public class BondComponent.BondCalibrator
extends java.lang.Object
Constructor and Description |
---|
BondComponent.BondCalibrator(BondComponent bond,
boolean bRandBracket)
Constructor: Contructs the calibrator from the parent bond, as well as a flag indicator if the
bracketing converger is randomly chosen.
|
Modifier and Type | Method and Description |
---|---|
double |
calibDiscCurveSpreadFromPriceNR(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPriceCalib)
Calibrates the bond Z Spread from the market price using the Newton-Raphson technique.
|
double |
calibrateCreditBasisFromPriceNR(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPriceCalib,
boolean bFlatCalib)
Calibrates the bond Credit Basis from the market price using the Newton-Raphson technique.
|
double |
calibrateYieldFromParASWNR(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASWCalib)
Calibrates the bond Yield from the market Par ASW using the Newton-Raphson technique.
|
double |
calibrateYieldFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calibrates the bond yield from the market price using the root bracketing technique.
|
double |
calibrateYieldFromPriceNR(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPriceCalib)
Calibrates the bond yield from the market price using the Newton-Raphson technique.
|
double |
calibrateZSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calibrates the bond Z Spread from the market price using the root bracketing technique.
|
double |
calibrateZSpreadFromPrice2(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calibrates the bond Z Spread from the market price using the root bracketing technique.
|
double |
calibZeroCurveSpreadFromPriceNR(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPriceCalib)
Calibrates the bond Z Spread from the market price using the Newton-Raphson technique.
|
public BondComponent.BondCalibrator(BondComponent bond, boolean bRandBracket) throws java.lang.Exception
bond
- ParentbRandBracket
- Flag indicator if the bracketing converger is randomly chosenjava.lang.Exception
- Thrown if the inputs are invalidpublic double calibrateYieldFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- VauationParamsmktParams
- Bond Market ParamsdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price to be calibrated tojava.lang.Exception
- Thrown if the yield cannot be calibratedpublic double calibrateYieldFromPriceNR(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPriceCalib) throws java.lang.Exception
valParams
- VauationParamsmktParams
- Bond Market ParamsdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPriceCalib
- Price to be calibrated tojava.lang.Exception
- Thrown if the yield cannot be calibratedpublic double calibrateZSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- VauationParamsmktParams
- Bond Market ParamsdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price to be calibrated tojava.lang.Exception
- Thrown if the Z Spread cannot be calibratedpublic double calibrateZSpreadFromPrice2(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- VauationParamsmktParams
- Bond Market ParamsquotingParams
- Quoting ParametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price to be calibrated tojava.lang.Exception
- Thrown if the Z Spread cannot be calibratedpublic double calibDiscCurveSpreadFromPriceNR(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPriceCalib) throws java.lang.Exception
valParams
- VauationParamsmktParams
- Bond Market ParamsdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPriceCalib
- Price to be calibrated tojava.lang.Exception
- Thrown if the yield cannot be calibratedpublic double calibZeroCurveSpreadFromPriceNR(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPriceCalib) throws java.lang.Exception
valParams
- VauationParamsmktParams
- Bond Market ParamsquotingParams
- Quoting ParametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPriceCalib
- Price to be calibrated tojava.lang.Exception
- Thrown if the yield cannot be calibratedpublic double calibrateCreditBasisFromPriceNR(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPriceCalib, boolean bFlatCalib) throws java.lang.Exception
valParams
- VauationParamsmktParams
- Bond Market ParamsdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPriceCalib
- Price to be calibrated tojava.lang.Exception
- Thrown if the Credit Basis cannot be calibratedpublic double calibrateYieldFromParASWNR(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASWCalib) throws java.lang.Exception
valParams
- VauationParamsmktParams
- Bond Market ParamsdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASWCalib
- Price to be calibrated tojava.lang.Exception
- Thrown if the Yield cannot be calibrated