public class LinearCurveCalibrator extends GlobalControlCurveParams
Constructor and Description |
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LinearCurveCalibrator(SegmentCustomBuilderControl scbc,
BoundarySettings bs,
int iCalibrationDetail,
StretchBestFitResponse sbfr,
StretchBestFitResponse sbfrSensitivity)
LinearCurveCalibrator constructor
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Modifier and Type | Method and Description |
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OverlappingStretchSpan |
calibrateSpan(StretchRepresentationSpec[] aSRS,
double dblEpochResponse,
ValuationParams valParams,
PricerParams pricerParams,
QuotingParams quotingParams,
ComponentMarketParams cmp)
Calibrate the Span from the Instruments in the Stretches, and their Cash Flows.
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calibrationBoundaryCondition
bestFitWeightedResponse, bestFitWeightedResponseSensitivity, calibrationDetail, segmentBuilderControl, smootheningQuantificationMetric
public LinearCurveCalibrator(SegmentCustomBuilderControl scbc, BoundarySettings bs, int iCalibrationDetail, StretchBestFitResponse sbfr, StretchBestFitResponse sbfrSensitivity) throws java.lang.Exception
scbc
- Segment Builder Control Parametersbs
- The Calibration Boundary ConditioniCalibrationDetail
- The Calibration Detailsbfr
- Curve Fitness Weighted ResponsesbfrSensitivity
- Curve Fitness Weighted Response Sensitivityjava.lang.Exception
- Thrown if the inputs are invalidpublic OverlappingStretchSpan calibrateSpan(StretchRepresentationSpec[] aSRS, double dblEpochResponse, ValuationParams valParams, PricerParams pricerParams, QuotingParams quotingParams, ComponentMarketParams cmp)
aSRS
- Array of the Stretch Builder ParametersdblEpochResponse
- Segment Sequence Left-most Response ValuevalParams
- Valuation ParameterpricerParams
- Pricer ParameterquotingParams
- Quoting Parametercmp
- Component Market Parameter