public class RatesScenarioCurveBuilder
extends java.lang.Object
Constructor and Description |
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RatesScenarioCurveBuilder() |
Modifier and Type | Method and Description |
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static DiscountCurve |
CubicKLKHyperbolicDFRateShapePreserver(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
boolean bZeroSmooth)
Construct an instance of the Shape Preserver of the KLK Hyperbolic Tension Type, using the specified
basis set builder parameters.
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static DiscountCurve |
CubicPolyDFRateShapePreserver(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
boolean bZeroSmooth)
Construct an instance of the Shape Preserver of the Cubic Polynomial Type, using the specified
basis set builder parameters.
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static DiscountCurve |
CustomDENSE(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
java.lang.String strTenor1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
java.lang.String strTenor2,
TurnListDiscountFactor tldf)
Customizable DENSE Curve Creation Methodology - the references are:
- Sankar, L.
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static DiscountCurve |
DENSE(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
TurnListDiscountFactor tldf)
The Standard DENSE Curve Creation Methodology - this uses no re-construction set for the short term,
and uses 3M dense re-construction for the Swap Set.
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static DiscountCurve |
DFRateShapePreserver(java.lang.String strName,
ValuationParams valParams,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam,
java.lang.String strBasisType,
FunctionSetBuilderParams fsbp,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
double dblEpochResponse,
boolean bZeroSmooth)
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
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static DiscountCurve |
DUALDENSE(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
java.lang.String strTenor1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
java.lang.String strTenor2,
TurnListDiscountFactor tldf)
The DUAL DENSE Curve Creation Methodology - this uses configurable re-construction set for the short
term, and another configurable re-construction for the Swap Set.
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static DiscountCurve |
ForwardRateShapePreserver(java.lang.String strName,
ValuationParams valParams,
java.lang.String strBasisType,
FunctionSetBuilderParams fsbp,
CalibratableComponent[] aCalibComp,
double[] adblQuote)
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
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static ScenarioDiscountCurve |
FromIRCSG(java.lang.String strCurrency,
java.lang.String strBootstrapMode,
CalibratableComponent[] aCalibInst)
Create an RatesScenarioCurve Instance from the currency and the array of the calibration
instruments
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static DiscountCurve |
NonlinearBuild(JulianDate dt,
java.lang.String strCurrency,
java.lang.String strBootstrapMode,
CalibratableComponent[] aCalibInst,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Create Discount Curve from the Rates Calibration Instruments
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static DiscountCurve |
ShapePreservingDFBuild(LinearCurveCalibrator lcc,
StretchRepresentationSpec[] aSRS,
ValuationParams valParam,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam,
double dblEpochResponse)
Build the Shape Preserving Discount Curve using the Custom Parameters
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static ForwardCurve |
ShapePreservingForwardCurve(LinearCurveCalibrator lcc,
StretchRepresentationSpec[] aSRS,
FloatingRateIndex fri,
ValuationParams valParam,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam,
double dblEpochResponse)
Build the Shape Preserving Forward Curve using the Custom Parameters
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static ForwardCurve |
ShapePreservingForwardCurve(java.lang.String strName,
FloatingRateIndex fri,
ValuationParams valParams,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam,
java.lang.String strBasisType,
FunctionSetBuilderParams fsbp,
CalibratableComponent[] aCalibComp,
double[] adblQuote,
double dblEpochResponse)
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
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static DiscountCurve |
SmoothingGlobalControlBuild(DiscountCurve dcShapePreserver,
LinearCurveCalibrator lcc,
GlobalControlCurveParams gccp,
StretchRepresentationSpec[] aSRS,
ValuationParams valParam,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam)
Build a Globally Smoothed Instance of the Discount Curve using the Custom Parameters
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static DiscountCurve |
SmoothingLocalControlBuild(DiscountCurve dcShapePreserver,
LinearCurveCalibrator lcc,
LocalControlCurveParams lccp,
StretchRepresentationSpec[] aSRS,
ValuationParams valParam,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam)
Build a Locally Smoothed Instance of the Discount Curve using the Custom Parameters
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static DiscountCurve |
ZeroSmooth(DiscountCurve dcShapePreserving,
LinearCurveCalibrator lcc,
StretchRepresentationSpec[] aSRS,
ValuationParams valParams)
Smooth the Shape Preserving Discount Curve using the Smoothed Zero Curve
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public static final ScenarioDiscountCurve FromIRCSG(java.lang.String strCurrency, java.lang.String strBootstrapMode, CalibratableComponent[] aCalibInst)
strCurrency
- CurrencystrBootstrapMode
- Bootstrap Mode - one of the choices in DiscountCurveBuilder.BOOTSTRAP_MODE_xxxaCalibInst
- Array of the calibration instrumentspublic static final DiscountCurve NonlinearBuild(JulianDate dt, java.lang.String strCurrency, java.lang.String strBootstrapMode, CalibratableComponent[] aCalibInst, double[] adblQuotes, java.lang.String[] astrCalibMeasure, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
dt
- Valuation DatestrCurrency
- CurrencystrBootstrapMode
- Bootstrap Mode - one of the choices in DiscountCurveBuilder.BOOTSTRAP_MODE_xxxaCalibInst
- Input Rates Calibration InstrumentsadblQuotes
- Input Calibration QuotesastrCalibMeasure
- Input Calibration MeasuresmmFixings
- (Optional) Input Fixingspublic static final DiscountCurve ShapePreservingDFBuild(LinearCurveCalibrator lcc, StretchRepresentationSpec[] aSRS, ValuationParams valParam, PricerParams pricerParam, ComponentMarketParams cmp, QuotingParams quotingParam, double dblEpochResponse)
lcc
- The Linear Curve Calibrator InstanceaSRS
- Array of the Instrument Representation StretchesvalParam
- Valuation ParameterspricerParam
- Pricer Parameterscmp
- Component Market ParametersquotingParam
- Quoting ParametersdblEpochResponse
- The Starting Response Valuepublic static final DiscountCurve SmoothingGlobalControlBuild(DiscountCurve dcShapePreserver, LinearCurveCalibrator lcc, GlobalControlCurveParams gccp, StretchRepresentationSpec[] aSRS, ValuationParams valParam, PricerParams pricerParam, ComponentMarketParams cmp, QuotingParams quotingParam)
dcShapePreserver
- Instance of the Shape Preserving Discount Curvelcc
- The Linear Curve Calibrator Instancegccp
- Global Smoothing Curve Control ParametersaSRS
- Array of the Instrument Representation StretchesvalParam
- Valuation ParameterspricerParam
- Pricer Parameterscmp
- Component Market ParametersquotingParam
- Quoting Parameterspublic static final DiscountCurve SmoothingLocalControlBuild(DiscountCurve dcShapePreserver, LinearCurveCalibrator lcc, LocalControlCurveParams lccp, StretchRepresentationSpec[] aSRS, ValuationParams valParam, PricerParams pricerParam, ComponentMarketParams cmp, QuotingParams quotingParam)
dcShapePreserver
- Instance of the Shape Preserving Discount Curvelcc
- The Linear Curve Calibrator Instancelccp
- Local Smoothing Curve Control ParametersaSRS
- Array of the Instrument Representation StretchesvalParam
- Valuation ParameterspricerParam
- Pricer Parameterscmp
- Component Market ParametersquotingParam
- Quoting Parameterspublic static final DiscountCurve DFRateShapePreserver(java.lang.String strName, ValuationParams valParams, PricerParams pricerParam, ComponentMarketParams cmp, QuotingParams quotingParam, java.lang.String strBasisType, FunctionSetBuilderParams fsbp, CalibratableComponent[] aCalibComp1, double[] adblQuote1, CalibratableComponent[] aCalibComp2, double[] adblQuote2, double dblEpochResponse, boolean bZeroSmooth)
strName
- Curve NamevalParams
- Valuation ParameterspricerParam
- Pricer Parameterscmp
- Component Market ParametersquotingParam
- Quoting ParametersstrBasisType
- The Basis Typefsbp
- The Function Set Basis ParametersaCalibComp1
- Array of Calibration Components #1adblQuote1
- Array of Calibration Quotes #1aCalibComp2
- Array of Calibration Components #2adblQuote2
- Array of Calibration Quotes #2dblEpochResponse
- The Stretch Start DFbZeroSmooth
- TRUE => Turn on the Zero Rate Smoothingpublic static final DiscountCurve CubicKLKHyperbolicDFRateShapePreserver(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibComp1, double[] adblQuote1, CalibratableComponent[] aCalibComp2, double[] adblQuote2, boolean bZeroSmooth)
strName
- Curve NamevalParams
- Valuation ParametersaCalibComp1
- Array of Calibration Components #1adblQuote1
- Array of Calibration Quotes #1aCalibComp2
- Array of Calibration Components #2adblQuote2
- Array of Calibration Quotes #2bZeroSmooth
- TRUE => Turn on the Zero Rate Smoothingpublic static final DiscountCurve CubicPolyDFRateShapePreserver(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibComp1, double[] adblQuote1, CalibratableComponent[] aCalibComp2, double[] adblQuote2, boolean bZeroSmooth)
strName
- Curve NamevalParams
- Valuation ParametersaCalibComp1
- Array of Calibration Components #1adblQuote1
- Array of Calibration Quotes #1aCalibComp2
- Array of Calibration Components #2adblQuote2
- Array of Calibration Quotes #2bZeroSmooth
- TRUE => Turn on the Zero Rate Smoothingpublic static final DiscountCurve ZeroSmooth(DiscountCurve dcShapePreserving, LinearCurveCalibrator lcc, StretchRepresentationSpec[] aSRS, ValuationParams valParams)
dcShapePreserving
- The Shape Preserving Discount Curvelcc
- The Linear Curve CalibratoraSRS
- Array of the Instrument Stretch RepresentationsvalParams
- The Valuation Parameterspublic static final DiscountCurve CustomDENSE(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibComp1, double[] adblQuote1, java.lang.String strTenor1, CalibratableComponent[] aCalibComp2, double[] adblQuote2, java.lang.String strTenor2, TurnListDiscountFactor tldf)
strName
- The Curve NamevalParams
- Valuation ParametersaCalibComp1
- Array of Stretch #1 Calibration ComponentsadblQuote1
- Array of Stretch #1 Calibration QuotesstrTenor1
- Stretch #1 Instrument set re-construction TenoraCalibComp2
- Array of Stretch #2 Calibration ComponentsadblQuote2
- Array of Stretch #2 Calibration QuotesstrTenor2
- Stretch #2 Instrument set re-construction Tenortldf
- The Turns Listpublic static final DiscountCurve DENSE(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibComp1, double[] adblQuote1, CalibratableComponent[] aCalibComp2, double[] adblQuote2, TurnListDiscountFactor tldf)
strName
- The Curve NamevalParams
- Valuation ParametersaCalibComp1
- Array of Stretch #1 Calibration ComponentsadblQuote1
- Array of Stretch #1 Calibration QuotesaCalibComp2
- Array of Stretch #2 Calibration ComponentsadblQuote2
- Array of Stretch #2 Calibration Quotestldf
- The Turns Listpublic static final DiscountCurve DUALDENSE(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibComp1, double[] adblQuote1, java.lang.String strTenor1, CalibratableComponent[] aCalibComp2, double[] adblQuote2, java.lang.String strTenor2, TurnListDiscountFactor tldf)
strName
- The Curve NamevalParams
- Valuation ParametersaCalibComp1
- Array of Stretch #1 Calibration ComponentsadblQuote1
- Array of Stretch #1 Calibration QuotesstrTenor1
- Stretch #1 Instrument set re-construction TenoraCalibComp2
- Array of Stretch #2 Calibration ComponentsadblQuote2
- Array of Stretch #2 Calibration QuotesstrTenor2
- Stretch #2 Instrument set re-construction Tenortldf
- The Turns Listpublic static final DiscountCurve ForwardRateShapePreserver(java.lang.String strName, ValuationParams valParams, java.lang.String strBasisType, FunctionSetBuilderParams fsbp, CalibratableComponent[] aCalibComp, double[] adblQuote)
strName
- Curve NamevalParams
- Valuation ParametersstrBasisType
- The Basis Typefsbp
- The Function Set Basis ParametersaCalibComp
- Array of Calibration ComponentsadblQuote
- Array of Calibration Quotespublic static final ForwardCurve ShapePreservingForwardCurve(LinearCurveCalibrator lcc, StretchRepresentationSpec[] aSRS, FloatingRateIndex fri, ValuationParams valParam, PricerParams pricerParam, ComponentMarketParams cmp, QuotingParams quotingParam, double dblEpochResponse)
lcc
- The Linear Curve Calibrator InstanceaSRS
- Array of the Instrument Representation Stretchesfri
- The Floating Rate IndexvalParam
- Valuation ParameterspricerParam
- Pricer Parameterscmp
- Component Market ParametersquotingParam
- Quoting ParametersdblEpochResponse
- The Starting Response Valuepublic static final ForwardCurve ShapePreservingForwardCurve(java.lang.String strName, FloatingRateIndex fri, ValuationParams valParams, PricerParams pricerParam, ComponentMarketParams cmp, QuotingParams quotingParam, java.lang.String strBasisType, FunctionSetBuilderParams fsbp, CalibratableComponent[] aCalibComp, double[] adblQuote, double dblEpochResponse)
strName
- Curve Namefri
- The Floating Rate IndexvalParams
- Valuation ParameterspricerParam
- Pricer Parameterscmp
- Component Market ParametersquotingParam
- Quoting ParametersstrBasisType
- The Basis Typefsbp
- The Function Set Basis ParametersaCalibComp
- Array of Calibration ComponentsadblQuote
- Array of Calibration QuotesdblEpochResponse
- The Stretch Start DF