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

  81. /**
  82.  * <i>ScenarioFXCurveBuilder</i> implements the construction of the scenario FX Curve using the input FX
  83.  * Curve instruments.
  84.  *
  85.  *  <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  89.  *      <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>
  90.  *      <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>
  91.  *  </ul>
  92.  * <br><br>
  93.  * 
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class ScenarioFXCurveBuilder {

  99.     /**
  100.      * Build the Shape Preserving FX Curve using the Custom Parameters
  101.      * 
  102.      * @param llsc The Linear Latent State Calibrator Instance
  103.      * @param aStretchSpec Array of the Latent State Stretches
  104.      * @param cp The FX Currency Pair
  105.      * @param valParams Valuation Parameters
  106.      * @param pricerParams Pricer Parameters
  107.      * @param csqs Market Parameters
  108.      * @param vcp Quoting Parameters
  109.      * @param dblEpochResponse The Starting Response Value
  110.      * 
  111.      * @return Instance of the Shape Preserving Discount Curve
  112.      */

  114.     public static final org.drip.state.fx.FXCurve ShapePreservingFXCurve (
  115.         final org.drip.state.inference.LinearLatentStateCalibrator llsc,
  116.         final org.drip.state.inference.LatentStateStretchSpec[] aStretchSpec,
  117.         final org.drip.product.params.CurrencyPair cp,
  118.         final org.drip.param.valuation.ValuationParams valParams,
  119.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  120.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  121.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  122.         final double dblEpochResponse)
  123.     {
  124.         if (null == llsc) return null;

  126.         try {
  127.             org.drip.state.fx.FXCurve fxCurve = new org.drip.state.curve.BasisSplineFXForward (cp,
  128.                 llsc.calibrateSpan (aStretchSpec, dblEpochResponse, valParams, pricerParams, vcp, csqs));

  130.             return fxCurve.setCCIS (new org.drip.analytics.input.LatentStateShapePreservingCCIS (llsc,
  131.                 aStretchSpec, valParams, pricerParams, vcp, csqs)) ? fxCurve : null;
  132.         } catch (java.lang.Exception e) {
  133.             e.printStackTrace();
  134.         }

  136.         return null;
  137.     }

  139.     /**
  140.      * Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
  141.      *  builder parameters.
  142.      * 
  143.      * @param strName Curve Name
  144.      * @param cp The FX Currency Pair
  145.      * @param valParams Valuation Parameters
  146.      * @param pricerParams Pricer Parameters
  147.      * @param csqs Market Parameters
  148.      * @param vcp Quoting Parameters
  149.      * @param aCalibComp Array of Calibration Components
  150.      * @param strManifestMeasure The Calibration Manifest Measure
  151.      * @param adblQuote Array of Calibration Quotes
  152.      * @param dblEpochResponse The Stretch Start DF
  153.      * @param scbc Segment Custom Builder Control Parameters
  154.      * 
  155.      * @return Instance of the Shape Preserver of the desired basis type
  156.      */

  158.     public static final org.drip.state.fx.FXCurve ShapePreservingFXCurve (
  159.         final java.lang.String strName,
  160.         final org.drip.product.params.CurrencyPair cp,
  161.         final org.drip.param.valuation.ValuationParams valParams,
  162.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  163.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  164.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  165.         final org.drip.product.definition.CalibratableComponent[] aCalibComp,
  166.         final java.lang.String strManifestMeasure,
  167.         final double[] adblQuote,
  168.         final double dblEpochResponse,
  169.         final org.drip.spline.params.SegmentCustomBuilderControl scbc)
  170.     {
  171.         if (null == strName || strName.isEmpty() || null == valParams || null == scbc || null ==
  172.             strManifestMeasure || strManifestMeasure.isEmpty())
  173.             return null;

  175.         int iNumQuote = null == adblQuote ? 0 : adblQuote.length;
  176.         int iNumComp = null == aCalibComp ? 0 : aCalibComp.length;

  178.         if (0 == iNumComp || iNumComp != iNumQuote) return null;

  180.         try {
  181.             org.drip.state.identifier.FXLabel fxLabel = null;

  183.             if (aCalibComp[0] instanceof org.drip.product.rates.DualStreamComponent)
  184.                 fxLabel = ((org.drip.product.rates.DualStreamComponent)
  185.                     aCalibComp[0]).derivedStream().fxLabel();
  186.             else {
  187.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.FXLabel>
  188.                     mapFXLabel = aCalibComp[0].fxLabel();

  190.                 if (null != mapFXLabel && 0 != mapFXLabel.size()) fxLabel = mapFXLabel.get ("DERIVED");
  191.             }

  193.             org.drip.state.representation.LatentStateSpecification[] aLSS = new
  194.                 org.drip.state.representation.LatentStateSpecification[] {new
  195.                     org.drip.state.representation.LatentStateSpecification
  196.                         (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FX,
  197.                             org.drip.analytics.definition.LatentStateStatic.FX_QM_FORWARD_OUTRIGHT,
  198.                                 fxLabel)};

  200.             org.drip.state.inference.LatentStateSegmentSpec[] aSegmentSpec = new
  201.                 org.drip.state.inference.LatentStateSegmentSpec[iNumComp];

  203.             for (int i = 0; i < iNumComp; ++i) {
  204.                 org.drip.product.calib.ProductQuoteSet pqs = aCalibComp[i].calibQuoteSet (aLSS);

  206.                 if (null == pqs || !pqs.set (strManifestMeasure, adblQuote[i])) return null;

  208.                 aSegmentSpec[i] = new org.drip.state.inference.LatentStateSegmentSpec (aCalibComp[i], pqs);
  209.             }

  211.             org.drip.state.inference.LatentStateStretchSpec[] aStretchSpec = new
  212.                 org.drip.state.inference.LatentStateStretchSpec[] {new
  213.                     org.drip.state.inference.LatentStateStretchSpec (strName, aSegmentSpec)};

  215.             org.drip.state.inference.LinearLatentStateCalibrator llsc = new
  216.                 org.drip.state.inference.LinearLatentStateCalibrator (scbc,
  217.                     org.drip.spline.stretch.BoundarySettings.FinancialStandard(),
  218.                         org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE, null, null);

  220.             return ShapePreservingFXCurve (llsc, aStretchSpec, cp, valParams, pricerParams, csqs, vcp,
  221.                 dblEpochResponse);
  222.         } catch (java.lang.Exception e) {
  223.             e.printStackTrace();
  224.         }

  226.         return null;
  227.     }

  229.     /**
  230.      * Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
  231.      *  builder parameters.
  232.      * 
  233.      * @param strName Curve Name
  234.      * @param cp The FX Currency Pair
  235.      * @param valParams Valuation Parameters
  236.      * @param pricerParams Pricer Parameters
  237.      * @param csqs Market Parameters
  238.      * @param vcp Quoting Parameters
  239.      * @param strBasisType The Basis Type
  240.      * @param fsbp The Function Set Basis Parameters
  241.      * @param aCalibComp Array of Calibration Components
  242.      * @param strManifestMeasure The Calibration Manifest Measure
  243.      * @param adblQuote Array of Calibration Quotes
  244.      * @param dblEpochResponse The Stretch Start DF
  245.      * 
  246.      * @return Instance of the Shape Preserver of the desired basis type
  247.      */

  249.     public static final org.drip.state.fx.FXCurve ShapePreservingFXCurve (
  250.         final java.lang.String strName,
  251.         final org.drip.product.params.CurrencyPair cp,
  252.         final org.drip.param.valuation.ValuationParams valParams,
  253.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  254.         final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
  255.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  256.         final java.lang.String strBasisType,
  257.         final org.drip.spline.basis.FunctionSetBuilderParams fsbp,
  258.         final org.drip.product.definition.CalibratableComponent[] aCalibComp,
  259.         final java.lang.String strManifestMeasure,
  260.         final double[] adblQuote,
  261.         final double dblEpochResponse)
  262.     {
  263.         if (null == strName || strName.isEmpty() || null == strBasisType || strBasisType.isEmpty() || null ==
  264.             valParams || null == fsbp || null == strManifestMeasure || strManifestMeasure.isEmpty())
  265.             return null;

  267.         int iNumQuote = null == adblQuote ? 0 : adblQuote.length;
  268.         int iNumComp = null == aCalibComp ? 0 : aCalibComp.length;

  270.         if (0 == iNumComp || iNumComp != iNumQuote) return null;

  272.         try {
  273.             org.drip.state.identifier.FXLabel fxLabel = null;

  275.             if (aCalibComp[0] instanceof org.drip.product.rates.DualStreamComponent)
  276.                 fxLabel = ((org.drip.product.rates.DualStreamComponent)
  277.                     aCalibComp[0]).derivedStream().fxLabel();
  278.             else {
  279.                 org.drip.analytics.support.CaseInsensitiveTreeMap<org.drip.state.identifier.FXLabel>
  280.                     mapFXLabel = aCalibComp[0].fxLabel();

  282.                 if (null != mapFXLabel && 0 != mapFXLabel.size()) fxLabel = mapFXLabel.get ("DERIVED");
  283.             }

  285.             org.drip.state.representation.LatentStateSpecification[] aLSS = new
  286.                 org.drip.state.representation.LatentStateSpecification[] {new
  287.                     org.drip.state.representation.LatentStateSpecification
  288.                         (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_FX,
  289.                             org.drip.analytics.definition.LatentStateStatic.FX_QM_FORWARD_OUTRIGHT,
  290.                                 fxLabel)};

  292.             org.drip.state.inference.LatentStateSegmentSpec[] aSegmentSpec = new
  293.                 org.drip.state.inference.LatentStateSegmentSpec[iNumComp];

  295.             for (int i = 0; i < iNumComp; ++i) {
  296.                 org.drip.product.calib.ProductQuoteSet pqs = aCalibComp[i].calibQuoteSet (aLSS);

  298.                 if (null == pqs || !pqs.set (strManifestMeasure, adblQuote[i])) return null;

  300.                 aSegmentSpec[i] = new org.drip.state.inference.LatentStateSegmentSpec (aCalibComp[i], pqs);
  301.             }

  303.             org.drip.state.inference.LatentStateStretchSpec[] aStretchSpec = new
  304.                 org.drip.state.inference.LatentStateStretchSpec[] {new
  305.                     org.drip.state.inference.LatentStateStretchSpec (strName, aSegmentSpec)};

  307.             org.drip.state.inference.LinearLatentStateCalibrator llsc = new
  308.                 org.drip.state.inference.LinearLatentStateCalibrator (new
  309.                     org.drip.spline.params.SegmentCustomBuilderControl (strBasisType, fsbp,
  310.                         org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), new
  311.                             org.drip.spline.params.ResponseScalingShapeControl (true, new
  312.                                 org.drip.function.r1tor1.QuadraticRationalShapeControl (0.)), null),
  313.                                     org.drip.spline.stretch.BoundarySettings.FinancialStandard(),
  314.                                         org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE, null, null);

  316.             return ShapePreservingFXCurve (llsc, aStretchSpec, cp, valParams, pricerParams, csqs, vcp,
  317.                 dblEpochResponse);
  318.         } catch (java.lang.Exception e) {
  319.             e.printStackTrace();
  320.         }

  322.         return null;
  323.     }

  325.     /**
  326.      * Construct an Instance of the Shape Preserver of the Cubic Polynomial Type, using the Specified Basis
  327.      *  Set Builder Parameters.
  328.      * 
  329.      * @param strName Curve Name
  330.      * @param cp The FX Currency Pair
  331.      * @param iSpotDate Spot Date
  332.      * @param aComp Array of Calibration Components
  333.      * @param adblQuote Array of Calibration Quotes
  334.      * @param strManifestMeasure The Calibration Manifest Measure
  335.      * @param dblFXSpot The FX Spot
  336.      * 
  337.      * @return Instance of the Shape Preserver of the Cubic Polynomial Type
  338.      */

  340.     public static final org.drip.state.fx.FXCurve CubicPolyShapePreserver (
  341.         final java.lang.String strName,
  342.         final org.drip.product.params.CurrencyPair cp,
  343.         final int iSpotDate,
  344.         final org.drip.product.definition.CalibratableComponent[] aComp,
  345.         final double[] adblQuote,
  346.         final java.lang.String strManifestMeasure,
  347.         final double dblFXSpot)
  348.     {
  349.         try {
  350.             return ShapePreservingFXCurve (strName, cp, org.drip.param.valuation.ValuationParams.Spot
  351.                 (iSpotDate), null, null, null,
  352.                     org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  353.                         org.drip.spline.basis.PolynomialFunctionSetParams (4), aComp, strManifestMeasure,
  354.                             adblQuote, dblFXSpot);
  355.         } catch (java.lang.Exception e) {
  356.             e.printStackTrace();
  357.         }

  359.         return null;
  360.     }

  362.     /**
  363.      * Create an Instance of the Custom Splined FX Forward Curve
  364.      * 
  365.      * @param strName Curve Name
  366.      * @param dtStart The Tenor Start Date
  367.      * @param cp The Currency Pair
  368.      * @param astrTenor Array of the Tenors
  369.      * @param adblFXForward Array of the FX Forwards
  370.      * @param scbc The Segment Custom Builder Control
  371.      * @param dblFXSpot FX Spot
  372.      * 
  373.      * @return The Instance of the FX Forward Curve
  374.      */

  376.     public static final org.drip.state.fx.FXCurve CustomSplineCurve (
  377.         final java.lang.String strName,
  378.         final org.drip.analytics.date.JulianDate dtStart,
  379.         final org.drip.product.params.CurrencyPair cp,
  380.         final java.lang.String[] astrTenor,
  381.         final double[] adblFXForward,
  382.         final org.drip.spline.params.SegmentCustomBuilderControl scbc,
  383.         final double dblFXSpot)
  384.     {
  385.         if (null == strName || strName.isEmpty() || null == astrTenor || null == dtStart ||
  386.             !org.drip.numerical.common.NumberUtil.IsValid (dblFXSpot))
  387.             return null;

  389.         int iNumTenor = astrTenor.length;

  391.         if (0 == iNumTenor) return null;

  393.         int[] aiBasisPredictorOrdinate = new int[iNumTenor + 1];
  394.         double[] adblBasisResponseValue = new double[iNumTenor + 1];
  395.         org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC = new
  396.             org.drip.spline.params.SegmentCustomBuilderControl[iNumTenor];

  398.         for (int i = 0; i <= iNumTenor; ++i) {
  399.             if (0 != i) {
  400.                 java.lang.String strTenor = astrTenor[i - 1];

  402.                 if (null == strTenor || strTenor.isEmpty()) return null;

  404.                 org.drip.analytics.date.JulianDate dtMaturity = dtStart.addTenor (strTenor);

  406.                 if (null == dtMaturity) return null;

  408.                 aiBasisPredictorOrdinate[i] = dtMaturity.julian();
  409.             } else
  410.                 aiBasisPredictorOrdinate[i] = dtStart.julian();

  412.             adblBasisResponseValue[i] = 0 == i ? dblFXSpot : adblFXForward[i - 1];

  414.             if (0 != i) aSCBC[i - 1] = scbc;
  415.         }

  417.         try {
  418.             return new org.drip.state.curve.BasisSplineFXForward (cp, new
  419.                 org.drip.spline.grid.OverlappingStretchSpan
  420.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  421.                         (strName, aiBasisPredictorOrdinate, adblBasisResponseValue, aSCBC, null,
  422.                             org.drip.spline.stretch.BoundarySettings.NaturalStandard(),
  423.                                 org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE)));
  424.         } catch (java.lang.Exception e) {
  425.             e.printStackTrace();
  426.         }

  428.         return null;
  429.     }

  431.     /**
  432.      * Create an Instance of the Cubic Polynomial Splined FX Forward Curve
  433.      * 
  434.      * @param strName Curve Name
  435.      * @param dtStart The Tenor Start Date
  436.      * @param cp The Currency Pair
  437.      * @param astrTenor Array of the Tenors
  438.      * @param adblFXForward Array of the FX Forwards
  439.      * @param dblFXSpot FX Spot
  440.      * 
  441.      * @return The Instance of the FX Forward Curve
  442.      */

  444.     public static final org.drip.state.fx.FXCurve CubicPolynomialCurve (
  445.         final java.lang.String strName,
  446.         final org.drip.analytics.date.JulianDate dtStart,
  447.         final org.drip.product.params.CurrencyPair cp,
  448.         final java.lang.String[] astrTenor,
  449.         final double[] adblFXForward,
  450.         final double dblFXSpot)
  451.     {
  452.         try {
  453.             return CustomSplineCurve (strName, dtStart, cp, astrTenor, adblFXForward, new
  454.                 org.drip.spline.params.SegmentCustomBuilderControl
  455.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  456.                         org.drip.spline.basis.PolynomialFunctionSetParams (4),
  457.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null),
  458.                                 dblFXSpot);
  459.         } catch (java.lang.Exception e) {
  460.             e.printStackTrace();
  461.         }

  463.         return null;
  464.     }

  466.     /**
  467.      * Create an Instance of the Quartic Polynomial Splined FX Forward Curve
  468.      * 
  469.      * @param strName Curve Name
  470.      * @param dtStart The Tenor Start Date
  471.      * @param cp The Currency Pair
  472.      * @param astrTenor Array of the Tenors
  473.      * @param adblFXForward Array of the FX Forwards
  474.      * @param dblFXSpot FX Spot
  475.      * 
  476.      * @return The Instance of the FX Forward Curve
  477.      */

  479.     public static final org.drip.state.fx.FXCurve QuarticPolynomialCurve (
  480.         final java.lang.String strName,
  481.         final org.drip.analytics.date.JulianDate dtStart,
  482.         final org.drip.product.params.CurrencyPair cp,
  483.         final java.lang.String[] astrTenor,
  484.         final double[] adblFXForward,
  485.         final double dblFXSpot)
  486.     {
  487.         try {
  488.             return CustomSplineCurve (strName, dtStart, cp, astrTenor, adblFXForward, new
  489.                 org.drip.spline.params.SegmentCustomBuilderControl
  490.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  491.                         org.drip.spline.basis.PolynomialFunctionSetParams (5),
  492.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null),
  493.                                 dblFXSpot);
  494.         } catch (java.lang.Exception e) {
  495.             e.printStackTrace();
  496.         }

  498.         return null;
  499.     }

  501.     /**
  502.      * Create an Instance of the Kaklis-Pandelis Splined FX Forward Curve
  503.      * 
  504.      * @param strName Curve Name
  505.      * @param dtStart The Tenor Start Date
  506.      * @param cp The Currency Pair
  507.      * @param astrTenor Array of the Tenors
  508.      * @param adblFXForward Array of the FX Forwards
  509.      * @param dblFXSpot FX Spot
  510.      * 
  511.      * @return The Instance of the FX Forward Curve
  512.      */

  514.     public static final org.drip.state.fx.FXCurve KaklisPandelisCurve (
  515.         final java.lang.String strName,
  516.         final org.drip.analytics.date.JulianDate dtStart,
  517.         final org.drip.product.params.CurrencyPair cp,
  518.         final java.lang.String[] astrTenor,
  519.         final double[] adblFXForward,
  520.         final double dblFXSpot)
  521.     {
  522.         try {
  523.             return CustomSplineCurve (strName, dtStart, cp, astrTenor, adblFXForward, new
  524.                 org.drip.spline.params.SegmentCustomBuilderControl
  525.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KAKLIS_PANDELIS, new
  526.                         org.drip.spline.basis.KaklisPandelisSetParams (2),
  527.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null),
  528.                                 dblFXSpot);
  529.         } catch (java.lang.Exception e) {
  530.             e.printStackTrace();
  531.         }

  533.         return null;
  534.     }

  536.     /**
  537.      * Create an Instance of the KLK Hyperbolic Splined FX Forward Curve
  538.      * 
  539.      * @param strName Curve Name
  540.      * @param dtStart The Tenor Start Date
  541.      * @param cp The Currency Pair
  542.      * @param astrTenor Array of the Tenors
  543.      * @param adblFXForward Array of the FX Forwards
  544.      * @param dblFXSpot FX Spot
  545.      * @param dblTension The Tension Parameter
  546.      * 
  547.      * @return The Instance of the FX Forward Curve
  548.      */

  550.     public static final org.drip.state.fx.FXCurve KLKHyperbolicCurve (
  551.         final java.lang.String strName,
  552.         final org.drip.analytics.date.JulianDate dtStart,
  553.         final org.drip.product.params.CurrencyPair cp,
  554.         final java.lang.String[] astrTenor,
  555.         final double[] adblFXForward,
  556.         final double dblFXSpot,
  557.         final double dblTension)
  558.     {
  559.         try {
  560.             return CustomSplineCurve (strName, dtStart, cp, astrTenor, adblFXForward, new
  561.                 org.drip.spline.params.SegmentCustomBuilderControl
  562.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_HYPERBOLIC_TENSION,
  563.                         new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  564.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null),
  565.                                 dblFXSpot);
  566.         } catch (java.lang.Exception e) {
  567.             e.printStackTrace();
  568.         }

  570.         return null;
  571.     }

  573.     /**
  574.      * Create an Instance of the KLK Rational Linear Splined FX Forward Curve
  575.      * 
  576.      * @param strName Curve Name
  577.      * @param dtStart The Tenor Start Date
  578.      * @param cp The Currency Pair
  579.      * @param astrTenor Array of the Tenors
  580.      * @param adblFXForward Array of the FX Forwards
  581.      * @param dblFXSpot FX Spot
  582.      * @param dblTension The Tension Parameter
  583.      * 
  584.      * @return The Instance of the FX Forward Curve
  585.      */

  587.     public static final org.drip.state.fx.FXCurve KLKRationalLinearCurve (
  588.         final java.lang.String strName,
  589.         final org.drip.analytics.date.JulianDate dtStart,
  590.         final org.drip.product.params.CurrencyPair cp,
  591.         final java.lang.String[] astrTenor,
  592.         final double[] adblFXForward,
  593.         final double dblFXSpot,
  594.         final double dblTension)
  595.     {
  596.         try {
  597.             return CustomSplineCurve (strName, dtStart, cp, astrTenor, adblFXForward, new
  598.                 org.drip.spline.params.SegmentCustomBuilderControl
  599.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_RATIONAL_LINEAR_TENSION,
  600.                 new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  601.                     org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null),
  602.                         dblFXSpot);
  603.         } catch (java.lang.Exception e) {
  604.             e.printStackTrace();
  605.         }

  607.         return null;
  608.     }

  610.     /**
  611.      * Create an Instance of the KLK Rational Quadratic Splined FX Forward Curve
  612.      * 
  613.      * @param strName Curve Name
  614.      * @param dtStart The Tenor Start Date
  615.      * @param cp The Currency Pair
  616.      * @param astrTenor Array of the Tenors
  617.      * @param adblFXForward Array of the FX Forwards
  618.      * @param dblFXSpot FX Spot
  619.      * @param dblTension The Tension Parameter
  620.      * 
  621.      * @return The Instance of the FX Forward Curve
  622.      */

  624.     public static final org.drip.state.fx.FXCurve KLKRationalQuadraticCurve (
  625.         final java.lang.String strName,
  626.         final org.drip.analytics.date.JulianDate dtStart,
  627.         final org.drip.product.params.CurrencyPair cp,
  628.         final java.lang.String[] astrTenor,
  629.         final double[] adblFXForward,
  630.         final double dblFXSpot,
  631.         final double dblTension)
  632.     {
  633.         try {
  634.             return CustomSplineCurve (strName, dtStart, cp, astrTenor, adblFXForward, new
  635.                 org.drip.spline.params.SegmentCustomBuilderControl
  636.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_RATIONAL_QUADRATIC_TENSION,
  637.                 new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  638.                     org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null),
  639.                         dblFXSpot);
  640.         } catch (java.lang.Exception e) {
  641.             e.printStackTrace();
  642.         }

  644.         return null;
  645.     }
  646. }
Created with JaCoCo 0.7.9.201702052155