public class FXForwardContract.FXBasisCalibrator
extends java.lang.Object
Constructor and Description |
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FXForwardContract.FXBasisCalibrator(FXForwardContract fxfwd)
Constructor: Constructs the basis calibrator from the FXForward parent
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Modifier and Type | Method and Description |
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double |
calibrateDCBasisFromFwdPriceNR(ValuationParams valParams,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblFXSpot,
double dblMarketFXFwdPrice,
boolean bBasisOnDenom)
Calibrates the discount curve basis from FXForward using Newton-Raphson methodology
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public FXForwardContract.FXBasisCalibrator(FXForwardContract fxfwd) throws java.lang.Exception
fxfwd
- FXForward parentjava.lang.Exception
- Thrown if parent is invalidpublic double calibrateDCBasisFromFwdPriceNR(ValuationParams valParams, DiscountCurve dcNum, DiscountCurve dcDenom, double dblFXSpot, double dblMarketFXFwdPrice, boolean bBasisOnDenom) throws java.lang.Exception
valParams
- ValuationParamsdcNum
- Discount Curve for the NumeratordcDenom
- Discount Curve for the DenominatordblFXSpot
- FXSpot valuedblMarketFXFwdPrice
- FXForward market valuebBasisOnDenom
- True - Basis is set on the denominatorjava.lang.Exception
- Thrown if cannot calibrate