public class BracketingCalibrator extends java.lang.Object implements ComponentCalibrator
Modifier and Type | Field and Description |
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static int |
BRACKET_BISECTION
Bracketing using Bisection Method
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static int |
BRACKET_COMPOSITE
Bracketing using Composite (Secant/Bisection) Method
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static int |
BRACKET_SECANT
Bracketing using Secant Method
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Constructor and Description |
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BracketingCalibrator()
Constructs an empty BracketingCalibrator
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BracketingCalibrator(int iBracketMethod,
int iMaxIterations,
double dblCalibFloor,
double dblCalibCeiling,
double dblRelTolerance)
Constructs a BracketingCalibrator instance from the bracketing parameters
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Modifier and Type | Method and Description |
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boolean |
bootstrapHazardRate(CreditCurve cc,
Component comp,
int iInstr,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
PricerParams pricerParamsIn,
java.lang.String strMeasure,
double dblCalibValue,
java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Bootstraps the hazard rate curve from the component quote
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boolean |
bootstrapInterestRate(DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
Component comp,
int iInstr,
ValuationParams valParams,
java.lang.String strMeasure,
double dblCalibValue,
java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Bootstraps the interest rate curve from the component quote
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public static int BRACKET_SECANT
public static int BRACKET_BISECTION
public static int BRACKET_COMPOSITE
public BracketingCalibrator()
public BracketingCalibrator(int iBracketMethod, int iMaxIterations, double dblCalibFloor, double dblCalibCeiling, double dblRelTolerance) throws java.lang.Exception
iBracketMethod
- One of BRACKET_SECANT, BRACKET_BISECTION, BRACKET_COMPOSITEiMaxIterations
- Maximum number of iterationsdblCalibFloor
- Floor below which the calibration is deemed to have faileddblCalibCeiling
- Ceiling above which the calibration is deemed to have faileddblRelTolerance
- The Relative tolerance to determine the vicinity of the errorjava.lang.Exception
- Thrown if the component cannot be calibratedpublic boolean bootstrapHazardRate(CreditCurve cc, Component comp, int iInstr, ValuationParams valParams, DiscountCurve dc, DiscountCurve dcTSY, DiscountCurve dcEDSF, PricerParams pricerParamsIn, java.lang.String strMeasure, double dblCalibValue, java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> mmFixings, QuotingParams quotingParams, boolean bFlat)
ComponentCalibrator
bootstrapHazardRate
in interface ComponentCalibrator
cc
- Credit Curvecomp
- Calibration ComponentiInstr
- Bootstrap indexvalParams
- ValuationParamsdc
- Base Discount CurvedcTSY
- Treasury Discount CurvedcEDSF
- EDSF Discount CurvepricerParamsIn
- PricerParamsstrMeasure
- Component measure to be calibrateddblCalibValue
- Component measure quotemmFixings
- Fixings objectquotingParams
- Quoting ParametersbFlat
- Flat calibration (true), True bootstrapping (false)public boolean bootstrapInterestRate(DiscountCurve dc, DiscountCurve dcTSY, DiscountCurve dcEDSF, Component comp, int iInstr, ValuationParams valParams, java.lang.String strMeasure, double dblCalibValue, java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> mmFixings, QuotingParams quotingParams, boolean bFlat)
ComponentCalibrator
bootstrapInterestRate
in interface ComponentCalibrator
dc
- Discount CurvedcTSY
- Treasury Discount CurvedcEDSF
- EDSF Discount Curvecomp
- Calibration ComponentiInstr
- Bootstrap indexvalParams
- ValuationParamsstrMeasure
- Component measure to be calibrateddblCalibValue
- Component measure quotemmFixings
- Fixings objectquotingParams
- Quoting ParametersbFlat
- Flat calibration (true), True bootstrapping (false)