public class BondComponent.BondCalibrator
extends java.lang.Object
Constructor and Description |
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BondComponent.BondCalibrator(BondComponent bond)
Constructor: Construct the calibrator from the parent bond.
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Modifier and Type | Method and Description |
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double |
calibDiscCurveSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPriceCalib)
Calibrate the bond Z Spread from the market price.
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double |
calibrateCreditBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPriceCalib,
boolean bFlatCalib)
Calibrate the bond Credit Basis from the market price
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double |
calibrateYieldFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calibrate the bond yield from the market price using the root bracketing technique.
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double |
calibrateZSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
int iZeroCurveBaseDC,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calibrate the bond Z Spread from the market price using the root bracketing technique.
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double |
calibZeroCurveSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPriceCalib)
Calibrate the bond Z Spread from the market price.
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public BondComponent.BondCalibrator(BondComponent bond) throws java.lang.Exception
bond
- Parentjava.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
- Valuation ParametersmktParams
- Bond Market ParametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price to be calibrated tojava.lang.Exception
- Thrown if the yield cannot be calibratedpublic double calibrateZSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, int iZeroCurveBaseDC, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Bond Market ParametersiZeroCurveBaseDC
- The Discount Curve to derive the zero curve off ofdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price to be calibrated tojava.lang.Exception
- Thrown if the Z Spread cannot be calibratedpublic double calibDiscCurveSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPriceCalib) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Bond Market ParametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPriceCalib
- Price to be calibrated tojava.lang.Exception
- Thrown if the yield cannot be calibratedpublic double calibZeroCurveSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPriceCalib) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Bond Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPriceCalib
- Price to be calibrated tojava.lang.Exception
- Thrown if the yield cannot be calibratedpublic double calibrateCreditBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPriceCalib, boolean bFlatCalib) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Bond Market ParametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPriceCalib
- Price to be calibrated tojava.lang.Exception
- Thrown if the Credit Basis cannot be calibrated