ScenarioDiscountCurveBuilder.java

  1. package org.drip.state.creator;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  17.  * 
  18.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  19.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  20.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  21.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  22.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  23.  *      and computational support.
  24.  *  
  25.  *      https://lakshmidrip.github.io/DROP/
  26.  *  
  27.  *  DROP is composed of three modules:
  28.  *  
  29.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  30.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  31.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  32.  * 
  33.  *  DROP Product Core implements libraries for the following:
  34.  *  - Fixed Income Analytics
  35.  *  - Loan Analytics
  36.  *  - Transaction Cost Analytics
  37.  * 
  38.  *  DROP Portfolio Core implements libraries for the following:
  39.  *  - Asset Allocation Analytics
  40.  *  - Asset Liability Management Analytics
  41.  *  - Capital Estimation Analytics
  42.  *  - Exposure Analytics
  43.  *  - Margin Analytics
  44.  *  - XVA Analytics
  45.  * 
  46.  *  DROP Computational Core implements libraries for the following:
  47.  *  - Algorithm Support
  48.  *  - Computation Support
  49.  *  - Function Analysis
  50.  *  - Model Validation
  51.  *  - Numerical Analysis
  52.  *  - Numerical Optimizer
  53.  *  - Spline Builder
  54.  *  - Statistical Learning
  55.  * 
  56.  *  Documentation for DROP is Spread Over:
  57.  * 
  58.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  59.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  60.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  61.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  62.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  63.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  64.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  65.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  66.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  67.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  68.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  69.  * 
  70.  *  Licensed under the Apache License, Version 2.0 (the "License");
  71.  *      you may not use this file except in compliance with the License.
  72.  *   
  73.  *  You may obtain a copy of the License at
  74.  *      http://www.apache.org/licenses/LICENSE-2.0
  75.  *  
  76.  *  Unless required by applicable law or agreed to in writing, software
  77.  *      distributed under the License is distributed on an "AS IS" BASIS,
  78.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  79.  *  
  80.  *  See the License for the specific language governing permissions and
  81.  *      limitations under the License.
  82.  */

  84. /**
  85.  * <i>ScenarioDiscountCurveBuilder</i> implements the the construction of the scenario discount curve using
  86.  * the input discount curve instruments, and a wide variety of custom builds. It implements the following
  87.  * functionality:
  88.  *
  89.  *  <br><br>
  90.  *  <ul>
  91.  *      <li>
  92.  *          Non-linear Custom Discount Curve
  93.  *      </li>
  94.  *      <li>
  95.  *          Shape Preserving Discount Curve Builds - Standard Cubic Polynomial/Cubic KLK Hyperbolic Tension,
  96.  *              and other Custom Builds
  97.  *      </li>
  98.  *      <li>
  99.  *          Smoothing Local/Control Custom Build - DC/Forward/Zero Rate LSQM's
  100.  *      </li>
  101.  *      <li>
  102.  *          "Industry Standard Methodologies" - DENSE/DUALDENSE/CUSTOMDENSE and Hagan-West Forward
  103.  *              Interpolator Schemes
  104.  *      </li>
  105.  *  </ul>
  106.  *
  107.  *  <br><br>
  108.  *  <ul>
  109.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  110.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  111.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/README.md">Latent State Inference and Creation Utilities</a></li>
  112.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/state/creator/README.md">Scenario State Curve/Surface Builders</a></li>
  113.  *  </ul>
  114.  * <br><br>
  115.  * 
  116.  * @author Lakshmi Krishnamurthy
  117.  */

  119. public class ScenarioDiscountCurveBuilder {
  120.     static class CompQuote {
  121.         double _dblQuote = java.lang.Double.NaN;
  122.         org.drip.product.definition.CalibratableComponent _comp = null;
  123.  
  124.         CompQuote (
  125.             final org.drip.product.definition.CalibratableComponent comp,
  126.             final double dblQuote)
  127.         {
  128.             _comp = comp;
  129.             _dblQuote = dblQuote;
  130.         }
  131.     }

  133.     private static final boolean s_bBlog = false;

  135.     private static final CompQuote[] CompQuote (
  136.         final org.drip.param.valuation.ValuationParams valParams,
  137.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  138.         final java.lang.String strCurrency,
  139.         final org.drip.analytics.date.JulianDate dtEffective,
  140.         final org.drip.analytics.date.JulianDate dtInitialMaturity,
  141.         final org.drip.analytics.date.JulianDate dtTerminalMaturity,
  142.         final java.lang.String strTenor,
  143.         final boolean bIsIRS)
  144.     {
  145.         java.util.List<java.lang.Double> lsCalibQuote = new java.util.ArrayList<java.lang.Double>();

  147.         java.util.List<org.drip.product.definition.CalibratableComponent> lsCompDENSE = new
  148.             java.util.ArrayList<org.drip.product.definition.CalibratableComponent>();

  150.         org.drip.analytics.date.JulianDate dtMaturity = dtInitialMaturity;

  152.         while (dtMaturity.julian() <= dtTerminalMaturity.julian()) {
  153.             try {
  154.                 org.drip.product.definition.CalibratableComponent comp = null;

  156.                 if (bIsIRS) {
  157.                     java.lang.String strMaturityTenor = ((int) ((dtMaturity.julian() - dtEffective.julian())
  158.                         * 12 / 365.25)) + "M";

  160.                     org.drip.market.otc.FixedFloatSwapConvention ffConv =
  161.                         org.drip.market.otc.IBORFixedFloatContainer.ConventionFromJurisdiction (strCurrency,
  162.                             "ALL", strMaturityTenor, "MAIN");

  164.                     if (null == ffConv) return null;

  166.                     comp = ffConv.createFixFloatComponent (dtEffective, strMaturityTenor, 0., 0., 1.);
  167.                 } else {
  168.                     org.drip.param.period.ComposableFloatingUnitSetting cfusDeposit = new
  169.                         org.drip.param.period.ComposableFloatingUnitSetting ("3M",
  170.                             org.drip.analytics.support.CompositePeriodBuilder.EDGE_DATE_SEQUENCE_SINGLE,
  171.                                 null, org.drip.state.identifier.ForwardLabel.Standard (strCurrency + "-3M"),
  172.                                     org.drip.analytics.support.CompositePeriodBuilder.REFERENCE_PERIOD_IN_ADVANCE,
  173.                         0.);

  175.                     org.drip.param.period.CompositePeriodSetting cpsDeposit = new
  176.                         org.drip.param.period.CompositePeriodSetting (4, "3M", strCurrency, null, 1., null,
  177.                             null, null, null);

  179.                     comp = new org.drip.product.rates.SingleStreamComponent ("DEPOSIT_" + dtMaturity, new
  180.                         org.drip.product.rates.Stream
  181.                             (org.drip.analytics.support.CompositePeriodBuilder.FloatingCompositeUnit
  182.                                 (org.drip.analytics.support.CompositePeriodBuilder.EdgePair (dtEffective,
  183.                                     dtMaturity), cpsDeposit, cfusDeposit)), null);
  184.                 }

  186.                 lsCompDENSE.add (comp);

  188.                 lsCalibQuote.add (comp.measureValue (valParams, null, csqs, null, "Rate"));
  189.             } catch (java.lang.Exception e) {
  190.                 e.printStackTrace();

  192.                 return null;
  193.             }

  195.             if (null == (dtMaturity = dtMaturity.addTenorAndAdjust (strTenor, strCurrency))) return null;
  196.         }

  198.         int iNumDENSEComp = lsCompDENSE.size();

  200.         if (0 == iNumDENSEComp) return null;

  202.         CompQuote[] aCQ = new CompQuote[iNumDENSEComp];

  204.         for (int i = 0; i < iNumDENSEComp; ++i)
  205.             aCQ[i] = new CompQuote (lsCompDENSE.get (i), lsCalibQuote.get (i));

  207.         return aCQ;
  208.     }

  210.     /**
  211.      * Create an DiscountCurveScenarioContainer Instance from the currency and the array of the calibration
  212.      *  instruments
  213.      * 
  214.      * @param strCurrency Currency
  215.      * @param aCalibInst Array of the calibration instruments
  216.      * 
  217.      * @return The DiscountCurveScenarioContainer instance
  218.      */

  220.     public static final org.drip.param.market.DiscountCurveScenarioContainer FromIRCSG (
  221.         final java.lang.String strCurrency,
  222.         final org.drip.product.definition.CalibratableComponent[] aCalibInst)
  223.     {
  224.         try {
  225.             return new org.drip.param.market.DiscountCurveScenarioContainer (aCalibInst);
  226.         } catch (java.lang.Exception e) {
  227.             e.printStackTrace();
  228.         }

  230.         return null;
  231.     }

  233.     /**
  234.      * Create Discount Curve from the Calibration Instruments
  235.      * 
  236.      * @param dt Valuation Date
  237.      * @param strCurrency Currency
  238.      * @param aCalibInst Input Calibration Instruments
  239.      * @param adblCalibQuote Input Calibration Quotes
  240.      * @param astrCalibMeasure Input Calibration Measures
  241.      * @param lsfc Latent State Fixings Container
  242.      * 
  243.      * @return The Calibrated Discount Curve
  244.      */

  246.     public static final org.drip.state.discount.MergedDiscountForwardCurve NonlinearBuild (
  247.         final org.drip.analytics.date.JulianDate dt,
  248.         final java.lang.String strCurrency,
  249.         final org.drip.product.definition.CalibratableComponent[] aCalibInst,
  250.         final double[] adblCalibQuote,
  251.         final java.lang.String[] astrCalibMeasure,
  252.         final org.drip.param.market.LatentStateFixingsContainer lsfc)
  253.     {
  254.         return null == dt ? null : org.drip.state.boot.DiscountCurveScenario.Standard
  255.             (org.drip.param.valuation.ValuationParams.Spot (dt.julian()), aCalibInst, adblCalibQuote,
  256.                 astrCalibMeasure, 0., null, lsfc, null);
  257.     }

  259.     /**
  260.      * Build the Shape Preserving Discount Curve using the Custom Parameters
  261.      * 
  262.      * @param strCurrency Currency
  263.      * @param llsc The Linear Latent State Calibrator Instance
  264.      * @param aStretchSpec Array of the Instrument Representation Stretches
  265.      * @param valParam Valuation Parameters
  266.      * @param pricerParam Pricer Parameters
  267.      * @param csqs Market Parameters
  268.      * @param quotingParam Quoting Parameters
  269.      * @param dblEpochResponse The Starting Response Value
  270.      * 
  271.      * @return Instance of the Shape Preserving Discount Curve
  272.      */

  274.     public static final org.drip.state.discount.MergedDiscountForwardCurve ShapePreservingDFBuild (
  275.         final java.lang.String strCurrency,
  276.         final org.drip.state.inference.LinearLatentStateCalibrator llsc,
  277.         final org.drip.state.inference.LatentStateStretchSpec[] aStretchSpec,
  278.         final org.drip.param.valuation.ValuationParams valParam,
  279.         final org.drip.param.pricer.CreditPricerParams pricerParam,
  280.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  281.         final org.drip.param.valuation.ValuationCustomizationParams quotingParam,
  282.         final double dblEpochResponse)
  283.     {
  284.         if (null == llsc) return null;

  286.         try {
  287.             org.drip.spline.grid.Span spanDF = llsc.calibrateSpan (aStretchSpec, dblEpochResponse, valParam,
  288.                 pricerParam, quotingParam, csqs);

  290.             if (null == spanDF) return null;

  292.             org.drip.state.curve.DiscountFactorDiscountCurve dcdf = new
  293.                 org.drip.state.curve.DiscountFactorDiscountCurve (strCurrency, spanDF);

  295.             return dcdf.setCCIS (new org.drip.analytics.input.LatentStateShapePreservingCCIS (llsc,
  296.                 aStretchSpec, valParam, pricerParam, quotingParam, csqs)) ? dcdf : null;
  297.         } catch (java.lang.Exception e) {
  298.             e.printStackTrace();
  299.         }

  301.         return null;
  302.     }

  304.     /**
  305.      * Build a Globally Smoothed Instance of the Discount Curve using the Custom Parameters
  306.      * 
  307.      * @param dcShapePreserver Instance of the Shape Preserving Discount Curve
  308.      * @param llsc The Linear Latent State Calibrator Instance
  309.      * @param gccp Global Smoothing Curve Control Parameters
  310.      * @param valParam Valuation Parameters
  311.      * @param pricerParam Pricer Parameters
  312.      * @param csqs Market Parameters
  313.      * @param quotingParam Quoting Parameters
  314.      * 
  315.      * @return Globally Smoothed Instance of the Discount Curve
  316.      */

  318.     public static final org.drip.state.discount.MergedDiscountForwardCurve SmoothingGlobalControlBuild (
  319.         final org.drip.state.discount.MergedDiscountForwardCurve dcShapePreserver,
  320.         final org.drip.state.inference.LinearLatentStateCalibrator llsc,
  321.         final org.drip.state.estimator.GlobalControlCurveParams gccp,
  322.         final org.drip.param.valuation.ValuationParams valParam,
  323.         final org.drip.param.pricer.CreditPricerParams pricerParam,
  324.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  325.         final org.drip.param.valuation.ValuationCustomizationParams quotingParam)
  326.     {
  327.         if (null == dcShapePreserver) return null;

  329.         if (null == gccp) return dcShapePreserver;

  331.         java.lang.String strSmootheningQM = gccp.smootheningQuantificationMetric();

  333.         java.util.Map<java.lang.Integer, java.lang.Double> mapQMTruth = dcShapePreserver.canonicalTruthness
  334.             (strSmootheningQM);

  336.         if (null == mapQMTruth) return null;

  338.         int iTruthSize = mapQMTruth.size();

  340.         if (0 == iTruthSize) return null;

  342.         java.util.Set<java.util.Map.Entry<java.lang.Integer, java.lang.Double>> esQMTruth =
  343.             mapQMTruth.entrySet();

  345.         if (null == esQMTruth || 0 == esQMTruth.size()) return null;

  347.         java.lang.String strName = dcShapePreserver.label().fullyQualifiedName();

  349.         int i = 0;
  350.         int[] aiDate = new int[iTruthSize];
  351.         double[] adblQM = new double[iTruthSize];
  352.         org.drip.spline.params.SegmentCustomBuilderControl[] aPRBP = new
  353.             org.drip.spline.params.SegmentCustomBuilderControl[iTruthSize - 1];

  355.         for (java.util.Map.Entry<java.lang.Integer, java.lang.Double> meQMTruth : esQMTruth) {
  356.             if (null == meQMTruth) return null;

  358.             if (0 != i) aPRBP[i - 1] = gccp.defaultSegmentBuilderControl();

  360.             aiDate[i] = meQMTruth.getKey();

  362.             adblQM[i++] = meQMTruth.getValue();

  364.             if (s_bBlog)
  365.                 System.out.println ("\t\t" + new org.drip.analytics.date.JulianDate (meQMTruth.getKey()) +
  366.                     " = " + meQMTruth.getValue());
  367.         }

  369.         try {
  370.             org.drip.spline.stretch.MultiSegmentSequence stretch =
  371.                 org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  372.                     (strName + "_STRETCH", aiDate, adblQM, aPRBP, gccp.bestFitWeightedResponse(),
  373.                         gccp.calibrationBoundaryCondition(), gccp.calibrationDetail());

  375.             org.drip.state.discount.MergedDiscountForwardCurve dcMultiPass = null;

  377.             if (org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR.equalsIgnoreCase
  378.                 (strSmootheningQM))
  379.                 dcMultiPass = new org.drip.state.curve.DiscountFactorDiscountCurve (strName, new
  380.                     org.drip.spline.grid.OverlappingStretchSpan (stretch));
  381.             else if
  382.                 (org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE.equalsIgnoreCase
  383.                 (strSmootheningQM))
  384.                 dcMultiPass = new org.drip.state.curve.ZeroRateDiscountCurve (strName, new
  385.                     org.drip.spline.grid.OverlappingStretchSpan (stretch));

  387.             return dcMultiPass;
  388.         } catch (java.lang.Exception e) {
  389.             e.printStackTrace();
  390.         }

  392.         return null;
  393.     }

  395.     /**
  396.      * Build a Locally Smoothed Instance of the Discount Curve using the Custom Parameters
  397.      * 
  398.      * @param dcShapePreserver Instance of the Shape Preserving Discount Curve
  399.      * @param llsc The Linear Latent State Calibrator Instance
  400.      * @param lccp Local Smoothing Curve Control Parameters
  401.      * @param valParam Valuation Parameters
  402.      * @param pricerParam Pricer Parameters
  403.      * @param csqs Market Parameters
  404.      * @param quotingParam Quoting Parameters
  405.      * 
  406.      * @return Locally Smoothed Instance of the Discount Curve
  407.      */

  409.     public static final org.drip.state.discount.MergedDiscountForwardCurve SmoothingLocalControlBuild (
  410.         final org.drip.state.discount.MergedDiscountForwardCurve dcShapePreserver,
  411.         final org.drip.state.inference.LinearLatentStateCalibrator llsc,
  412.         final org.drip.state.estimator.LocalControlCurveParams lccp,
  413.         final org.drip.param.valuation.ValuationParams valParam,
  414.         final org.drip.param.pricer.CreditPricerParams pricerParam,
  415.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  416.         final org.drip.param.valuation.ValuationCustomizationParams quotingParam)
  417.     {
  418.         if (null == dcShapePreserver) return null;

  420.         if (null == lccp) return dcShapePreserver;

  422.         java.lang.String strSmootheningQM = lccp.smootheningQuantificationMetric();

  424.         java.util.Map<java.lang.Integer, java.lang.Double> mapQMTruth = dcShapePreserver.canonicalTruthness
  425.             (strSmootheningQM);

  427.         if (null == mapQMTruth) return null;

  429.         int iTruthSize = mapQMTruth.size();

  431.         if (0 == iTruthSize) return null;

  433.         java.util.Set<java.util.Map.Entry<java.lang.Integer, java.lang.Double>> esQMTruth =
  434.             mapQMTruth.entrySet();

  436.         if (null == esQMTruth || 0 == esQMTruth.size()) return null;

  438.         java.lang.String strName = dcShapePreserver.label().fullyQualifiedName();

  440.         int i = 0;
  441.         int[] aiDate = new int[iTruthSize];
  442.         double[] adblQM = new double[iTruthSize];
  443.         org.drip.spline.params.SegmentCustomBuilderControl[] aPRBP = new
  444.             org.drip.spline.params.SegmentCustomBuilderControl[iTruthSize - 1];

  446.         for (java.util.Map.Entry<java.lang.Integer, java.lang.Double> meQMTruth : esQMTruth) {
  447.             if (null == meQMTruth) return null;

  449.             if (0 != i) aPRBP[i - 1] = lccp.defaultSegmentBuilderControl();

  451.             aiDate[i] = meQMTruth.getKey();

  453.             adblQM[i++] = meQMTruth.getValue();

  455.             if (s_bBlog)
  456.                 System.out.println ("\t\t" + new org.drip.analytics.date.JulianDate (meQMTruth.getKey()) +
  457.                     " = " + meQMTruth.getValue());
  458.         }

  460.         try {
  461.             org.drip.spline.pchip.LocalMonotoneCkGenerator lcr =
  462.                 org.drip.spline.pchip.LocalMonotoneCkGenerator.Create (aiDate, adblQM,
  463.                     lccp.C1GeneratorScheme(), lccp.eliminateSpuriousExtrema(), lccp.applyMonotoneFilter());

  465.             if (null == lcr) return null;

  467.             org.drip.spline.stretch.MultiSegmentSequence stretch =
  468.                 org.drip.spline.pchip.LocalControlStretchBuilder.CustomSlopeHermiteSpline (strName +
  469.                     "_STRETCH", aiDate, adblQM, lcr.C1(), aPRBP, lccp.bestFitWeightedResponse(),
  470.                         lccp.calibrationDetail());

  472.             org.drip.state.discount.MergedDiscountForwardCurve dcMultiPass = null;

  474.             if (org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR.equalsIgnoreCase
  475.                 (strSmootheningQM))
  476.                 dcMultiPass = new org.drip.state.curve.DiscountFactorDiscountCurve (strName, new
  477.                     org.drip.spline.grid.OverlappingStretchSpan (stretch));
  478.             else if
  479.                 (org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE.equalsIgnoreCase
  480.                 (strSmootheningQM))
  481.                 dcMultiPass = new org.drip.state.curve.ZeroRateDiscountCurve (strName, new
  482.                     org.drip.spline.grid.OverlappingStretchSpan (stretch));

  484.             return dcMultiPass;
  485.         } catch (java.lang.Exception e) {
  486.             e.printStackTrace();
  487.         }

  489.         return null;
  490.     }

  492.     /**
  493.      * Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
  494.      *  builder parameters.
  495.      * 
  496.      * @param strName Curve Name
  497.      * @param valParams Valuation Parameters
  498.      * @param pricerParam Pricer Parameters
  499.      * @param csqs Market Parameters
  500.      * @param quotingParam Quoting Parameters
  501.      * @param strBasisType The Basis Type
  502.      * @param fsbp The Function Set Basis Parameters
  503.      * @param aCalibComp1 Array of Calibration Components #1
  504.      * @param adblQuote1 Array of Calibration Quotes #1
  505.      * @param astrManifestMeasure1 Array of Manifest Measures for component Array #1
  506.      * @param aCalibComp2 Array of Calibration Components #2
  507.      * @param adblQuote2 Array of Calibration Quotes #2
  508.      * @param astrManifestMeasure2 Array of Manifest Measures for component Array #2
  509.      * @param dblEpochResponse The Stretch Start DF
  510.      * @param bZeroSmooth TRUE - Turn on the Zero Rate Smoothing
  511.      * 
  512.      * @return Instance of the Shape Preserver of the desired basis type
  513.      */

  515.     public static final org.drip.state.discount.MergedDiscountForwardCurve DFRateShapePreserver (
  516.         final java.lang.String strName,
  517.         final org.drip.param.valuation.ValuationParams valParams,
  518.         final org.drip.param.pricer.CreditPricerParams pricerParam,
  519.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  520.         final org.drip.param.valuation.ValuationCustomizationParams quotingParam,
  521.         final java.lang.String strBasisType,
  522.         final org.drip.spline.basis.FunctionSetBuilderParams fsbp,
  523.         final org.drip.product.definition.CalibratableComponent[] aCalibComp1,
  524.         final double[] adblQuote1,
  525.         final java.lang.String[] astrManifestMeasure1,
  526.         final org.drip.product.definition.CalibratableComponent[] aCalibComp2,
  527.         final double[] adblQuote2,
  528.         final java.lang.String[] astrManifestMeasure2,
  529.         final double dblEpochResponse,
  530.         final boolean bZeroSmooth)
  531.     {
  532.         if (null == strName || strName.isEmpty() || null == strBasisType || strBasisType.isEmpty() || null ==
  533.             valParams || null == fsbp)
  534.             return null;

  536.         int iNumQuote1 = null == adblQuote1 ? 0 : adblQuote1.length;
  537.         int iNumQuote2 = null == adblQuote2 ? 0 : adblQuote2.length;
  538.         int iNumComp1 = null == aCalibComp1 ? 0 : aCalibComp1.length;
  539.         int iNumComp2 = null == aCalibComp2 ? 0 : aCalibComp2.length;
  540.         org.drip.state.estimator.LocalControlCurveParams lccp = null;
  541.         org.drip.state.inference.LinearLatentStateCalibrator llsc = null;
  542.         org.drip.state.inference.LatentStateStretchSpec stretchSpec1 = null;
  543.         org.drip.state.inference.LatentStateStretchSpec stretchSpec2 = null;
  544.         org.drip.state.representation.LatentStateSpecification[] aLSS = null;
  545.         org.drip.state.inference.LatentStateStretchSpec[] aStretchSpec = null;
  546.         org.drip.state.representation.LatentStateSpecification lssFunding = null;
  547.         org.drip.state.discount.MergedDiscountForwardCurve dcShapePreserving = null;
  548.         int iNumManifestMeasures1 = null == astrManifestMeasure1 ? 0 : astrManifestMeasure1.length;
  549.         int iNumManifestMeasures2 = null == astrManifestMeasure2 ? 0 : astrManifestMeasure2.length;
  550.         org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.ForwardLabel>
  551.             mapForwardLabel = null;

  553.         if ((0 == iNumComp1 && 0 == iNumComp2) || iNumComp1 != iNumQuote1 || iNumComp2 != iNumQuote2 ||
  554.             iNumComp1 != iNumManifestMeasures1 || iNumComp2 != iNumManifestMeasures2)
  555.             return null;

  557.         java.lang.String strCurrency = (0 == iNumComp1 ? aCalibComp2 : aCalibComp1)[0].payCurrency();

  559.         try {
  560.             lssFunding = new org.drip.state.representation.LatentStateSpecification
  561.                 (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FUNDING,
  562.                     org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_DISCOUNT_FACTOR,
  563.                         org.drip.state.identifier.FundingLabel.Standard (strCurrency));
  564.         } catch (java.lang.Exception e) {
  565.             e.printStackTrace();

  567.             return null;
  568.         }

  570.         if (0 != iNumComp1) mapForwardLabel = aCalibComp1[0].forwardLabel();

  572.         if (null == mapForwardLabel && 0 != iNumComp2) mapForwardLabel = aCalibComp2[0].forwardLabel();

  574.         if (null == mapForwardLabel || 0 == mapForwardLabel.size())
  575.             aLSS = new org.drip.state.representation.LatentStateSpecification[] {lssFunding};
  576.         else {
  577.             try {
  578.                 aLSS = new org.drip.state.representation.LatentStateSpecification[] {lssFunding, new
  579.                     org.drip.state.representation.LatentStateSpecification
  580.                         (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FORWARD,
  581.                             org.drip.analytics.definition.LatentStateStatic.FORWARD_QM_FORWARD_RATE,
  582.                                 mapForwardLabel.get ("DERIVED"))};
  583.             } catch (java.lang.Exception e) {
  584.                 e.printStackTrace();

  586.                 return null;
  587.             }
  588.         }

  590.         if (0 != iNumComp1) {
  591.             org.drip.state.inference.LatentStateSegmentSpec[] aSegmentSpec = new
  592.                 org.drip.state.inference.LatentStateSegmentSpec[iNumComp1];

  594.             try {
  595.                 for (int i = 0; i < iNumComp1; ++i) {
  596.                     org.drip.product.calib.ProductQuoteSet pqs = aCalibComp1[i].calibQuoteSet (aLSS);

  598.                     if (null == pqs || !pqs.set (astrManifestMeasure1[i], adblQuote1[i])) return null;

  600.                     aSegmentSpec[i] = new org.drip.state.inference.LatentStateSegmentSpec (aCalibComp1[i],
  601.                         pqs);
  602.                 }

  604.                 stretchSpec1 = new org.drip.state.inference.LatentStateStretchSpec (strName + "_COMP1",
  605.                     aSegmentSpec);
  606.             } catch (java.lang.Exception e) {
  607.                 e.printStackTrace();

  609.                 return null;
  610.             }
  611.         }

  613.         if (0 != iNumComp2) {
  614.             org.drip.state.inference.LatentStateSegmentSpec[] aSegmentSpec = new
  615.                 org.drip.state.inference.LatentStateSegmentSpec[iNumComp2];

  617.             try {
  618.                 for (int i = 0; i < iNumComp2; ++i) {
  619.                     org.drip.product.calib.ProductQuoteSet pqs = aCalibComp2[i].calibQuoteSet (aLSS);

  621.                     if (null == pqs || !pqs.set (astrManifestMeasure2[i], adblQuote2[i])) return null;

  623.                     aSegmentSpec[i] = new org.drip.state.inference.LatentStateSegmentSpec (aCalibComp2[i],
  624.                         pqs);
  625.                 }

  627.                 stretchSpec2 = new org.drip.state.inference.LatentStateStretchSpec (strName + "_COMP2",
  628.                     aSegmentSpec);
  629.             } catch (java.lang.Exception e) {
  630.                 e.printStackTrace();

  632.                 return null;
  633.             }
  634.         }

  636.         if (null == stretchSpec1 && null == stretchSpec2) return null;

  638.         if (null == stretchSpec1)
  639.             aStretchSpec = new org.drip.state.inference.LatentStateStretchSpec[] {stretchSpec2};
  640.         else if (null == stretchSpec2)
  641.             aStretchSpec = new org.drip.state.inference.LatentStateStretchSpec[] {stretchSpec1};
  642.         else
  643.             aStretchSpec = new org.drip.state.inference.LatentStateStretchSpec[] {stretchSpec1,
  644.                 stretchSpec2};

  646.         try {
  647.             llsc = new org.drip.state.inference.LinearLatentStateCalibrator (new
  648.                 org.drip.spline.params.SegmentCustomBuilderControl (strBasisType, fsbp,
  649.                     org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), new
  650.                         org.drip.spline.params.ResponseScalingShapeControl (true, new
  651.                             org.drip.function.r1tor1.QuadraticRationalShapeControl (0.)), null),
  652.                                 org.drip.spline.stretch.BoundarySettings.NaturalStandard(),
  653.                                     org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE, null, null);

  655.             dcShapePreserving = ShapePreservingDFBuild (strCurrency, llsc, aStretchSpec, valParams,
  656.                 pricerParam, csqs, quotingParam, dblEpochResponse);
  657.         } catch (java.lang.Exception e) {
  658.             e.printStackTrace();

  660.             return null;
  661.         }

  663.         if (!bZeroSmooth) return dcShapePreserving;

  665.         try {
  666.             lccp = new org.drip.state.estimator.LocalControlCurveParams
  667.                 (org.drip.spline.pchip.LocalMonotoneCkGenerator.C1_HYMAN83,
  668.                     org.drip.analytics.definition.LatentStateStatic.DISCOUNT_QM_ZERO_RATE, new
  669.                         org.drip.spline.params.SegmentCustomBuilderControl
  670.                             (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  671.                                 org.drip.spline.basis.PolynomialFunctionSetParams (4),
  672.                                     org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), new
  673.                                         org.drip.spline.params.ResponseScalingShapeControl (true, new
  674.                                             org.drip.function.r1tor1.QuadraticRationalShapeControl (0.)),
  675.                                                 null),
  676.                                                     org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE,
  677.                                                         null, null, true, true);
  678.         } catch (java.lang.Exception e) {
  679.             e.printStackTrace();

  681.             return null;
  682.         }

  684.         return SmoothingLocalControlBuild (dcShapePreserving, llsc, lccp, valParams, null, null, null);
  685.     }

  687.     /**
  688.      * Construct an instance of the Shape Preserver of the KLK Hyperbolic Tension Type, using the specified
  689.      *  basis set builder parameters.
  690.      * 
  691.      * @param strName Curve Name
  692.      * @param valParams Valuation Parameters
  693.      * @param aCalibComp1 Array of Calibration Components #1
  694.      * @param adblQuote1 Array of Calibration Quotes #1
  695.      * @param astrManifestMeasure1 Array of Manifest Measures for component Array #1
  696.      * @param aCalibComp2 Array of Calibration Components #2
  697.      * @param adblQuote2 Array of Calibration Quotes #2
  698.      * @param astrManifestMeasure2 Array of Manifest Measures for component Array #2
  699.      * @param bZeroSmooth TRUE - Turn on the Zero Rate Smoothing
  700.      * 
  701.      * @return Instance of the Shape Preserver of the desired basis type
  702.      */

  704.     public static final org.drip.state.discount.MergedDiscountForwardCurve CubicKLKHyperbolicDFRateShapePreserver (
  705.         final java.lang.String strName,
  706.         final org.drip.param.valuation.ValuationParams valParams,
  707.         final org.drip.product.definition.CalibratableComponent[] aCalibComp1,
  708.         final double[] adblQuote1,
  709.         final java.lang.String[] astrManifestMeasure1,
  710.         final org.drip.product.definition.CalibratableComponent[] aCalibComp2,
  711.         final double[] adblQuote2,
  712.         final java.lang.String[] astrManifestMeasure2,
  713.         final boolean bZeroSmooth)
  714.     {
  715.         try {
  716.             return DFRateShapePreserver (strName, valParams, null, null, null,
  717.                 org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_HYPERBOLIC_TENSION, new
  718.                     org.drip.spline.basis.ExponentialTensionSetParams (1.), aCalibComp1, adblQuote1,
  719.                         astrManifestMeasure1, aCalibComp2, adblQuote2, astrManifestMeasure2, 1.,
  720.                             bZeroSmooth);
  721.         } catch (java.lang.Exception e) {
  722.             e.printStackTrace();
  723.         }

  725.         return null;
  726.     }

  728.     /**
  729.      * Construct an instance of the Shape Preserver of the Cubic Polynomial Type, using the specified
  730.      *  basis set builder parameters.
  731.      * 
  732.      * @param strName Curve Name
  733.      * @param valParams Valuation Parameters
  734.      * @param aCalibComp1 Array of Calibration Components #1
  735.      * @param adblQuote1 Array of Calibration Quotes #1
  736.      * @param astrManifestMeasure1 Array of Manifest Measures for component Array #1
  737.      * @param aCalibComp2 Array of Calibration Components #2
  738.      * @param adblQuote2 Array of Calibration Quotes #2
  739.      * @param astrManifestMeasure2 Array of Manifest Measures for component Array #2
  740.      * @param bZeroSmooth TRUE - Turn on the Zero Rate Smoothing
  741.      * 
  742.      * @return Instance of the Shape Preserver of the desired basis type
  743.      */

  745.     public static final org.drip.state.discount.MergedDiscountForwardCurve CubicPolyDFRateShapePreserver (
  746.         final java.lang.String strName,
  747.         final org.drip.param.valuation.ValuationParams valParams,
  748.         final org.drip.product.definition.CalibratableComponent[] aCalibComp1,
  749.         final double[] adblQuote1,
  750.         final java.lang.String[] astrManifestMeasure1,
  751.         final org.drip.product.definition.CalibratableComponent[] aCalibComp2,
  752.         final double[] adblQuote2,
  753.         final java.lang.String[] astrManifestMeasure2,
  754.         final boolean bZeroSmooth)
  755.     {
  756.         try {
  757.             return DFRateShapePreserver (strName, valParams, null, null, null,
  758.                 org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  759.                     org.drip.spline.basis.PolynomialFunctionSetParams (4), aCalibComp1, adblQuote1,
  760.                         astrManifestMeasure1, aCalibComp2, adblQuote2, astrManifestMeasure2, 1.,
  761.                             bZeroSmooth);
  762.         } catch (java.lang.Exception e) {
  763.             e.printStackTrace();
  764.         }

  766.         return null;
  767.     }

  769.     /**
  770.      * Customizable DENSE Curve Creation Methodology - the references are:
  771.      * 
  772.      *  - Sankar, L. (1997): OFUTS – An Alternative Yield Curve Interpolator F. A. S. T. Research
  773.      *      Documentation Bear Sterns.
  774.      *  
  775.      *  - Nahum, E. (2004): Changes to Yield Curve Construction – Linear Stripping of the Short End of the
  776.      *      Curve F. A. S. T. Research Documentation Bear Sterns.
  777.      *  
  778.      *  - Kinlay, J., and X. Bai (2009): Yield Curve Construction Models – Tools and Techniques 
  779.      *      (http://www.jonathankinlay.com/Articles/Yield Curve Construction Models.pdf)
  780.      *  
  781.      * @param strName The Curve Name
  782.      * @param valParams Valuation Parameters
  783.      * @param aCalibComp1 Array of Stretch #1 Calibration Components
  784.      * @param adblQuote1 Array of Stretch #1 Calibration Quotes
  785.      * @param strTenor1 Stretch #1 Instrument set re-construction Tenor
  786.      * @param astrManifestMeasure1 Array of Manifest Measures for component Array #1
  787.      * @param aCalibComp2 Array of Stretch #2 Calibration Components
  788.      * @param adblQuote2 Array of Stretch #2 Calibration Quotes
  789.      * @param strTenor2 Stretch #2 Instrument set re-construction Tenor
  790.      * @param astrManifestMeasure2 Array of Manifest Measures for component Array #2
  791.      * @param tldf The Turns List
  792.      * 
  793.      * @return The Customized DENSE Curve.
  794.      */

  796.     public static final org.drip.state.discount.MergedDiscountForwardCurve CustomDENSE (
  797.         final java.lang.String strName,
  798.         final org.drip.param.valuation.ValuationParams valParams,
  799.         final org.drip.product.definition.CalibratableComponent[] aCalibComp1,
  800.         final double[] adblQuote1,
  801.         final java.lang.String strTenor1,
  802.         final java.lang.String[] astrManifestMeasure1,
  803.         final org.drip.product.definition.CalibratableComponent[] aCalibComp2,
  804.         final double[] adblQuote2,
  805.         final java.lang.String strTenor2,
  806.         final java.lang.String[] astrManifestMeasure2,
  807.         final org.drip.state.discount.TurnListDiscountFactor tldf)
  808.     {
  809.         org.drip.state.discount.MergedDiscountForwardCurve dcShapePreserver = CubicKLKHyperbolicDFRateShapePreserver
  810.             (strName, valParams, aCalibComp1, adblQuote1, astrManifestMeasure1, aCalibComp2, adblQuote2,
  811.                 astrManifestMeasure2, false);

  813.         if (null == dcShapePreserver || (null != tldf && !dcShapePreserver.setTurns (tldf))) return null;

  815.         org.drip.param.market.CurveSurfaceQuoteContainer csqs = org.drip.param.creator.MarketParamsBuilder.Create
  816.             (dcShapePreserver, null, null, null, null, null, null);

  818.         if (null == csqs) return null;

  820.         CompQuote[] aCQ1 = null;

  822.         java.lang.String strCurrency = aCalibComp1[0].payCurrency();

  824.         if (null == strTenor1 || strTenor1.isEmpty()) {
  825.             if (null != aCalibComp1) {
  826.                 int iNumComp1 = aCalibComp1.length;

  828.                 if (0 != iNumComp1) {
  829.                     aCQ1 = new CompQuote[iNumComp1];

  831.                     for (int i = 0; i < iNumComp1; ++i)
  832.                         aCQ1[i] = new CompQuote (aCalibComp1[i], adblQuote1[i]);
  833.                 }
  834.             }
  835.         } else
  836.             aCQ1 = CompQuote (valParams, csqs, strCurrency, aCalibComp1[0].effectiveDate(),
  837.                 aCalibComp1[0].maturityDate(), aCalibComp1[aCalibComp1.length - 1].maturityDate(), strTenor1,
  838.                     false);

  840.         if (null == strTenor2 || strTenor2.isEmpty()) return dcShapePreserver;

  842.         CompQuote[] aCQ2 = CompQuote (valParams, csqs, strCurrency, aCalibComp2[0].effectiveDate(),
  843.             aCalibComp2[0].maturityDate(), aCalibComp2[aCalibComp2.length - 1].maturityDate(), strTenor2,
  844.                 true);

  846.         int iNumDENSEComp1 = null == aCQ1 ? 0 : aCQ1.length;
  847.         int iNumDENSEComp2 = null == aCQ2 ? 0 : aCQ2.length;
  848.         int iTotalNumDENSEComp = iNumDENSEComp1 + iNumDENSEComp2;

  850.         if (0 == iTotalNumDENSEComp) return null;

  852.         double[] adblCalibQuote = new double[iTotalNumDENSEComp];
  853.         java.lang.String[] astrCalibMeasure = new java.lang.String[iTotalNumDENSEComp];
  854.         org.drip.product.definition.CalibratableComponent[] aCalibComp = new
  855.             org.drip.product.definition.CalibratableComponent[iTotalNumDENSEComp];

  857.         for (int i = 0; i < iNumDENSEComp1; ++i) {
  858.             astrCalibMeasure[i] = "Rate";
  859.             aCalibComp[i] = aCQ1[i]._comp;
  860.             adblCalibQuote[i] = aCQ1[i]._dblQuote;
  861.         }

  863.         for (int i = iNumDENSEComp1; i < iTotalNumDENSEComp; ++i) {
  864.             astrCalibMeasure[i] = "Rate";
  865.             aCalibComp[i] = aCQ2[i - iNumDENSEComp1]._comp;
  866.             adblCalibQuote[i] = aCQ2[i - iNumDENSEComp1]._dblQuote;
  867.         }

  869.         try {
  870.             return ScenarioDiscountCurveBuilder.NonlinearBuild (new org.drip.analytics.date.JulianDate
  871.                 (valParams.valueDate()), strCurrency, aCalibComp, adblCalibQuote, astrCalibMeasure, null);
  872.         } catch (java.lang.Exception e) {
  873.             e.printStackTrace();
  874.         }

  876.         return null;
  877.     }

  879.     /**
  880.      * The Standard DENSE Curve Creation Methodology - this uses no re-construction set for the short term,
  881.      *  and uses 3M dense re-construction for the Swap Set. The references are:
  882.      * 
  883.      *  - Sankar, L. (1997): OFUTS – An Alternative Yield Curve Interpolator F. A. S. T. Research
  884.      *      Documentation Bear Sterns.
  885.      *  
  886.      *  - Nahum, E. (2004): Changes to Yield Curve Construction – Linear Stripping of the Short End of the
  887.      *      Curve F. A. S. T. Research Documentation Bear Sterns.
  888.      *  
  889.      *  - Kinlay, J., and X. Bai (2009): Yield Curve Construction Models – Tools and Techniques 
  890.      *      (http://www.jonathankinlay.com/Articles/Yield Curve Construction Models.pdf)
  891.      *  
  892.      * @param strName The Curve Name
  893.      * @param valParams Valuation Parameters
  894.      * @param aCalibComp1 Array of Stretch #1 Calibration Components
  895.      * @param adblQuote1 Array of Stretch #1 Calibration Quotes
  896.      * @param astrManifestMeasure1 Array of Manifest Measures for component Array #1
  897.      * @param aCalibComp2 Array of Stretch #2 Calibration Components
  898.      * @param adblQuote2 Array of Stretch #2 Calibration Quotes
  899.      * @param astrManifestMeasure2 Array of Manifest Measures for component Array #2
  900.      * @param tldf The Turns List
  901.      * 
  902.      * @return The Customized DENSE Curve.
  903.      */

  905.     public static final org.drip.state.discount.MergedDiscountForwardCurve DENSE (
  906.         final java.lang.String strName,
  907.         final org.drip.param.valuation.ValuationParams valParams,
  908.         final org.drip.product.definition.CalibratableComponent[] aCalibComp1,
  909.         final double[] adblQuote1,
  910.         final java.lang.String[] astrManifestMeasure1,
  911.         final org.drip.product.definition.CalibratableComponent[] aCalibComp2,
  912.         final double[] adblQuote2,
  913.         final java.lang.String[] astrManifestMeasure2,
  914.         final org.drip.state.discount.TurnListDiscountFactor tldf)
  915.     {
  916.         return CustomDENSE (strName, valParams, aCalibComp1, adblQuote1, null, astrManifestMeasure1,
  917.             aCalibComp2, adblQuote2, "3M", astrManifestMeasure2, tldf);
  918.     }

  920.     /**
  921.      * The DUAL DENSE Curve Creation Methodology - this uses configurable re-construction set for the short
  922.      *  term, and another configurable re-construction for the Swap Set. 1D re-construction tenor for the
  923.      *  short end will result in CDF (Constant Daily Forward) Discount Curve. The references are:
  924.      * 
  925.      *  - Sankar, L. (1997): OFUTS – An Alternative Yield Curve Interpolator F. A. S. T. Research
  926.      *      Documentation Bear Sterns.
  927.      *  
  928.      *  - Nahum, E. (2004): Changes to Yield Curve Construction – Linear Stripping of the Short End of the
  929.      *      Curve F. A. S. T. Research Documentation Bear Sterns.
  930.      *  
  931.      *  - Kinlay, J., and X. Bai (2009): Yield Curve Construction Models – Tools and Techniques 
  932.      *      (http://www.jonathankinlay.com/Articles/Yield Curve Construction Models.pdf)
  933.      *  
  934.      * @param strName The Curve Name
  935.      * @param valParams Valuation Parameters
  936.      * @param aCalibComp1 Array of Stretch #1 Calibration Components
  937.      * @param adblQuote1 Array of Stretch #1 Calibration Quotes
  938.      * @param strTenor1 Stretch #1 Instrument set re-construction Tenor
  939.      * @param astrManifestMeasure1 Array of Manifest Measures for component Array #1
  940.      * @param aCalibComp2 Array of Stretch #2 Calibration Components
  941.      * @param adblQuote2 Array of Stretch #2 Calibration Quotes
  942.      * @param strTenor2 Stretch #2 Instrument set re-construction Tenor
  943.      * @param astrManifestMeasure2 Array of Manifest Measures for component Array #2
  944.      * @param tldf The Turns List
  945.      * 
  946.      * @return The Customized DENSE Curve.
  947.      */

  949.     public static final org.drip.state.discount.MergedDiscountForwardCurve DUALDENSE (
  950.         final java.lang.String strName,
  951.         final org.drip.param.valuation.ValuationParams valParams,
  952.         final org.drip.product.definition.CalibratableComponent[] aCalibComp1,
  953.         final double[] adblQuote1,
  954.         final java.lang.String strTenor1,
  955.         final java.lang.String[] astrManifestMeasure1,
  956.         final org.drip.product.definition.CalibratableComponent[] aCalibComp2,
  957.         final double[] adblQuote2,
  958.         final java.lang.String strTenor2,
  959.         final java.lang.String[] astrManifestMeasure2,
  960.         final org.drip.state.discount.TurnListDiscountFactor tldf)
  961.     {
  962.         return CustomDENSE (strName, valParams, aCalibComp1, adblQuote1, strTenor1, astrManifestMeasure1,
  963.             aCalibComp2, adblQuote2, strTenor2, astrManifestMeasure2, tldf);
  964.     }

  966.     /**
  967.      * Create an Instance of the Custom Splined Discount Curve
  968.      * 
  969.      * @param strName Curve Name
  970.      * @param dtStart Tenor Start Date
  971.      * @param strCurrency The Currency
  972.      * @param aiDate Array of Dates
  973.      * @param adblDF Array of Discount Factors
  974.      * @param scbc The Segment Custom Builder Control
  975.      * 
  976.      * @return The Instance of the Basis Curve
  977.      */

  979.     public static final org.drip.state.discount.MergedDiscountForwardCurve CustomSplineDiscountCurve (
  980.         final java.lang.String strName,
  981.         final org.drip.analytics.date.JulianDate dtStart,
  982.         final java.lang.String strCurrency,
  983.         final int[] aiDate,
  984.         final double[] adblDF,
  985.         final org.drip.spline.params.SegmentCustomBuilderControl scbc)
  986.     {
  987.         if (null == strName || strName.isEmpty() || null == aiDate || null == dtStart) return null;

  989.         int iNumDate = aiDate.length;

  991.         if (0 == iNumDate) return null;

  993.         double[] adblResponseValue = new double[iNumDate + 1];
  994.         double[] adblPredictorOrdinate = new double[iNumDate + 1];
  995.         org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC = new
  996.             org.drip.spline.params.SegmentCustomBuilderControl[iNumDate];

  998.         for (int i = 0; i <= iNumDate; ++i) {
  999.             adblPredictorOrdinate[i] = 0 == i ? dtStart.julian() : aiDate[i - 1];

  1001.             adblResponseValue[i] = 0 == i ? 1. : adblDF[i - 1];

  1003.             if (0 != i) aSCBC[i - 1] = scbc;
  1004.         }

  1006.         try {
  1007.             return new org.drip.state.curve.DiscountFactorDiscountCurve (strCurrency, new
  1008.                 org.drip.spline.grid.OverlappingStretchSpan
  1009.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  1010.                         (strName, adblPredictorOrdinate, adblResponseValue, aSCBC, null,
  1011.                             org.drip.spline.stretch.BoundarySettings.NaturalStandard(),
  1012.                                 org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE)));
  1013.         } catch (java.lang.Exception e) {
  1014.             e.printStackTrace();
  1015.         }

  1017.         return null;
  1018.     }

  1020.     /**
  1021.      * Create an Instance of the Cubic Polynomial Splined DF Discount Curve
  1022.      * 
  1023.      * @param strName Curve Name
  1024.      * @param dtStart Tenor Start Date
  1025.      * @param strCurrency The Currency
  1026.      * @param aiDate Array of Dates
  1027.      * @param adblDF Array of Discount Factors
  1028.      * 
  1029.      * @return The Instance of the Discount Curve
  1030.      */

  1032.     public static final org.drip.state.discount.MergedDiscountForwardCurve CubicPolynomialDiscountCurve (
  1033.         final java.lang.String strName,
  1034.         final org.drip.analytics.date.JulianDate dtStart,
  1035.         final java.lang.String strCurrency,
  1036.         final int[] aiDate,
  1037.         final double[] adblDF)
  1038.     {
  1039.         try {
  1040.             return CustomSplineDiscountCurve (strName, dtStart, strCurrency, aiDate, adblDF, new
  1041.                 org.drip.spline.params.SegmentCustomBuilderControl
  1042.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  1043.                         org.drip.spline.basis.PolynomialFunctionSetParams (4),
  1044.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  1045.         } catch (java.lang.Exception e) {
  1046.             e.printStackTrace();
  1047.         }

  1049.         return null;
  1050.     }

  1052.     /**
  1053.      * Create an Instance of the Quartic Polynomial Splined DF Discount Curve
  1054.      * 
  1055.      * @param strName Curve Name
  1056.      * @param dtStart Tenor Start Date
  1057.      * @param strCurrency The Currency
  1058.      * @param aiDate Array of Dates
  1059.      * @param adblDF Array of Discount Factors
  1060.      * 
  1061.      * @return The Instance of the Discount Curve
  1062.      */

  1064.     public static final org.drip.state.discount.MergedDiscountForwardCurve QuarticPolynomialDiscountCurve (
  1065.         final java.lang.String strName,
  1066.         final org.drip.analytics.date.JulianDate dtStart,
  1067.         final java.lang.String strCurrency,
  1068.         final int[] aiDate,
  1069.         final double[] adblDF)
  1070.     {
  1071.         try {
  1072.             return CustomSplineDiscountCurve (strName, dtStart, strCurrency, aiDate, adblDF, new
  1073.                 org.drip.spline.params.SegmentCustomBuilderControl
  1074.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  1075.                         org.drip.spline.basis.PolynomialFunctionSetParams (5),
  1076.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  1077.         } catch (java.lang.Exception e) {
  1078.             e.printStackTrace();
  1079.         }

  1081.         return null;
  1082.     }

  1084.     /**
  1085.      * Create an Instance of the Kaklis-Pandelis Splined DF Discount Curve
  1086.      * 
  1087.      * @param strName Curve Name
  1088.      * @param dtStart Tenor Start Date
  1089.      * @param strCurrency The Currency
  1090.      * @param aiDate Array of Dates
  1091.      * @param adblDF Array of Discount Factors
  1092.      * 
  1093.      * @return The Instance of the Discount Curve
  1094.      */

  1096.     public static final org.drip.state.discount.MergedDiscountForwardCurve KaklisPandelisDiscountCurve (
  1097.         final java.lang.String strName,
  1098.         final org.drip.analytics.date.JulianDate dtStart,
  1099.         final java.lang.String strCurrency,
  1100.         final int[] aiDate,
  1101.         final double[] adblDF)
  1102.     {
  1103.         try {
  1104.             return CustomSplineDiscountCurve (strName, dtStart, strCurrency, aiDate, adblDF, new
  1105.                 org.drip.spline.params.SegmentCustomBuilderControl
  1106.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KAKLIS_PANDELIS, new
  1107.                         org.drip.spline.basis.KaklisPandelisSetParams (2),
  1108.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  1109.         } catch (java.lang.Exception e) {
  1110.             e.printStackTrace();
  1111.         }

  1113.         return null;
  1114.     }

  1116.     /**
  1117.      * Create an Instance of the KLK Hyperbolic Splined DF Discount Curve
  1118.      * 
  1119.      * @param strName Curve Name
  1120.      * @param dtStart Tenor Start Date
  1121.      * @param strCurrency The Currency
  1122.      * @param aiDate Array of Dates
  1123.      * @param adblDF Array of Discount Factors
  1124.      * @param dblTension The Tension Parameter
  1125.      * 
  1126.      * @return The Instance of the Discount Curve
  1127.      */

  1129.     public static final org.drip.state.discount.MergedDiscountForwardCurve KLKHyperbolicDiscountCurve (
  1130.         final java.lang.String strName,
  1131.         final org.drip.analytics.date.JulianDate dtStart,
  1132.         final java.lang.String strCurrency,
  1133.         final int[] aiDate,
  1134.         final double[] adblDF,
  1135.         final double dblTension)
  1136.     {
  1137.         try {
  1138.             return CustomSplineDiscountCurve (strName, dtStart, strCurrency, aiDate, adblDF, new
  1139.                 org.drip.spline.params.SegmentCustomBuilderControl
  1140.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_HYPERBOLIC_TENSION,
  1141.                         new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  1142.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  1143.         } catch (java.lang.Exception e) {
  1144.             e.printStackTrace();
  1145.         }

  1147.         return null;
  1148.     }

  1150.     /**
  1151.      * Create an Instance of the KLK Exponential Splined DF Discount Curve
  1152.      * 
  1153.      * @param strName Curve Name
  1154.      * @param dtStart Tenor Start Date
  1155.      * @param strCurrency The Currency
  1156.      * @param aiDate Array of Dates
  1157.      * @param adblDF Array of Discount Factors
  1158.      * @param dblTension The Tension Parameter
  1159.      * 
  1160.      * @return The Instance of the Discount Curve
  1161.      */

  1163.     public static final org.drip.state.discount.MergedDiscountForwardCurve KLKExponentialDiscountCurve (
  1164.         final java.lang.String strName,
  1165.         final org.drip.analytics.date.JulianDate dtStart,
  1166.         final java.lang.String strCurrency,
  1167.         final int[] aiDate,
  1168.         final double[] adblDF,
  1169.         final double dblTension)
  1170.     {
  1171.         try {
  1172.             return CustomSplineDiscountCurve (strName, dtStart, strCurrency, aiDate, adblDF, new
  1173.             org.drip.spline.params.SegmentCustomBuilderControl
  1174.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_EXPONENTIAL_TENSION,
  1175.                 new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  1176.                     org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  1177.         } catch (java.lang.Exception e) {
  1178.             e.printStackTrace();
  1179.         }

  1181.         return null;
  1182.     }

  1184.     /**
  1185.      * Create an Instance of the KLK Linear Rational Splined DF Discount Curve
  1186.      * 
  1187.      * @param strName Curve Name
  1188.      * @param dtStart Tenor Start Date
  1189.      * @param strCurrency The Currency
  1190.      * @param aiDate Array of Dates
  1191.      * @param adblDF Array of Discount Factors
  1192.      * @param dblTension The Tension Parameter
  1193.      * 
  1194.      * @return The Instance of the Discount Curve
  1195.      */

  1197.     public static final org.drip.state.discount.MergedDiscountForwardCurve KLKRationalLinearDiscountCurve (
  1198.         final java.lang.String strName,
  1199.         final org.drip.analytics.date.JulianDate dtStart,
  1200.         final java.lang.String strCurrency,
  1201.         final int[] aiDate,
  1202.         final double[] adblDF,
  1203.         final double dblTension)
  1204.     {
  1205.         try {
  1206.             return CustomSplineDiscountCurve (strName, dtStart, strCurrency, aiDate, adblDF, new
  1207.                 org.drip.spline.params.SegmentCustomBuilderControl
  1208.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_RATIONAL_LINEAR_TENSION,
  1209.                 new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  1210.                     org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  1211.         } catch (java.lang.Exception e) {
  1212.             e.printStackTrace();
  1213.         }

  1215.         return null;
  1216.     }

  1218.     /**
  1219.      * Create an Instance of the KLK Quadratic Rational Splined DF Discount Curve
  1220.      * 
  1221.      * @param strName Curve Name
  1222.      * @param dtStart Tenor Start Date
  1223.      * @param strCurrency The Currency
  1224.      * @param aiDate Array of Dates
  1225.      * @param adblDF Array of Discount Factors
  1226.      * @param dblTension The Tension Parameter
  1227.      * 
  1228.      * @return The Instance of the Discount Curve
  1229.      */

  1231.     public static final org.drip.state.discount.MergedDiscountForwardCurve KLKRationalQuadraticDiscountCurve (
  1232.         final java.lang.String strName,
  1233.         final org.drip.analytics.date.JulianDate dtStart,
  1234.         final java.lang.String strCurrency,
  1235.         final int[] aiDate,
  1236.         final double[] adblDF,
  1237.         final double dblTension)
  1238.     {
  1239.         try {
  1240.             return CustomSplineDiscountCurve (strName, dtStart, strCurrency, aiDate, adblDF, new
  1241.                 org.drip.spline.params.SegmentCustomBuilderControl
  1242.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_RATIONAL_QUADRATIC_TENSION,
  1243.                 new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  1244.                     org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  1245.         } catch (java.lang.Exception e) {
  1246.             e.printStackTrace();
  1247.         }

  1249.         return null;
  1250.     }

  1252.     /**
  1253.      * Build a Discount Curve from an array of discount factors
  1254.      * 
  1255.      * @param dtStart Start Date
  1256.      * @param strCurrency Currency
  1257.      * @param aiDate Array of dates
  1258.      * @param adblDF array of discount factors
  1259.      * 
  1260.      * @return Discount Curve
  1261.      */

  1263.     public static final org.drip.state.discount.MergedDiscountForwardCurve BuildFromDF (
  1264.         final org.drip.analytics.date.JulianDate dtStart,
  1265.         final java.lang.String strCurrency,
  1266.         final int aiDate[],
  1267.         final double adblDF[])
  1268.     {
  1269.         if (null == aiDate || 0 == aiDate.length || null == adblDF || aiDate.length != adblDF.length ||
  1270.             null == dtStart || null == strCurrency || strCurrency.isEmpty())
  1271.             return null;

  1273.         double dblDFBegin = 1.;
  1274.         double[] adblRate = new double[aiDate.length];

  1276.         double dblPeriodBegin = dtStart.julian();

  1278.         for (int i = 0; i < aiDate.length; ++i) {
  1279.             if (aiDate[i] <= dblPeriodBegin) return null;

  1281.             adblRate[i] = 365.25 / (aiDate[i] - dblPeriodBegin) * java.lang.Math.log (dblDFBegin /
  1282.                 adblDF[i]);

  1284.             dblDFBegin = adblDF[i];
  1285.             dblPeriodBegin = aiDate[i];
  1286.         }

  1288.         try {
  1289.             return new org.drip.state.nonlinear.FlatForwardDiscountCurve (dtStart, strCurrency, aiDate,
  1290.                 adblRate, false, "", -1);
  1291.         } catch (java.lang.Exception e) {
  1292.             e.printStackTrace();
  1293.         }

  1295.         return null;
  1296.     }

  1298.     /**
  1299.      * Create a Discount Curve from the Exponentially Compounded Flat Rate
  1300.      * 
  1301.      * @param dtStart Start Date
  1302.      * @param strCurrency Currency
  1303.      * @param dblRate Rate
  1304.      * 
  1305.      * @return Discount Curve
  1306.      */

  1308.     public static final org.drip.state.discount.ExplicitBootDiscountCurve ExponentiallyCompoundedFlatRate (
  1309.         final org.drip.analytics.date.JulianDate dtStart,
  1310.         final java.lang.String strCurrency,
  1311.         final double dblRate)
  1312.     {
  1313.         if (null == dtStart) return null;

  1315.         try {
  1316.             return new org.drip.state.nonlinear.FlatForwardDiscountCurve (dtStart, strCurrency, new int[]
  1317.                 {dtStart.julian()}, new double[] {dblRate}, false, "", -1);
  1318.         } catch (java.lang.Exception e) {
  1319.             e.printStackTrace();
  1320.         }

  1322.         return null;
  1323.     }

  1325.     /**
  1326.      * Create a Discount Curve from the Discretely Compounded Flat Rate
  1327.      * 
  1328.      * @param dtStart Start Date
  1329.      * @param strCurrency Currency
  1330.      * @param dblRate Rate
  1331.      * @param strCompoundingDayCount Day Count Convention to be used for Discrete Compounding
  1332.      * @param iCompoundingFreq Frequency to be used for Discrete Compounding
  1333.      * 
  1334.      * @return Discount Curve
  1335.      */

  1337.     public static final org.drip.state.discount.ExplicitBootDiscountCurve DiscretelyCompoundedFlatRate (
  1338.         final org.drip.analytics.date.JulianDate dtStart,
  1339.         final java.lang.String strCurrency,
  1340.         final double dblRate,
  1341.         final java.lang.String strCompoundingDayCount,
  1342.         final int iCompoundingFreq)
  1343.     {
  1344.         if (null == dtStart) return null;

  1346.         try {
  1347.             return new org.drip.state.nonlinear.FlatForwardDiscountCurve (dtStart, strCurrency, new int[]
  1348.                 {dtStart.julian()}, new double[] {dblRate}, true, strCompoundingDayCount, iCompoundingFreq);
  1349.         } catch (java.lang.Exception e) {
  1350.             e.printStackTrace();
  1351.         }

  1353.         return null;
  1354.     }

  1356.     /**
  1357.      * Create a Discount Curve from the Flat Yield
  1358.      * 
  1359.      * @param dtStart Start Date
  1360.      * @param strCurrency Currency
  1361.      * @param dblYield Yield
  1362.      * @param strCompoundingDayCount Day Count Convention to be used for Discrete Compounding
  1363.      * @param iCompoundingFreq Frequency to be used for Discrete Compounding
  1364.      * 
  1365.      * @return The Discount Curve Instance
  1366.      */

  1368.     public static final org.drip.state.discount.ExplicitBootDiscountCurve CreateFromFlatYield (
  1369.         final org.drip.analytics.date.JulianDate dtStart,
  1370.         final java.lang.String strCurrency,
  1371.         final double dblYield,
  1372.         final java.lang.String strCompoundingDayCount,
  1373.         final int iCompoundingFreq)
  1374.     {
  1375.         if (null == dtStart || !org.drip.numerical.common.NumberUtil.IsValid (dblYield)) return null;

  1377.         try {
  1378.             return new org.drip.state.nonlinear.FlatForwardDiscountCurve (dtStart, strCurrency, new int[]
  1379.                 {dtStart.julian()}, new double[] {dblYield}, true, strCompoundingDayCount, iCompoundingFreq);
  1380.         } catch (java.lang.Exception e) {
  1381.             e.printStackTrace();
  1382.         }

  1384.         return null;
  1385.     }

  1387.     /**
  1388.      * Create a discount curve from an array of dates/rates
  1389.      * 
  1390.      * @param dtStart Start Date
  1391.      * @param strCurrency Currency
  1392.      * @param aiDate array of dates
  1393.      * @param adblRate array of rates
  1394.      * 
  1395.      * @return Creates the discount curve
  1396.      */

  1398.     public static final org.drip.state.discount.ExplicitBootDiscountCurve PiecewiseForward (
  1399.         final org.drip.analytics.date.JulianDate dtStart,
  1400.         final java.lang.String strCurrency,
  1401.         final int[] aiDate,
  1402.         final double[] adblRate)
  1403.     {
  1404.         try {
  1405.             return new org.drip.state.nonlinear.FlatForwardDiscountCurve (dtStart, strCurrency, aiDate,
  1406.                 adblRate, false, "", -1);
  1407.         } catch (java.lang.Exception e) {
  1408.             e.printStackTrace();
  1409.         }

  1411.         return null;
  1412.     }
  1413. }
Created with JaCoCo 0.7.9.201702052155