public class NonlinearCurveCalibrator
extends java.lang.Object
Constructor and Description |
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NonlinearCurveCalibrator()
Construct an empty NonlinearCurveCalibrator
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Modifier and Type | Method and Description |
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boolean |
bootstrapHazardRate(ExplicitBootCreditCurve 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,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Calibrate a single Hazard Rate Node from the corresponding Component
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boolean |
bootstrapInterestRateSequence(ExplicitBootDiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
Component[] aCalibComp,
ValuationParams valParams,
java.lang.String[] astrCalibMeasure,
double[] adblCalibValue,
double dblBump,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Boot-strap an interest rate curve from the set of calibration components
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boolean |
bootstrapNonlinearInterestRateSequence(NonlinearDiscountFactorDiscountCurve nldfdc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
Component[] aCalibComp,
ValuationParams valParams,
java.lang.String[] astrCalibMeasure,
double[] adblCalibValue,
double dblBump,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Boot-strap a non-linear interest rate curve from the set of calibration components
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double |
calibrateIRNode(ExplicitBootDiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
Component comp,
int iInstr,
ValuationParams valParams,
java.lang.String strMeasure,
double dblCalibValue,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat,
double dblSearchStart)
Calibrate a single Interest Rate Node from the corresponding Component
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public NonlinearCurveCalibrator()
public boolean bootstrapHazardRate(ExplicitBootCreditCurve 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,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, QuotingParams quotingParams, boolean bFlat)
cc
- The Credit Curve to be calibratedcomp
- The Calibration ComponentiInstr
- The Calibration Instrument IndexvalParams
- Calibration Valuation Parametersdc
- The discount curve to be bootstrappeddcTSY
- The TSY discount curvedcEDSF
- The EDSF discount curvepricerParamsIn
- Input Pricer ParametersstrMeasure
- The Calibration MeasuredblCalibValue
- The Value to be Calibrated tommFixings
- Fixings Double MapquotingParams
- Quoting ParametersbFlat
- TRUE => Calibrate a Flat Curve across all Tenorsjava.lang.Exception
- Thrown if the Bootstrapping is unsuccessfulpublic double calibrateIRNode(ExplicitBootDiscountCurve dc, DiscountCurve dcTSY, DiscountCurve dcEDSF, Component comp, int iInstr, ValuationParams valParams, java.lang.String strMeasure, double dblCalibValue, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, QuotingParams quotingParams, boolean bFlat, double dblSearchStart) throws java.lang.Exception
dc
- The discount curve to be bootstrappeddcTSY
- The TSY discount curvedcEDSF
- The EDSF discount curvecomp
- The Calibration ComponentiInstr
- The Calibration Instrument IndexvalParams
- Calibration Valuation ParametersstrMeasure
- The Calibration MeasuredblCalibValue
- The Value to be Calibrated tommFixings
- Fixings Double MapquotingParams
- Quoting ParametersbFlat
- TRUE => Calibrate a Flat Curve across all TenorsdblSearchStart
- State IR Start Pointjava.lang.Exception
- Thrown if the Bootstrapping is unsuccessfulpublic boolean bootstrapInterestRateSequence(ExplicitBootDiscountCurve dc, DiscountCurve dcTSY, DiscountCurve dcEDSF, Component[] aCalibComp, ValuationParams valParams, java.lang.String[] astrCalibMeasure, double[] adblCalibValue, double dblBump, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, QuotingParams quotingParams, boolean bFlat)
dc
- The discount curve to be bootstrappeddcTSY
- The TSY discount curvedcEDSF
- The EDSF discount curveaCalibComp
- Array of the calibration componentsvalParams
- Calibration Valuation ParametersastrCalibMeasure
- Array of Calibration MeasuresadblCalibValue
- Array of Calibration ValuesdblBump
- Amount to bump the Quotes bymmFixings
- Fixings Double MapquotingParams
- Quoting ParametersbFlat
- TRUE => Calibrate a Flat Curve across all Tenorspublic boolean bootstrapNonlinearInterestRateSequence(NonlinearDiscountFactorDiscountCurve nldfdc, DiscountCurve dcTSY, DiscountCurve dcEDSF, Component[] aCalibComp, ValuationParams valParams, java.lang.String[] astrCalibMeasure, double[] adblCalibValue, double dblBump, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, QuotingParams quotingParams, boolean bFlat)
nldfdc
- The discount curve to be bootstrappeddcTSY
- The TSY discount curvedcEDSF
- The EDSF discount curveaCalibComp
- Array of the calibration componentsvalParams
- Calibration Valuation ParametersastrCalibMeasure
- Array of Calibration MeasuresadblCalibValue
- Array of Calibration ValuesdblBump
- Amount to bump the Quotes bymmFixings
- Fixings Double MapquotingParams
- Quoting ParametersbFlat
- TRUE => Calibrate a Flat Curve across all Tenors