Projects / Curve Builder

Curve Builder

CurveBuilder provides the functionality for highly customized discount, forward, credit, and FX curve construction, customized with wide variety of basis splines, calibration instrument types, and measures.


Last announcement

Curve Builder 24 Jan 2014 15:01

· Basis Spline Library Extensions: o Segment/Stretch/Span Partitioned Formulation (along with Latent State Quantification Metric extraction form the observed Manifest Measure) o Segment Local Curvature + Length Penalty Setup (aka pseudo splines) o Best-Fit Penalizing Splines with Custom Penalty Order and arbitrary (but “well-behaved”) basis spline set o Penalty evaluated Regression Splines o Local Hermite Smoothing Schemes – Akima, Bessel, Hagan-West, Harmonic, Huynh-Le Floch, Hyman, Kruger, and Preuss schemes. · B Spline Functionality: o Raw/Processed Basis Hat Functions Implementation o Synthetic Monic Basis B Spline generation with shape control o B Spline Sequence build-out using multic segment basis function aggregation o Custom closed form cubic KLK Hyperbolic Tension o Incorporation of the B Spline basis onto the segment/stretch/span schematic setup and usage · Spline Based Discount Curve Build-Out: o Shape Preserving Discount Curve Build with and without turn list adjustment o Smoothing Discount Curve Build Pass with and without turn list adjustment o Transition Spline Based Discount Curve Construction o Estimation of the in-situ discount curve input quote Jacobian o Implementation of the discount curve build-out using standard schemes such as DENSE, DUALDENSE, and CUSTOMDENSE · Spline Based Forward Curve Build-Out: o Shape Preserving Forward Curve Build o Smoothing Forward Curve Build Pass o Linearized Forward Basis Calibrator Constraint setup for fix-float and float-float o Labeled correlated discount factor/forward rate merge sub-stretch setup o Manifest Measure/Quantification metric tweaked latent state construction and the corresponding Jacobian · Canned Product Metric Calculation: o Day-over-day discount curve build-out for 20 years for EM/G10 o 1D/1M/3M/6M Carry PnL o 1D/1M/3M/6M Curve Roll Down PnL o 1D Curve Shift PnL o Daily Forward Rate Matrix

Recent releases

  •  24 Jan 2014 15:00

    Release Notes: This is the first Freecode release announcement.


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