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.
|Tags||spline discount credit FX forward Curve discountcurve creditcurve forwardcurve fxcurve fxforward fxforwardcurve fxbasis Basis fxbasiscurve tenor tenorbasis|
· 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
Release Notes: This is the first Freecode release announcement.