, boolean basisOnDerivedLeg)
      Construct an instance of LatentStateStretchSpec for the Construction of the Discount Curve from the specified Inputs
      Parameters:
      stretchName - Stretch Name
      componentPairArray - Array of Calibration Cross Currency Swap Pair Instances
      valuationParams - The Valuation Parameters
      curveSurfaceQuoteContainer - The Basket Market Parameters to imply the Market Quote Measure
      referenceComponentBasisArray - Array of the Reference Component Reference Leg Basis Spread
      swapRateArray - Array of the IRS Calibration Swap Rates
      basisOnDerivedLeg - TRUE - Apply the Basis on the Derived Leg (FALSE - Reference Leg)
      Returns:
      Instance of LatentStateStretchSpec

    • FXStretchSpec

      public static final LatentStateStretchSpec FXStretchSpec​(java.lang.String stretchName, CalibratableComponent[] calibratableComponentArray, java.lang.String[] calibrationMeasureArray, double[] calibrationQuoteArray)
      Construct a FX Latent State Stretch Spec Instance
      Parameters:
      stretchName - Stretch Name
      calibratableComponentArray - Array of Calibration Components
      calibrationMeasureArray - Array of the Calibration Measures
      calibrationQuoteArray - Array of the Calibration Quotes
      Returns:
      FX Latent State Stretch Spec Instance

    • FXStretchSpec

      public static final LatentStateStretchSpec FXStretchSpec​(java.lang.String stretchName, CalibratableComponent[] calibratableComponentArray, java.lang.String calibrationMeasure, double[] calibrationQuoteArray)
      Construct a FX Latent State Stretch Spec Instance
      Parameters:
      stretchName - Stretch Name
      calibratableComponentArray - Array of Calibration Components
      calibrationMeasure - The Calibration Measure
      calibrationQuoteArray - Array of the Calibration Quotes
      Returns:
      FX Latent State Stretch Spec Instance