Package org.drip.state.estimator

Multi-Pass Customized Stretch Curve
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CurveStretch
    CurveStretch expands the regular Multi-Segment Stretch to aid the calibration of Boot-strapped Instruments.
    GlobalControlCurveParams
    GlobalControlCurveParams contains the Parameters controlling multiple Stretches in a Curve.
    LatentStateStretchBuilder
    LatentStateStretchBuilder contains the Functionality to construct the Curve Latent State Stretch for the different Latent States.
    LocalControlCurveParams
    LocalControlCurveParams enhances the SmoothingCurveStretchParams to produce locally customized curve smoothing.
    PredictorResponseRelationSetup
    PredictorResponseRelationSetup holds the Linearized Constraints (and, optionally, their quote sensitivities) necessary needed for the Linear Calibration.
    PredictorResponseWeightConstraint
    PredictorResponseWeightConstraint holds the Linearized Constraints (and, optionally, their quote sensitivities) necessary needed for the Linear Calibration.
    SmoothingCurveStretchParams
    SmoothingCurveStretchParams contains the Parameters needed to hold the Stretch.