Interface | Description |
---|---|
ComponentCalibrator |
This interface defines the curve calibration methods – bootstrapping the discount rate and the hazard rate
from the individual component quotes.
|
Class | Description |
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BracketingCalibrator |
Calibrates the component using the bracketing method
|
CreditCurveScenarioGenerator |
This calls contains the credit calibration instruments to be used with the component calibrator to produce
scenario credit curves.
|
NewtonRaphsonCalibrator |
Calibrates the component using the Newton-Raphson method
|
RatesCurveScenarioGenerator |
This calls contains the interest rate calibration instruments to be used with the component calibrator to
produce scenario interest rate curves.
|