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

Class CalibrationSpecProviderON

java.lang.Object

net.finmath.smartcontract.valuation.marketdata.curvecalibration.CalibrationSpecProviderON

All Implemented Interfaces:

CalibrationSpecProvider

public class CalibrationSpecProviderON
extends Object
implements CalibrationSpecProvider

A calibration spec provider for Overnight (O/N) rates, e.g. €STR or SOFR This calibration spec should only be used for the overnight rates at which banks borrow and lend funds to each other for a single day The overnight rate is posted "ex post" by the central bank based on transactions observed on the previous day It is not an Overnight-index-swap or similar "trade-able" instrument Theoretically it is a Deposit instrument, but since the rate published today is the rate observed yesterday, the use of this rate as a 1-day calibration item serves only as a proxy of the overnight discount rate from today to tomorrow.

Author:

Raphael Prandtl

Constructor Summary

Constructors

Constructor	Description
CalibrationSpecProviderON(String maturityLabel, String frequency, double overnightRate)

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

CalibrationSpecProviderON

public CalibrationSpecProviderON(String maturityLabel,
 String frequency,
 double overnightRate)

Method Details

getCalibrationSpec

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

Specified by:

getCalibrationSpec in interface CalibrationSpecProvider