## Class CalibratedCurves.CalibrationSpec

• java.lang.Object
• net.finmath.marketdata2.calibration.CalibratedCurves.CalibrationSpec
• Enclosing class:
CalibratedCurves

public static class CalibratedCurves.CalibrationSpec
extends Object
Specification of calibration product.
Author:
Christian Fries
• ### Constructor Summary

Constructors
Constructor Description
CalibrationSpec​(String type, double[] swapTenorDefinitionReceiver, String forwardCurveReceiverName, double spreadReceiver, String discountCurveReceiverName, double[] swapTenorDefinitionPayer, String forwardCurvePayerName, double spreadPayer, String discountCurvePayerName, String calibrationCurveName, double calibrationTime)
Calibration specification.
CalibrationSpec​(String type, double[] swapTenorDefinitionReceiver, String forwardCurveReceiverName, double spreadReceiver, String discountCurveReceiverName, String calibrationCurveName, double calibrationTime)
Calibration specification.
CalibrationSpec​(String symbol, String type, Schedule swapTenorDefinitionReceiver, String forwardCurveReceiverName, double spreadReceiver, String discountCurveReceiverName, Schedule swapTenorDefinitionPayer, String forwardCurvePayerName, double spreadPayer, String discountCurvePayerName, String calibrationCurveName, double calibrationTime)
Calibration specification.
CalibrationSpec​(String type, Schedule swapTenorDefinitionReceiver, String forwardCurveReceiverName, double spreadReceiver, String discountCurveReceiverName, Schedule swapTenorDefinitionPayer, String forwardCurvePayerName, double spreadPayer, String discountCurvePayerName, String calibrationCurveName, double calibrationTime)
Calibration specification.
• ### Method Summary

All Methods
Modifier and Type Method Description
CalibratedCurves.CalibrationSpec getCloneShifted​(double shift)
String toString()
• ### Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
• ### Constructor Detail

• #### CalibrationSpec

public CalibrationSpec​(String symbol,
String type,
Schedule swapTenorDefinitionPayer,
String forwardCurvePayerName,
String discountCurvePayerName,
String calibrationCurveName,
double calibrationTime)
Calibration specification.
Parameters:
symbol - A string identifying the calibration product. This string can be used in sensitivity calculation, allowing to bump the spread in a finite difference approximation. See getCloneShifted method.
type - The type of the calibration product.
swapTenorDefinitionReceiver - The schedule of periods of the receiver leg.
forwardCurveReceiverName - The forward curve of the receiver leg (may be null).
spreadReceiver - The spread or fixed coupon of the receiver leg.
discountCurveReceiverName - The discount curve of the receiver leg.
swapTenorDefinitionPayer - The schedule of periods of the payer leg.
forwardCurvePayerName - The forward curve of the payer leg (may be null).
spreadPayer - The spread or fixed coupon of the payer leg.
discountCurvePayerName - The discount curve of the payer leg.
calibrationCurveName - The curve to calibrate, by this product.
calibrationTime - The time point in calibrationCurveName used to calibrate, by this product.
• #### CalibrationSpec

public CalibrationSpec​(String type,
Schedule swapTenorDefinitionPayer,
String forwardCurvePayerName,
String discountCurvePayerName,
String calibrationCurveName,
double calibrationTime)
Calibration specification.
Parameters:
type - The type of the calibration product.
swapTenorDefinitionReceiver - The schedule of periods of the receiver leg.
forwardCurveReceiverName - The forward curve of the receiver leg (may be null).
spreadReceiver - The spread or fixed coupon of the receiver leg.
discountCurveReceiverName - The discount curve of the receiver leg.
swapTenorDefinitionPayer - The schedule of periods of the payer leg.
forwardCurvePayerName - The forward curve of the payer leg (may be null).
spreadPayer - The spread or fixed coupon of the payer leg.
discountCurvePayerName - The discount curve of the payer leg.
calibrationCurveName - The curve to calibrate, by this product.
calibrationTime - The time point in calibrationCurveName used to calibrate, by this product.
• #### CalibrationSpec

public CalibrationSpec​(String type,
double[] swapTenorDefinitionPayer,
String forwardCurvePayerName,
String discountCurvePayerName,
String calibrationCurveName,
double calibrationTime)
Calibration specification.
Parameters:
type - The type of the calibration product.
swapTenorDefinitionReceiver - The schedule of periods of the receiver leg.
forwardCurveReceiverName - The forward curve of the receiver leg (may be null).
spreadReceiver - The spread or fixed coupon of the receiver leg.
discountCurveReceiverName - The discount curve of the receiver leg.
swapTenorDefinitionPayer - The schedule of periods of the payer leg.
forwardCurvePayerName - The forward curve of the payer leg (may be null).
spreadPayer - The spread or fixed coupon of the payer leg.
discountCurvePayerName - The discount curve of the payer leg.
calibrationCurveName - The curve to calibrate, by this product.
calibrationTime - The time point in calibrationCurveName used to calibrate, by this product.
• #### CalibrationSpec

public CalibrationSpec​(String type,
String calibrationCurveName,
double calibrationTime)
Calibration specification.
Parameters:
type - The type of the calibration product.
swapTenorDefinitionReceiver - The schedule of periods of the receiver leg.
forwardCurveReceiverName - The forward curve of the receiver leg (may be null).
spreadReceiver - The spread or fixed coupon of the receiver leg.
discountCurveReceiverName - The discount curve of the receiver leg.
calibrationCurveName - The curve to calibrate, by this product.
calibrationTime - The time point in calibrationCurveName used to calibrate, by this product.
• ### Method Detail

• #### getCloneShifted

public CalibratedCurves.CalibrationSpec getCloneShifted​(double shift)
• #### toString

public String toString()
Overrides:
toString in class Object