CustomOvernightCurveReconciler.java

package org.drip.sample.overnight;

import org.drip.analytics.date.*;
import org.drip.analytics.definition.Turn;
import org.drip.function.r1tor1.QuadraticRationalShapeControl;
import org.drip.market.otc.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.creator.*;
import org.drip.param.valuation.*;
import org.drip.product.creator.*;
import org.drip.product.definition.CalibratableComponent;
import org.drip.product.rates.*;
import org.drip.service.env.EnvManager;
import org.drip.spline.basis.PolynomialFunctionSetParams;
import org.drip.spline.params.*;
import org.drip.spline.stretch.*;
import org.drip.state.curve.DiscountFactorDiscountCurve;
import org.drip.state.discount.*;
import org.drip.state.estimator.LatentStateStretchBuilder;
import org.drip.state.identifier.*;
import org.drip.state.inference.*;

/*
 * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
 */

/*!
 * Copyright (C) 2018 Lakshmi Krishnamurthy
 * Copyright (C) 2017 Lakshmi Krishnamurthy
 * Copyright (C) 2016 Lakshmi Krishnamurthy
 * Copyright (C) 2015 Lakshmi Krishnamurthy
 * Copyright (C) 2014 Lakshmi Krishnamurthy
 * 
 *  This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
 *      libraries targeting analysts and developers
 *      https://lakshmidrip.github.io/DRIP/
 *  
 *  DRIP is composed of four main libraries:
 *  
 *  - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
 *  - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
 *  - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
 *  - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
 * 
 *  - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
 *      Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
 *      Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
 *      Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
 *      Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
 * 
 *  - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
 *      Incorporator, Holdings Constraint, and Transaction Costs.
 * 
 *  - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
 * 
 *  - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
 * 
 *  Licensed under the Apache License, Version 2.0 (the "License");
 *      you may not use this file except in compliance with the License.
 *   
 *  You may obtain a copy of the License at
 *      http://www.apache.org/licenses/LICENSE-2.0
 *  
 *  Unless required by applicable law or agreed to in writing, software
 *      distributed under the License is distributed on an "AS IS" BASIS,
 *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 *  
 *  See the License for the specific language governing permissions and
 *      limitations under the License.
 */

/**
 * CustomOvernightCurveReconciler demonstrates the multi-stretch transition custom Overnight curve
 *  construction, turns application, discount factor extraction, and calibration quote recovery.
 * 
 * @author Lakshmi Krishnamurthy
 */

public class CustomOvernightCurveReconciler {

    private static final FixFloatComponent OTCOISFixFloat (
        final JulianDate dtSpot,
        final String strCurrency,
        final String strMaturityTenor,
        final double dblCoupon)
    {
        FixedFloatSwapConvention ffConv = OvernightFixedFloatContainer.FundConventionFromJurisdiction (
            strCurrency
        );

        return ffConv.createFixFloatComponent (
            dtSpot,
            strMaturityTenor,
            dblCoupon,
            0.,
            1.
        );
    }

    /*
     * Construct the Array of Deposit Instruments from the given set of parameters
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final SingleStreamComponent[] DepositInstrumentsFromMaturityDays (
        final JulianDate dtEffective,
        final String strCurrency,
        final int[] aiDay)
        throws Exception
    {
        SingleStreamComponent[] aDeposit = new SingleStreamComponent[aiDay.length];

        for (int i = 0; i < aiDay.length; ++i)
            aDeposit[i] = SingleStreamComponentBuilder.Deposit (
                dtEffective,
                dtEffective.addBusDays (
                    aiDay[i],
                    strCurrency
                ),
                OvernightLabel.Create (
                    strCurrency
                )
            );

        return aDeposit;
    }

    /*
     * Construct the Array of Overnight Index Instruments from the given set of parameters
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final FixFloatComponent[] OISFromMaturityTenor (
        final JulianDate dtSpot,
        final String strCurrency,
        final String[] astrMaturityTenor,
        final double[] adblCoupon)
        throws Exception
    {
        FixFloatComponent[] aOIS = new FixFloatComponent[astrMaturityTenor.length];

        for (int i = 0; i < astrMaturityTenor.length; ++i)
            aOIS[i] = OTCOISFixFloat (
                dtSpot,
                strCurrency,
                astrMaturityTenor[i],
                adblCoupon[i]
            );

        return aOIS;
    }

    /*
     * Construct the Array of Overnight Index Future Instruments from the given set of parameters
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final FixFloatComponent[] OISFuturesFromMaturityTenor (
        final JulianDate dtSpot,
        final String strCurrency,
        final String[] astrStartTenor,
        final String[] astrMaturityTenor,
        final double[] adblCoupon)
        throws Exception
    {
        FixFloatComponent[] aOISFutures = new FixFloatComponent[astrMaturityTenor.length];

        for (int i = 0; i < astrMaturityTenor.length; ++i)
            aOISFutures[i] = OTCOISFixFloat (
                dtSpot.addTenor (astrStartTenor[i]),
                strCurrency,
                astrMaturityTenor[i],
                adblCoupon[i]
            );

        return aOISFutures;
    }

    /*
     * This sample demonstrates the multi-stretch transition custom discount curve construction, turns
     *  application, discount factor extraction, and calibration quote recovery. It shows the following
     *  steps:
     *  - Setup the linear curve calibrator.
     *  - Setup the Deposit instruments and their quotes for calibration.
     *  - Setup the Deposit instruments stretch latent state representation - this uses the discount factor
     *      quantification metric and the "rate" manifest measure.
     *  - Setup the OIS instruments and their quotes for calibration.
     *  - Setup the OIS instruments stretch latent state representation - this uses the discount factor
     *      quantification metric and the "rate" manifest measure.
     *  - Calibrate over the instrument set to generate a new overlapping latent state span instance.
     *  - Retrieve the "Deposit" stretch from the span.
     *  - Retrieve the "OIS" stretch from the span.
     *  - Create a discount curve instance by converting the overlapping stretch to an exclusive
     *      non-overlapping stretch.
     *  - Compare the discount factors and their monotonicity emitted from the discount curve, the
     *      non-overlapping span, and the "OIS" stretch across the range of tenor predictor ordinates.
     *  - Cross-Recovery of the Deposit Calibration Instrument "Rate" metric across the different curve
     *      construction methodologies.
     *  - Cross-Recovery of the OIS Calibration Instrument "Rate" metric across the different curve
     *      construction methodologies.
     *  - Create a turn list instance and add new turn instances.
     *  - Update the discount curve with the turn list.
     *  - Compare the discount factor implied the discount curve with and without applying the turns
     *      adjustment.
     * 
     *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
     */

    private static final void SplineLinearOISDiscountCurve (
        final JulianDate dtSpot,
        final SegmentCustomBuilderControl prbp,
        final String strHeaderComment,
        final String strCurrency)
        throws Exception
    {
        System.out.println ("\n\t----------------------------------------------------------------");

        System.out.println ("\t" + strHeaderComment);

        /*
         * Setup the linear curve calibrator
         */

        LinearLatentStateCalibrator lcc = new LinearLatentStateCalibrator (
            prbp,
            BoundarySettings.NaturalStandard(),
            MultiSegmentSequence.CALIBRATE,
            null,
            null
        );

        /*
         * Construct the Array of Deposit Instruments and their Quotes from the given set of parameters
         */

        SingleStreamComponent[] aDepositComp = DepositInstrumentsFromMaturityDays (
            dtSpot,
            strCurrency,
            new int[] {
                1, 2, 3
            }
        );

        double[] adblDepositQuote = new double[] {
            0.0004, 0.0004, 0.0004       // Deposit
        };

        /*
         * Construct the Deposit Instrument Set Stretch Builder
         */

        LatentStateStretchSpec depositStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
            "   DEPOSIT   ",
            aDepositComp,
            "ForwardRate",
            adblDepositQuote
        );

        /*
         * Construct the Array of Short End OIS Instruments and their Quotes from the given set of parameters
         */

        double[] adblShortEndOISQuote = new double[] {
            0.00070,    //   1W
            0.00069,    //   2W
            0.00078,    //   3W
            0.00074     //   1M
        };

        CalibratableComponent[] aShortEndOISComp = OISFromMaturityTenor (
            dtSpot,
            strCurrency,
            new java.lang.String[] {
                "1W", "2W", "3W", "1M"
            },
            adblShortEndOISQuote
        );

        /*
         * Construct the Short End OIS Instrument Set Stretch Builder
         */

        LatentStateStretchSpec oisShortEndStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
            "SHORT END OIS",
            aShortEndOISComp,
            "SwapRate",
            adblShortEndOISQuote
        );

        /*
         * Construct the Array of OIS Futures Instruments and their Quotes from the given set of parameters
         */

        double[] adblOISFutureQuote = new double[] {
             0.00046,    //   1M x 1M
             0.00016,    //   2M x 1M
            -0.00007,    //   3M x 1M
            -0.00013,    //   4M x 1M
            -0.00014     //   5M x 1M
        };

        CalibratableComponent[] aOISFutureComp = OISFuturesFromMaturityTenor (
            dtSpot,
            strCurrency,
            new java.lang.String[] {
                "1M", "2M", "3M", "4M", "5M"
            },
            new java.lang.String[] {
                "1M", "1M", "1M", "1M", "1M"
            },
            adblOISFutureQuote
        );

        /*
         * Construct the OIS Future Instrument Set Stretch Builder
         */

        LatentStateStretchSpec oisFutureStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
            " OIS FUTURE  ",
            aOISFutureComp,
            "SwapRate",
            adblOISFutureQuote
        );

        /*
         * Construct the Array of Long End OIS Instruments and their Quotes from the given set of parameters
         */

        double[] adblLongEndOISQuote = new double[] {
            0.00002,    //  15M
            0.00008,    //  18M
            0.00021,    //  21M
            0.00036,    //   2Y
            0.00127,    //   3Y
            0.00274,    //   4Y
            0.00456,    //   5Y
            0.00647,    //   6Y
            0.00827,    //   7Y
            0.00996,    //   8Y
            0.01147,    //   9Y
            0.01280,    //  10Y
            0.01404,    //  11Y
            0.01516,    //  12Y
            0.01764,    //  15Y
            0.01939,    //  20Y
            0.02003,    //  25Y
            0.02038     //  30Y
        };

        CalibratableComponent[] aLongEndOISComp = OISFromMaturityTenor (
            dtSpot,
            strCurrency,
            new java.lang.String[] {
                "15M", "18M", "21M", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y"
            },
            adblLongEndOISQuote
        );

        /*
         * Construct the Long End OIS Instrument Set Stretch Builder
         */

        LatentStateStretchSpec oisLongEndStretch = LatentStateStretchBuilder.ForwardFundingStretchSpec (
            "LONG END OIS ",
            aLongEndOISComp,
            "SwapRate",
            adblLongEndOISQuote
        );

        LatentStateStretchSpec[] aStretchSpec = new LatentStateStretchSpec[] {
            depositStretch,
            oisShortEndStretch,
            oisFutureStretch,
            oisLongEndStretch
        };

        /*
         * Construct the Shape Preserving Discount Curve by applying the linear curve calibrator to the array
         *  of Deposit and Swap Stretches.
         */

        ValuationParams valParams = new ValuationParams (
            dtSpot,
            dtSpot,
            strCurrency
        );

        /*
         * Calibrate over the instrument set to generate a new overlapping latent state span instance
         */

        org.drip.spline.grid.OverlappingStretchSpan ors = lcc.calibrateSpan (
            aStretchSpec,
            1.,
            valParams,
            null,
            null,
            null
        );

        /*
         * Retrieve the "Deposit" stretch from the span
         */

        MultiSegmentSequence mssDeposit = ors.getStretch ("   DEPOSIT   ");

        /*
         * Retrieve the OIS Short End stretch from the span
         */

        MultiSegmentSequence mssOISShortEnd = ors.getStretch ("SHORT END OIS");

        /*
         * Retrieve the OIS Future stretch from the span
         */

        MultiSegmentSequence mssOISFuture = ors.getStretch (" OIS FUTURE  ");

        /*
         * Retrieve the OIS Long End stretch from the span
         */

        MultiSegmentSequence mssOISLongEnd = ors.getStretch ("LONG END OIS ");

        /*
         * Create a discount curve instance by converting the overlapping stretch to an exclusive
         *  non-overlapping stretch.
         */

        MergedDiscountForwardCurve dfdc = new DiscountFactorDiscountCurve (
            strCurrency,
            ors
        );

        /*
         * Compare the discount factors and their monotonicity emitted from the discount curve, the
         * non-overlapping span, and the "Deposit" stretch across the range of tenor predictor ordinates.
         */

        System.out.println ("\t----------------------------------------------------------------");

        System.out.println ("\t     DEPOSITS DF           DFDC       STRETCH        LOCAL");

        System.out.println ("\t----------------------------------------------------------------");

        int iDepositWidth = (int) (0.25 * (mssDeposit.getRightPredictorOrdinateEdge() - mssDeposit.getLeftPredictorOrdinateEdge()));

        if (0 == iDepositWidth) iDepositWidth = 1;

        for (int iX = (int) mssDeposit.getLeftPredictorOrdinateEdge(); iX <= (int) mssDeposit.getRightPredictorOrdinateEdge();
            iX += iDepositWidth) {
            try {
                System.out.println ("\tDEPOSIT [" + new JulianDate (iX) + "] = " +
                    FormatUtil.FormatDouble (dfdc.df (iX), 1, 8, 1.) + " || " +
                        ors.getContainingStretch (iX).name() + " || " +
                            FormatUtil.FormatDouble (mssDeposit.responseValue (iX), 1, 8, 1.) + " | " +
                                mssDeposit.monotoneType (iX));
            } catch (java.lang.Exception e) {
                e.printStackTrace();
            }
        }

        /*
         * Compare the discount factors and their monotonicity emitted from the discount curve, the
         * non-overlapping span, and the OIS SHORT END stretch across the range of tenor predictor ordinates.
         */

        System.out.println ("\n\t----------------------------------------------------------------");

        System.out.println ("\tSHORT END OIS DF        DFDC       STRETCH        LOCAL");

        System.out.println ("\t----------------------------------------------------------------");

        double dblShortOISWidth = 0.2 * (mssOISShortEnd.getRightPredictorOrdinateEdge() - mssOISShortEnd.getLeftPredictorOrdinateEdge());

        for (int iX = (int) mssOISShortEnd.getLeftPredictorOrdinateEdge(); iX <= (int) mssOISShortEnd.getRightPredictorOrdinateEdge();
            iX += dblShortOISWidth) {
                System.out.println ("\tOIS [" + new JulianDate (iX) + "] = " +
                    FormatUtil.FormatDouble (dfdc.df (iX), 1, 8, 1.) + " || " +
                        ors.getContainingStretch (iX).name() + " || " +
                            FormatUtil.FormatDouble (mssOISShortEnd.responseValue (iX), 1, 8, 1.) + " | " +
                                mssOISShortEnd.monotoneType (iX));
        }

        /*
         * Compare the discount factors and their monotonicity emitted from the discount curve, the
         * non-overlapping span, and the OIS FUTURE stretch across the range of tenor predictor ordinates.
         */

        System.out.println ("\n\t----------------------------------------------------------------");

        System.out.println ("\t OIS FUTURE DF          DFDC       STRETCH        LOCAL");

        System.out.println ("\t----------------------------------------------------------------");

        int iOISFutureWidth = (int) (0.2 * (mssOISFuture.getRightPredictorOrdinateEdge() - mssOISFuture.getLeftPredictorOrdinateEdge()));

        for (int iX = (int) mssOISFuture.getLeftPredictorOrdinateEdge(); iX <= (int) mssOISFuture.getRightPredictorOrdinateEdge();
            iX += iOISFutureWidth) {
                System.out.println ("\tOIS [" + new JulianDate (iX) + "] = " +
                    FormatUtil.FormatDouble (dfdc.df (iX), 1, 8, 1.) + " || " +
                        ors.getContainingStretch (iX).name() + " || " +
                            FormatUtil.FormatDouble (mssOISFuture.responseValue (iX), 1, 8, 1.) + " | " +
                                mssOISFuture.monotoneType (iX));
        }

        /*
         * Compare the discount factors and their monotonicity emitted from the discount curve, the
         * non-overlapping span, and the OIS LONG END stretch across the range of tenor predictor ordinates.
         */

        System.out.println ("\n\t----------------------------------------------------------------");

        System.out.println ("\tLONG END OIS DF         DFDC      STRETCH         LOCAL");

        System.out.println ("\t----------------------------------------------------------------");

        for (int iX = (int) mssOISFuture.getLeftPredictorOrdinateEdge(); iX <= (int) mssOISFuture.getRightPredictorOrdinateEdge();
            iX += iOISFutureWidth) {
                System.out.println ("\tOIS [" + new JulianDate (iX) + "] = " +
                    FormatUtil.FormatDouble (dfdc.df (iX), 1, 8, 1.) + " || " +
                        ors.getContainingStretch (iX).name() + " || " +
                            FormatUtil.FormatDouble (mssOISFuture.responseValue (iX), 1, 8, 1.) + " | " +
                                mssOISFuture.monotoneType (iX));
        }

        int iLongOISWidth = ((int) mssOISLongEnd.getRightPredictorOrdinateEdge() - (int) mssOISLongEnd.getLeftPredictorOrdinateEdge()) / 10;

        for (int iX = (int) mssOISLongEnd.getLeftPredictorOrdinateEdge() + iLongOISWidth; iX <= (int) mssOISLongEnd.getRightPredictorOrdinateEdge();
            iX += iLongOISWidth) {
                System.out.println ("\tOIS [" + new JulianDate (iX) + "] = " +
                    FormatUtil.FormatDouble (dfdc.df (iX), 1, 8, 1.) + " || " +
                        ors.getContainingStretch (iX).name() + " || " +
                            FormatUtil.FormatDouble (mssOISLongEnd.responseValue (iX), 1, 8, 1.) + " | " +
                                mssOISLongEnd.monotoneType (iX));
        }

        System.out.println ("\tOIS [" + dtSpot.addTenor ("60Y") + "] = " +
            FormatUtil.FormatDouble (dfdc.df (dtSpot.addTenor ("60Y")), 1, 8, 1.));

        /*
         * Cross-Recovery of the Deposit Calibration Instrument "Rate" metric across the different curve
         *  construction methodologies.
         */

        System.out.println ("\n\t----------------------------------------------------------------");

        System.out.println ("\t     DEPOSIT INSTRUMENTS CALIBRATION RECOVERY");

        System.out.println ("\t----------------------------------------------------------------");

        for (int i = 0; i < aDepositComp.length; ++i)
            System.out.println ("\t[" + aDepositComp[i].maturityDate() + "] = " +
                FormatUtil.FormatDouble (aDepositComp[i].measureValue (valParams, null,
                    MarketParamsBuilder.Create (dfdc, null, null, null, null, null, null),
                        null, "Rate"), 1, 6, 1.) + " | " + FormatUtil.FormatDouble (adblDepositQuote[i], 1, 6, 1.));

        /*
         * Cross-Recovery of the OIS Short End Calibration Instrument "Rate" metric across the different curve
         *  construction methodologies.
         */

        System.out.println ("\n\t----------------------------------------------------------------");

        System.out.println ("\t      OIS SHORT END INSTRUMENTS CALIBRATION RECOVERY");

        System.out.println ("\t----------------------------------------------------------------");

        for (int i = 0; i < aShortEndOISComp.length; ++i)
            System.out.println ("\t[" + aShortEndOISComp[i].maturityDate() + "] = " +
                FormatUtil.FormatDouble (aShortEndOISComp[i].measureValue (valParams, null,
                    MarketParamsBuilder.Create (dfdc, null, null, null, null, null, null),
                        null, "SwapRate"), 1, 6, 1.) + " | " + FormatUtil.FormatDouble (adblShortEndOISQuote[i], 1, 6, 1.));

        /*
         * Cross-Recovery of the OIS Future Calibration Instrument "Rate" metric across the different curve
         *  construction methodologies.
         */

        System.out.println ("\n\t----------------------------------------------------------------");

        System.out.println ("\t      OIS FUTURES INSTRUMENTS CALIBRATION RECOVERY");

        System.out.println ("\t----------------------------------------------------------------");

        for (int i = 0; i < aOISFutureComp.length; ++i)
            System.out.println ("\t[" + aOISFutureComp[i].maturityDate() + "] = " +
                FormatUtil.FormatDouble (aOISFutureComp[i].measureValue (valParams, null,
                    MarketParamsBuilder.Create (dfdc, null, null, null, null, null, null),
                        null, "SwapRate"), 1, 6, 1.) + " | " + FormatUtil.FormatDouble (adblOISFutureQuote[i], 1, 6, 1.));

        /*
         * Cross-Recovery of the OIS Long End Calibration Instrument "Rate" metric across the different curve
         *  construction methodologies.
         */

        System.out.println ("\n\t----------------------------------------------------------------");

        System.out.println ("\t      OIS LONG END INSTRUMENTS CALIBRATION RECOVERY");

        System.out.println ("\t----------------------------------------------------------------");

        for (int i = 0; i < aLongEndOISComp.length; ++i)
            System.out.println ("\t[" + aLongEndOISComp[i].maturityDate() + "] = " +
                FormatUtil.FormatDouble (aLongEndOISComp[i].measureValue (valParams, null,
                    MarketParamsBuilder.Create (dfdc, null, null, null, null, null, null),
                        null, "CalibSwapRate"), 1, 6, 1.) + " | " + FormatUtil.FormatDouble (adblLongEndOISQuote[i], 1, 6, 1.));

        /*
         * Create a turn list instance and add new turn instances
         */

        TurnListDiscountFactor tldc = new TurnListDiscountFactor();

        tldc.addTurn (
            new Turn (
                dtSpot.addTenor ("5Y").julian(),
                dtSpot.addTenor ("40Y").julian(),
                0.001
            )
        );

        /*
         * Update the discount curve with the turn list.
         */

        dfdc.setTurns (tldc);

        /*
         * Compare the discount factor implied the discount curve with and without applying the turns
         *  adjustment.
         */

        System.out.println ("\n\t-------------------------------");

        System.out.println ("\t  TURNS ADJ DF         DFDC");

        System.out.println ("\t-------------------------------");

        for (int iX = (int) mssOISShortEnd.getLeftPredictorOrdinateEdge(); iX <= (int) mssOISLongEnd.getRightPredictorOrdinateEdge();
            iX += 0.05 * (mssOISLongEnd.getRightPredictorOrdinateEdge() - mssOISShortEnd.getLeftPredictorOrdinateEdge())) {
                System.out.println ("\tOIS [" + new JulianDate (iX) + "] = " +
                    FormatUtil.FormatDouble (dfdc.df (iX), 1, 8, 1.));
        }
    }

    public static final void main (
        final String[] astrArgs)
        throws Exception
    {
        /*
         * Initialize the Credit Analytics Library
         */

        EnvManager.InitEnv ("");

        /*
         * Construct the segment Custom builder using the following parameters:
         *  - Cubic Exponential Mixture Basis Spline Set
         *  - Ck = 2, Segment Curvature Penalty = 2
         *  - Quadratic Rational Shape Controller
         */

        SegmentCustomBuilderControl prbpPolynomial = new SegmentCustomBuilderControl (
            MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
            new PolynomialFunctionSetParams (4),
            SegmentInelasticDesignControl.Create (
                2,
                2
            ),
            new ResponseScalingShapeControl (
                true,
                new QuadraticRationalShapeControl (0.)
            ),
            null
        );

        String strCurrency = "EUR";

        JulianDate dtToday = DateUtil.Today().addTenor ("0D");

        /*
         * Runs the full spline linear discount curve builder sample using the overnight index discount curve.
         */

        SplineLinearOISDiscountCurve (
            dtToday,
            prbpPolynomial,
            "---- DISCOUNT CURVE WITH OVERNIGHT INDEX ---",
            strCurrency
        );
    }
}