Package net.finmath.smartcontract.valuation.marketdata.curvecalibration

Class CalibrationSpecProviderFRA

java.lang.Object

net.finmath.smartcontract.valuation.marketdata.curvecalibration.CalibrationSpecProviderFRA

All Implemented Interfaces:

CalibrationSpecProvider

public class CalibrationSpecProviderFRA
extends Object
implements CalibrationSpecProvider

A calibration spec provider for fras.

Author:

Luca Del Re, Peter Kohl-Landgraf, Christian Fries

Constructor Summary

Constructors

Constructor	Description
CalibrationSpecProviderFRA(String tenorLabel, String maturityLabel, double fraRate)

Method Summary

Modifier and Type	Method	Description
net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec	getCalibrationSpec(CalibrationContext ctx)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

CalibrationSpecProviderFRA

public CalibrationSpecProviderFRA(String tenorLabel,
 String maturityLabel,
 double fraRate)

Parameters:

tenorLabel - The tenor label of the IBOR.

maturityLabel - The maturity label provided in months

fraRate - The fra rate (use 0.05 for 5%).

Method Details

getCalibrationSpec

public net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec getCalibrationSpec(CalibrationContext ctx)

Specified by:

getCalibrationSpec in interface CalibrationSpecProvider