public class RatesSegmentSequenceBuilder extends java.lang.Object implements SegmentSequenceBuilder
Constructor and Description |
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RatesSegmentSequenceBuilder(double dblEpochResponse,
StretchRepresentationSpec srs,
ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams cmp,
QuotingParams quotingParams,
MultiSegmentSequence mssPrev,
StretchBestFitResponse sbfr,
StretchBestFitResponse sbfrQuoteSensitivity,
BoundarySettings bs)
RatesSegmentSequenceBuilder constructor
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Modifier and Type | Method and Description |
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boolean |
calibSegmentSequence(int iStartingSegment)
Calibrate the Segment Sequence in the Stretch
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boolean |
calibStartingSegment(double dblLeftSlope,
double dblLeftSlopeSensitivity)
Calibrate the Starting Segment using the LeftSlope
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BoundarySettings |
getCalibrationBoundaryCondition()
Retrieve the Calibration Boundary Condition
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boolean |
setStretch(MultiSegmentSequence mss)
Set the Stretch whose Segments are to be calibrated
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public RatesSegmentSequenceBuilder(double dblEpochResponse, StretchRepresentationSpec srs, ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams cmp, QuotingParams quotingParams, MultiSegmentSequence mssPrev, StretchBestFitResponse sbfr, StretchBestFitResponse sbfrQuoteSensitivity, BoundarySettings bs) throws java.lang.Exception
dblEpochResponse
- Segment Sequence Left-most Response Valuesrs
- Stretch RepresentationvalParams
- Valuation ParameterpricerParams
- Pricer Parametercmp
- Component Market ParameterquotingParams
- Quoting ParametermssPrev
- The Previous Stretch Used to value cash flows that fall in those segmentssbfr
- Stretch Fitness Weighted ResponsesbfrQuoteSensitivity
- Stretch Fitness Weighted Response Quote Sensitivitybs
- The Calibration Boundary Conditionjava.lang.Exception
- Thrown if the Inputs are invalidpublic boolean setStretch(MultiSegmentSequence mss)
SegmentSequenceBuilder
setStretch
in interface SegmentSequenceBuilder
mss
- The Stretch that needs to be calibratedpublic BoundarySettings getCalibrationBoundaryCondition()
SegmentSequenceBuilder
getCalibrationBoundaryCondition
in interface SegmentSequenceBuilder
public boolean calibStartingSegment(double dblLeftSlope, double dblLeftSlopeSensitivity)
SegmentSequenceBuilder
calibStartingSegment
in interface SegmentSequenceBuilder
dblLeftSlope
- The SlopedblLeftSlopeSensitivity
- The Slope Sensitivitypublic boolean calibSegmentSequence(int iStartingSegment)
SegmentSequenceBuilder
calibSegmentSequence
in interface SegmentSequenceBuilder
iStartingSegment
- The Starting Segment in the Sequence