public static YieldCurveBundle createCurvesUSD() {
final String discountingCurvename = "USD Discounting";
final String forward3MCurveName = "Forward USDLIBOR3M";
final String forward6MCurveName = "Forward USDLIBOR6M";
final InterpolatedDoublesCurve dscC =
new InterpolatedDoublesCurve(
new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 20.0},
new double[] {0.0050, 0.0100, 0.0150, 0.0200, 0.0200, 0.0300},
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR),
true,
discountingCurvename);
final InterpolatedDoublesCurve fwd3C =
new InterpolatedDoublesCurve(
new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 25.0},
new double[] {0.0070, 0.0120, 0.0165, 0.0215, 0.0210, 0.0310},
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR),
true,
forward3MCurveName);
final InterpolatedDoublesCurve fwd6C =
new InterpolatedDoublesCurve(
new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 30.0},
new double[] {0.0075, 0.0125, 0.0170, 0.0220, 0.0212, 0.0312},
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR),
true,
forward6MCurveName);
final YieldCurveBundle curves = new YieldCurveBundle();
curves.setCurve(discountingCurvename, YieldCurve.from(dscC));
curves.setCurve(forward3MCurveName, YieldCurve.from(fwd3C));
curves.setCurve(forward6MCurveName, YieldCurve.from(fwd6C));
return curves;
}
/**
* Create a yield curve bundle with three curves. One called "Credit" with a constant rate of 5%,
* one called "Discounting" with a constant rate of 4%, and one called "Forward" with a constant
* rate of 4.5%.
*
* @return The yield curve bundle.
*/
public static YieldCurveBundle createCurvesBond() {
final String CREDIT_CURVE_NAME = "Credit";
final String DISCOUNTING_CURVE_NAME = "Repo";
final String FORWARD_CURVE_NAME = "Forward";
final YieldAndDiscountCurve CURVE_5 = YieldCurve.from(ConstantDoublesCurve.from(0.05));
final YieldAndDiscountCurve CURVE_4 = YieldCurve.from(ConstantDoublesCurve.from(0.04));
final YieldAndDiscountCurve CURVE_45 = YieldCurve.from(ConstantDoublesCurve.from(0.045));
final YieldCurveBundle curves = new YieldCurveBundle();
curves.setCurve(CREDIT_CURVE_NAME, CURVE_5);
curves.setCurve(DISCOUNTING_CURVE_NAME, CURVE_4);
curves.setCurve(FORWARD_CURVE_NAME, CURVE_45);
return curves;
}