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

  80. /**
  81.  * <i>ScenarioGovvieCurveBuilder</i> implements the Construction of the Scenario Govvie Curve using the Input
  82.  * Govvie Curve Instruments.
  83.  *
  84.  *  <br><br>
  85.  *  <ul>
  86.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  87.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  88.  *      <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>
  89.  *      <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>
  90.  *  </ul>
  91.  * <br><br>
  92.  * 
  93.  * @author Lakshmi Krishnamurthy
  94.  */

  96. public class ScenarioGovvieCurveBuilder {

  98.     /**
  99.      * Build the Shape Preserving Govvie Curve using the Custom Parameters
  100.      * 
  101.      * @param llsc The Linear Latent State Calibrator Instance
  102.      * @param aStretchSpec Array of the Latent State Stretches
  103.      * @param strTreasuryCode Treasury Code
  104.      * @param strCurrency Currency
  105.      * @param valParams Valuation Parameters
  106.      * @param pricerParams Pricer Parameters
  107.      * @param csqc Market Parameters
  108.      * @param vcp Valuation Customization 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.govvie.GovvieCurve ShapePreservingGovvieCurve (
  115.         final org.drip.state.inference.LinearLatentStateCalibrator llsc,
  116.         final org.drip.state.inference.LatentStateStretchSpec[] aStretchSpec,
  117.         final java.lang.String strTreasuryCode,
  118.         final java.lang.String strCurrency,
  119.         final org.drip.param.valuation.ValuationParams valParams,
  120.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  121.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  122.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  123.         final double dblEpochResponse)
  124.     {
  125.         if (null == llsc) return null;

  127.         try {
  128.             org.drip.state.govvie.GovvieCurve govvieCurve = new org.drip.state.curve.BasisSplineGovvieYield
  129.                 (strTreasuryCode, strCurrency, llsc.calibrateSpan (aStretchSpec, dblEpochResponse, valParams,
  130.                     pricerParams, vcp, csqc));

  132.             return govvieCurve.setCCIS (new org.drip.analytics.input.LatentStateShapePreservingCCIS (llsc,
  133.                 aStretchSpec, valParams, pricerParams, vcp, csqc)) ? govvieCurve : null;
  134.         } catch (java.lang.Exception e) {
  135.             e.printStackTrace();
  136.         }

  138.         return null;
  139.     }

  141.     /**
  142.      * Construct an Instance of the Shape Preserver of the desired Basis Spline Type, using the specified
  143.      *  Basis Spline Set Builder Parameters.
  144.      * 
  145.      * @param strName Curve Name
  146.      * @param strTreasuryCode Treasury Code
  147.      * @param strCurrency Currency
  148.      * @param valParams Valuation Parameters
  149.      * @param pricerParams Pricer Parameters
  150.      * @param csqc Market Parameters
  151.      * @param vcp Valuation Customization Parameters
  152.      * @param strBasisType The Basis Type
  153.      * @param fsbp The Function Set Basis Parameters
  154.      * @param sdic Segment Design In-elastic Control
  155.      * @param aCalibComp Array of Calibration Components
  156.      * @param strManifestMeasure The Calibration Manifest Measure
  157.      * @param adblQuote Array of Calibration Quotes
  158.      * 
  159.      * @return Instance of the Shape Preserver of the Desired Basis Type
  160.      */

  162.     public static final org.drip.state.govvie.GovvieCurve ShapePreservingGovvieCurve (
  163.         final java.lang.String strName,
  164.         final java.lang.String strTreasuryCode,
  165.         final java.lang.String strCurrency,
  166.         final org.drip.param.valuation.ValuationParams valParams,
  167.         final org.drip.param.pricer.CreditPricerParams pricerParams,
  168.         final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
  169.         final org.drip.param.valuation.ValuationCustomizationParams vcp,
  170.         final java.lang.String strBasisType,
  171.         final org.drip.spline.basis.FunctionSetBuilderParams fsbp,
  172.         final org.drip.spline.params.SegmentInelasticDesignControl sdic,
  173.         final org.drip.product.definition.CalibratableComponent[] aCalibComp,
  174.         final java.lang.String strManifestMeasure,
  175.         final double[] adblQuote)
  176.     {
  177.         if (null == strName || strName.isEmpty() || null == strBasisType || strBasisType.isEmpty() || null ==
  178.             valParams || null == fsbp || null == strManifestMeasure || strManifestMeasure.isEmpty())
  179.             return null;

  181.         int iNumQuote = null == adblQuote ? 0 : adblQuote.length;
  182.         int iNumComp = null == aCalibComp ? 0 : aCalibComp.length;

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

  186.         org.drip.state.identifier.GovvieLabel govvieLabel = aCalibComp[0].govvieLabel();

  188.         try {
  189.             org.drip.state.representation.LatentStateSpecification[] aLSS = new
  190.                 org.drip.state.representation.LatentStateSpecification[] {new
  191.                     org.drip.state.representation.LatentStateSpecification
  192.                         (org.drip.analytics.definition.LatentStateStatic.LATENT_STATE_GOVVIE,
  193.                             org.drip.analytics.definition.LatentStateStatic.GOVVIE_QM_YIELD, govvieLabel)};

  195.             org.drip.state.inference.LatentStateSegmentSpec[] aSegmentSpec = new
  196.                 org.drip.state.inference.LatentStateSegmentSpec[iNumComp];

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

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

  203.                 aSegmentSpec[i] = new org.drip.state.inference.LatentStateSegmentSpec (aCalibComp[i], pqs);
  204.             }

  206.             org.drip.state.inference.LatentStateStretchSpec[] aStretchSpec = new
  207.                 org.drip.state.inference.LatentStateStretchSpec[] {new
  208.                     org.drip.state.inference.LatentStateStretchSpec (strName, aSegmentSpec)};

  210.             org.drip.state.inference.LinearLatentStateCalibrator llsc = new
  211.                 org.drip.state.inference.LinearLatentStateCalibrator (new
  212.                     org.drip.spline.params.SegmentCustomBuilderControl (strBasisType, fsbp, sdic, new
  213.                         org.drip.spline.params.ResponseScalingShapeControl (true, new
  214.                             org.drip.function.r1tor1.QuadraticRationalShapeControl (0.)), null),
  215.                                 org.drip.spline.stretch.BoundarySettings.FinancialStandard(),
  216.                                     org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE, null, null);

  218.             return ShapePreservingGovvieCurve (llsc, aStretchSpec, strTreasuryCode, strCurrency, valParams,
  219.                 pricerParams, csqc, vcp, adblQuote[0]);
  220.         } catch (java.lang.Exception e) {
  221.             e.printStackTrace();
  222.         }

  224.         return null;
  225.     }

  227.     /**
  228.      * Construct an Instance of the Shape Preserver of the Linear Polynomial Type, using the Specified Basis
  229.      *  Set Builder Parameters.
  230.      * 
  231.      * @param strName Curve Name
  232.      * @param strTreasuryCode Treasury Code
  233.      * @param strCurrency Currency
  234.      * @param iSpotDate Spot Date
  235.      * @param aComp Array of Calibration Components
  236.      * @param adblQuote Array of Calibration Quotes
  237.      * @param strManifestMeasure The Calibration Manifest Measure
  238.      * 
  239.      * @return Instance of the Shape Preserver of the Cubic Polynomial Type
  240.      */

  242.     public static final org.drip.state.govvie.GovvieCurve LinearPolyShapePreserver (
  243.         final java.lang.String strName,
  244.         final java.lang.String strTreasuryCode,
  245.         final java.lang.String strCurrency,
  246.         final int iSpotDate,
  247.         final org.drip.product.definition.CalibratableComponent[] aComp,
  248.         final double[] adblQuote,
  249.         final java.lang.String strManifestMeasure)
  250.     {
  251.         try {
  252.             return ShapePreservingGovvieCurve (strName, strTreasuryCode, strCurrency,
  253.                 org.drip.param.valuation.ValuationParams.Spot (iSpotDate), null, null, null,
  254.                     org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  255.                         org.drip.spline.basis.PolynomialFunctionSetParams (2),
  256.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (0, 2), aComp,
  257.                                 strManifestMeasure, adblQuote);
  258.         } catch (java.lang.Exception e) {
  259.             e.printStackTrace();
  260.         }

  262.         return null;
  263.     }

  265.     /**
  266.      * Construct an Instance of the Shape Preserver of the Cubic Polynomial Type, using the Specified Basis
  267.      *  Set Builder Parameters.
  268.      * 
  269.      * @param strName Curve Name
  270.      * @param strTreasuryCode Treasury Code
  271.      * @param strCurrency Currency
  272.      * @param iSpotDate Spot Date
  273.      * @param aComp Array of Calibration Components
  274.      * @param adblQuote Array of Calibration Quotes
  275.      * @param strManifestMeasure The Calibration Manifest Measure
  276.      * 
  277.      * @return Instance of the Shape Preserver of the Cubic Polynomial Type
  278.      */

  280.     public static final org.drip.state.govvie.GovvieCurve CubicPolyShapePreserver (
  281.         final java.lang.String strName,
  282.         final java.lang.String strTreasuryCode,
  283.         final java.lang.String strCurrency,
  284.         final int iSpotDate,
  285.         final org.drip.product.definition.CalibratableComponent[] aComp,
  286.         final double[] adblQuote,
  287.         final java.lang.String strManifestMeasure)
  288.     {
  289.         try {
  290.             return ShapePreservingGovvieCurve (strName, strTreasuryCode, strCurrency,
  291.                 org.drip.param.valuation.ValuationParams.Spot (iSpotDate), null, null, null,
  292.                     org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  293.                         org.drip.spline.basis.PolynomialFunctionSetParams (4),
  294.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), aComp,
  295.                                 strManifestMeasure, adblQuote);
  296.         } catch (java.lang.Exception e) {
  297.             e.printStackTrace();
  298.         }

  300.         return null;
  301.     }

  303.     /**
  304.      * Create an Instance of the Custom Splined Govvie Yield Curve
  305.      * 
  306.      * @param strName Curve Name
  307.      * @param dtStart The Tenor Start Date
  308.      * @param strTreasuryCode Treasury Code
  309.      * @param strCurrency Currency
  310.      * @param aiMaturityDate Array of the Maturity Dates
  311.      * @param adblYield Array of the Yields
  312.      * @param scbc The Segment Custom Builder Control
  313.      * 
  314.      * @return The Instance of the Govvie Yield Curve
  315.      */

  317.     public static final org.drip.state.govvie.GovvieCurve CustomSplineCurve (
  318.         final java.lang.String strName,
  319.         final org.drip.analytics.date.JulianDate dtStart,
  320.         final java.lang.String strTreasuryCode,
  321.         final java.lang.String strCurrency,
  322.         final int[] aiMaturityDate,
  323.         final double[] adblYield,
  324.         final org.drip.spline.params.SegmentCustomBuilderControl scbc)
  325.     {
  326.         if (null == strName || strName.isEmpty() || null == dtStart || null == aiMaturityDate || null ==
  327.             adblYield)
  328.             return null;

  330.         int iNumTreasury = aiMaturityDate.length;
  331.         int[] aiPredictorOrdinate = new int[iNumTreasury + 1];
  332.         double[] adblResponseValue = new double[iNumTreasury + 1];
  333.         org.drip.spline.params.SegmentCustomBuilderControl[] aSCBC = new
  334.             org.drip.spline.params.SegmentCustomBuilderControl[iNumTreasury];

  336.         if (0 == iNumTreasury || iNumTreasury != adblYield.length) return null;

  338.         for (int i = 0; i <= iNumTreasury; ++i) {
  339.             aiPredictorOrdinate[i] = 0 == i ? dtStart.julian() : aiMaturityDate[i - 1];

  341.             adblResponseValue[i] = 0 == i ? adblYield[0] : adblYield[i - 1];

  343.             if (0 != i) aSCBC[i - 1] = scbc;
  344.         }

  346.         try {
  347.             return new org.drip.state.curve.BasisSplineGovvieYield (strTreasuryCode, strCurrency, new
  348.                 org.drip.spline.grid.OverlappingStretchSpan
  349.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator
  350.                         (strName, aiPredictorOrdinate, adblResponseValue, aSCBC, null,
  351.                             org.drip.spline.stretch.BoundarySettings.FloatingStandard(),
  352.                                 org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE)));
  353.         } catch (java.lang.Exception e) {
  354.             e.printStackTrace();
  355.         }

  357.         return null;
  358.     }

  360.     /**
  361.      * Create an Instance of the Linear Polynomial Splined Govvie Yield Curve
  362.      * 
  363.      * @param strName Curve Name
  364.      * @param dtStart The Tenor Start Date
  365.      * @param strTreasuryCode Treasury Code
  366.      * @param strCurrency Currency
  367.      * @param aiMaturityDate Array of the Maturity Dates
  368.      * @param adblYield Array of the Govvie Yields
  369.      * 
  370.      * @return The Instance of the Govvie Yield Curve
  371.      */

  373.     /* public static final org.drip.state.govvie.GovvieCurve LinearPolynomialCurve (
  374.         final java.lang.String strName,
  375.         final org.drip.analytics.date.JulianDate dtStart,
  376.         final java.lang.String strTreasuryCode,
  377.         final java.lang.String strCurrency,
  378.         final int[] aiMaturityDate,
  379.         final double[] adblYield)
  380.     {
  381.         try {
  382.             return CustomSplineCurve (strName, dtStart, strTreasuryCode, strCurrency, aiMaturityDate,
  383.                 adblYield, new org.drip.spline.params.SegmentCustomBuilderControl
  384.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  385.                         org.drip.spline.basis.PolynomialFunctionSetParams (2),
  386.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (0, 2), null, null));
  387.         } catch (java.lang.Exception e) {
  388.             e.printStackTrace();
  389.         }

  391.         return null;
  392.     } */

  394.     /**
  395.      * Create an Instance of the Cubic Polynomial Splined Govvie Yield Curve
  396.      * 
  397.      * @param strName Curve Name
  398.      * @param dtStart The Tenor Start Date
  399.      * @param strTreasuryCode Treasury Code
  400.      * @param strCurrency Currency
  401.      * @param aiMaturityDate Array of the Maturity Dates
  402.      * @param adblYield Array of the Govvie Yields
  403.      * 
  404.      * @return The Instance of the Govvie Yield Curve
  405.      */

  407.     public static final org.drip.state.govvie.GovvieCurve CubicPolynomialCurve (
  408.         final java.lang.String strName,
  409.         final org.drip.analytics.date.JulianDate dtStart,
  410.         final java.lang.String strTreasuryCode,
  411.         final java.lang.String strCurrency,
  412.         final int[] aiMaturityDate,
  413.         final double[] adblYield)
  414.     {
  415.         try {
  416.             return CustomSplineCurve (strName, dtStart, strTreasuryCode, strCurrency, aiMaturityDate,
  417.                 adblYield, new org.drip.spline.params.SegmentCustomBuilderControl
  418.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  419.                         org.drip.spline.basis.PolynomialFunctionSetParams (4),
  420.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  421.         } catch (java.lang.Exception e) {
  422.             e.printStackTrace();
  423.         }

  425.         return null;
  426.     }

  428.     /**
  429.      * Create an Instance of the Quartic Polynomial Splined Govvie Yield Curve
  430.      * 
  431.      * @param strName Curve Name
  432.      * @param dtStart The Tenor Start Date
  433.      * @param strTreasuryCode Treasury Code
  434.      * @param strCurrency Currency
  435.      * @param aiMaturityDate Array of the Maturity Dates
  436.      * @param adblYield Array of the Yields
  437.      * 
  438.      * @return The Instance of the Govvie Yield Curve
  439.      */

  441.     public static final org.drip.state.govvie.GovvieCurve QuarticPolynomialCurve (
  442.         final java.lang.String strName,
  443.         final org.drip.analytics.date.JulianDate dtStart,
  444.         final java.lang.String strTreasuryCode,
  445.         final java.lang.String strCurrency,
  446.         final int[] aiMaturityDate,
  447.         final double[] adblYield)
  448.     {
  449.         try {
  450.             return CustomSplineCurve (strName, dtStart, strTreasuryCode, strCurrency, aiMaturityDate,
  451.                 adblYield, new org.drip.spline.params.SegmentCustomBuilderControl
  452.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL, new
  453.                         org.drip.spline.basis.PolynomialFunctionSetParams (5),
  454.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  455.         } catch (java.lang.Exception e) {
  456.             e.printStackTrace();
  457.         }

  459.         return null;
  460.     }

  462.     /**
  463.      * Create an Instance of the Kaklis-Pandelis Splined Govvie Yield Curve
  464.      * 
  465.      * @param strName Curve Name
  466.      * @param dtStart The Tenor Start Date
  467.      * @param strTreasuryCode Treasury Code
  468.      * @param strCurrency Currency
  469.      * @param aiMaturityDate Array of the Maturity Dates
  470.      * @param adblYield Array of the Yields
  471.      * 
  472.      * @return The Instance of the Govvie Yield Curve
  473.      */

  475.     public static final org.drip.state.govvie.GovvieCurve KaklisPandelisCurve (
  476.         final java.lang.String strName,
  477.         final org.drip.analytics.date.JulianDate dtStart,
  478.         final java.lang.String strTreasuryCode,
  479.         final java.lang.String strCurrency,
  480.         final int[] aiMaturityDate,
  481.         final double[] adblYield)
  482.     {
  483.         try {
  484.             return CustomSplineCurve (strName, dtStart, strTreasuryCode, strCurrency, aiMaturityDate,
  485.                 adblYield, new org.drip.spline.params.SegmentCustomBuilderControl
  486.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KAKLIS_PANDELIS, new
  487.                         org.drip.spline.basis.KaklisPandelisSetParams (2),
  488.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  489.         } catch (java.lang.Exception e) {
  490.             e.printStackTrace();
  491.         }

  493.         return null;
  494.     }

  496.     /**
  497.      * Create an Instance of the KLK Hyperbolic Splined Govvie Yield Curve
  498.      * 
  499.      * @param strName Curve Name
  500.      * @param dtStart The Tenor Start Date
  501.      * @param strTreasuryCode Treasury Code
  502.      * @param strCurrency Currency
  503.      * @param aiMaturityDate Array of the Maturity Dates
  504.      * @param adblYield Array of the Yields
  505.      * @param dblTension The Tension Parameter
  506.      * 
  507.      * @return The Instance of the Govvie Yield Curve
  508.      */

  510.     public static final org.drip.state.govvie.GovvieCurve KLKHyperbolicCurve (
  511.         final java.lang.String strName,
  512.         final org.drip.analytics.date.JulianDate dtStart,
  513.         final java.lang.String strTreasuryCode,
  514.         final java.lang.String strCurrency,
  515.         final int[] aiMaturityDate,
  516.         final double[] adblYield,
  517.         final double dblTension)
  518.     {
  519.         try {
  520.             return CustomSplineCurve (strName, dtStart, strTreasuryCode, strCurrency, aiMaturityDate,
  521.                 adblYield, new org.drip.spline.params.SegmentCustomBuilderControl
  522.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_HYPERBOLIC_TENSION,
  523.                         new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  524.                             org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  525.         } catch (java.lang.Exception e) {
  526.             e.printStackTrace();
  527.         }

  529.         return null;
  530.     }

  532.     /**
  533.      * Create an Instance of the KLK Rational Linear Splined Govvie Yield Curve
  534.      * 
  535.      * @param strName Curve Name
  536.      * @param dtStart The Tenor Start Date
  537.      * @param strTreasuryCode Treasury Code
  538.      * @param strCurrency Currency
  539.      * @param aiMaturityDate Array of the Maturity Dates
  540.      * @param adblYield Array of the Yields
  541.      * @param dblTension The Tension Parameter
  542.      * 
  543.      * @return The Instance of the Govvie Yield Curve
  544.      */

  546.     public static final org.drip.state.govvie.GovvieCurve KLKRationalLinearCurve (
  547.         final java.lang.String strName,
  548.         final org.drip.analytics.date.JulianDate dtStart,
  549.         final java.lang.String strTreasuryCode,
  550.         final java.lang.String strCurrency,
  551.         final int[] aiMaturityDate,
  552.         final double[] adblYield,
  553.         final double dblTension)
  554.     {
  555.         try {
  556.             return CustomSplineCurve (strName, dtStart, strTreasuryCode, strCurrency, aiMaturityDate,
  557.                 adblYield, new org.drip.spline.params.SegmentCustomBuilderControl
  558.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_RATIONAL_LINEAR_TENSION,
  559.                 new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  560.                     org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  561.         } catch (java.lang.Exception e) {
  562.             e.printStackTrace();
  563.         }

  565.         return null;
  566.     }

  568.     /**
  569.      * Create an Instance of the KLK Rational Quadratic Splined Govvie Yield Curve
  570.      * 
  571.      * @param strName Curve Name
  572.      * @param dtStart The Tenor Start Date
  573.      * @param strTreasuryCode Treasury Code
  574.      * @param strCurrency Currency
  575.      * @param aiMaturityDate Array of the Maturity Dates
  576.      * @param adblYield Array of the Yields
  577.      * @param dblTension The Tension Parameter
  578.      * 
  579.      * @return The Instance of the Govvie Yield Curve
  580.      */

  582.     public static final org.drip.state.govvie.GovvieCurve KLKRationalQuadraticCurve (
  583.         final java.lang.String strName,
  584.         final org.drip.analytics.date.JulianDate dtStart,
  585.         final java.lang.String strTreasuryCode,
  586.         final java.lang.String strCurrency,
  587.         final int[] aiMaturityDate,
  588.         final double[] adblYield,
  589.         final double dblTension)
  590.     {
  591.         try {
  592.             return CustomSplineCurve (strName, dtStart, strTreasuryCode, strCurrency, aiMaturityDate,
  593.                 adblYield, new org.drip.spline.params.SegmentCustomBuilderControl
  594.                     (org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_KLK_RATIONAL_QUADRATIC_TENSION,
  595.                 new org.drip.spline.basis.ExponentialTensionSetParams (dblTension),
  596.                     org.drip.spline.params.SegmentInelasticDesignControl.Create (2, 2), null, null));
  597.         } catch (java.lang.Exception e) {
  598.             e.printStackTrace();
  599.         }

  601.         return null;
  602.     }

  604.     /**
  605.      * Construct a Govvie Curve from an Array of Dates and Yields
  606.      * 
  607.      * @param iEpochDate Epoch Date
  608.      * @param strTreasuryCode Treasury Code
  609.      * @param strCurrency Currency
  610.      * @param aiDate Array of Dates
  611.      * @param adblYield Array of Yields
  612.      * 
  613.      * @return The Govvie Curve Instance
  614.      */

  616.     public static final org.drip.state.govvie.GovvieCurve DateYield (
  617.         final int iEpochDate,
  618.         final java.lang.String strTreasuryCode,
  619.         final java.lang.String strCurrency,
  620.         final int[] aiDate,
  621.         final double[] adblYield)
  622.     {
  623.         try {
  624.             return new org.drip.state.nonlinear.FlatYieldGovvieCurve (iEpochDate, strTreasuryCode,
  625.                 strCurrency, aiDate, adblYield);
  626.         } catch (java.lang.Exception e) {
  627.             e.printStackTrace();
  628.         }

  630.         return null;
  631.     }

  633.     /**
  634.      * Construct a Govvie Curve from the Specified Date and Yield
  635.      * 
  636.      * @param iEpochDate Epoch Date
  637.      * @param strTreasuryCode Treasury Code
  638.      * @param strCurrency Currency
  639.      * @param dblYield Yield
  640.      * 
  641.      * @return The Govvie Curve Instance
  642.      */

  644.     public static final org.drip.state.govvie.GovvieCurve ConstantYield (
  645.         final int iEpochDate,
  646.         final java.lang.String strTreasuryCode,
  647.         final java.lang.String strCurrency,
  648.         final double dblYield)  {
  649.         try {
  650.             return new org.drip.state.nonlinear.FlatYieldGovvieCurve (iEpochDate, strTreasuryCode,
  651.                 strCurrency, new int[] {iEpochDate}, new double[] {dblYield});
  652.         } catch (java.lang.Exception e) {
  653.             e.printStackTrace();
  654.         }

  656.         return null;
  657.     }
  658. }
Created with JaCoCo 0.7.9.201702052155