Module net.finmath.lib
Package net.finmath.marketdata.calibration

Class CalibratedCurves

java.lang.Object
net.finmath.marketdata.calibration.CalibratedCurves
public class CalibratedCurves extends Object
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products. An object of this class provides a calibration of curves (using multi-curves, forward curve, discount curve). Sometimes this is referred as curve bootstrapping, however the algorithm used here is not a bootstrap. The calibration products have to be provided via a vector of CalibrationSpecs. The products provides are
List of calibration products types
Value of Type String Classes Note
swap Swap
swapleg SwapLeg Only the receiver part of CalibrationSpec is used.
swapwithresetonreceiver SwapLeg
swapwithresetonpayer SwapLeg
deposit Deposit Only the receiver part of CalibrationSpec is used.
fra ForwardRateAgreement Only the receiver part of CalibrationSpec is used.
For a demo spreadsheet using this class see finmath.net/topics/curvecalibration/.
Version:
1.0
Author:
Christian Fries

  • Constructor Details

    • CalibratedCurves

      public CalibratedCurves​(List<CalibratedCurves.CalibrationSpec> calibrationSpecs, AnalyticModel calibrationModel, double evaluationTime, double calibrationAccuracy) throws SolverException, CloneNotSupportedException
      Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model. If the model already contains a curve referenced as calibration curve that curve is replaced by a clone, retaining the given curve information and adding a new calibration point. If the model does not contain the curve referenced as calibration curve, the curve will be added to the model. Use case: You already have a discount curve as part of the model and like to calibrate an additional curve to an additional set of instruments.
      Parameters:
      calibrationSpecs - Array of calibration specs.
      calibrationModel - A given model used to value the calibration products.
      evaluationTime - Evaluation time applied to the calibration products.
      calibrationAccuracy - Error tolerance of the solver. Set to 0 if you need machine precision.
      Throws:
      SolverException - May be thrown if the solver does not cannot find a solution of the calibration problem.
      CloneNotSupportedException - Thrown, when a curve could not be cloned.

    • CalibratedCurves

      public CalibratedCurves​(CalibratedCurves.CalibrationSpec[] calibrationSpecs, AnalyticModelFromCurvesAndVols calibrationModel, double evaluationTime, double calibrationAccuracy) throws SolverException, CloneNotSupportedException
      Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model. If the model already contains a curve referenced as calibration curve that curve is replaced by a clone, retaining the given curve information and adding a new calibration point. If the model does not contain the curve referenced as calibration curve, the curve will be added to the model. Use case: You already have a discount curve as part of the model and like to calibrate an additional curve to an additional set of instruments.
      Parameters:
      calibrationSpecs - Array of calibration specs.
      calibrationModel - A given model used to value the calibration products.
      evaluationTime - Evaluation time applied to the calibration products.
      calibrationAccuracy - Error tolerance of the solver. Set to 0 if you need machine precision.
      Throws:
      SolverException - May be thrown if the solver does not cannot find a solution of the calibration problem.
      CloneNotSupportedException - Thrown, when a curve could not be cloned.

    • CalibratedCurves

      public CalibratedCurves​(CalibratedCurves.CalibrationSpec[] calibrationSpecs, AnalyticModelFromCurvesAndVols calibrationModel, double calibrationAccuracy) throws SolverException, CloneNotSupportedException
      Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model. If the model already contains a curve referenced as calibration curve that curve is replaced by a clone, retaining the given curve information and adding a new calibration point. If the model does not contain the curve referenced as calibration curve, the curve will be added to the model. Use case: You already have a discount curve as part of the model and like to calibrate an additional curve to an additional set of instruments.
      Parameters:
      calibrationSpecs - Array of calibration specs.
      calibrationModel - A given model used to value the calibration products.
      calibrationAccuracy - Error tolerance of the solver. Set to 0 if you need machine precision.
      Throws:
      SolverException - May be thrown if the solver does not cannot find a solution of the calibration problem.
      CloneNotSupportedException - Thrown, when a curve could not be cloned.

    • CalibratedCurves

      public CalibratedCurves​(CalibratedCurves.CalibrationSpec[] calibrationSpecs, AnalyticModelFromCurvesAndVols calibrationModel) throws SolverException, CloneNotSupportedException
      Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model. If the model already contains a curve referenced as calibration curve that curve is replaced by a clone, retaining the given curve information and adding a new calibration point. If the model does not contain the curve referenced as calibration curve, the curve will be added to the model. Use case: You already have a discount curve as part of the model and like to calibrate an additional curve to an additional set of instruments.
      Parameters:
      calibrationSpecs - Array of calibration specs.
      calibrationModel - A given model used to value the calibration products.
      Throws:
      SolverException - May be thrown if the solver does not cannot find a solution of the calibration problem.
      CloneNotSupportedException - Thrown, when a curve could not be cloned.

    • CalibratedCurves

      public CalibratedCurves​(Collection<CalibratedCurves.CalibrationSpec> calibrationSpecs) throws SolverException, CloneNotSupportedException
      Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
      Parameters:
      calibrationSpecs - Array of calibration specs.
      Throws:
      SolverException - May be thrown if the solver does not cannot find a solution of the calibration problem.
      CloneNotSupportedException - Thrown, when a curve could not be cloned.

    • CalibratedCurves

      public CalibratedCurves​(CalibratedCurves.CalibrationSpec[] calibrationSpecs) throws SolverException, CloneNotSupportedException
      Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
      Parameters:
      calibrationSpecs - Array of calibration specs.
      Throws:
      SolverException - May be thrown if the solver does not cannot find a solution of the calibration problem.
      CloneNotSupportedException - Thrown, when a curve could not be cloned.

  • Method Details

    • getCalibrationProductForSpec

      public AnalyticProduct getCalibrationProductForSpec​(CalibratedCurves.CalibrationSpec calibrationSpec)

    • getModel

      public AnalyticModel getModel()
      Return the calibrated model, i.e., the model maintaining a collection of curves calibrated to the given calibration specifications.
      Returns:
      The calibrated model.

    • getCurve

      public Curve getCurve​(String name)
      Get a curve for a given name.
      Parameters:
      name - Name of the curve
      Returns:
      The curve model.

    • getLastNumberOfInterations

      public int getLastNumberOfInterations()
      Return the number of iterations needed to calibrate the model.
      Returns:
      The number of iterations needed to calibrate the model.

    • getCloneShifted

      public CalibratedCurves getCloneShifted​(String symbol, double shift) throws SolverException, CloneNotSupportedException
      Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
      Parameters:
      symbol - The symbol to shift. All other symbols remain unshifted.
      shift - The shift to apply to the symbol.
      Returns:
      A new set of calibrated curves, calibrated to shifted market data.
      Throws:
      SolverException - The likely cause of this exception is a failure of the solver used in the calibration.
      CloneNotSupportedException - The likely cause of this exception is the inability to clone or modify a curve.

    • getCloneShifted

      public CalibratedCurves getCloneShifted​(Map<String,​Double> shifts) throws SolverException, CloneNotSupportedException
      Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
      Parameters:
      shifts - A map of shifts associating each symbol with a shifts. If symbols are not part of this map, they remain unshifted.
      Returns:
      A new set of calibrated curves, calibrated to shifted market data.
      Throws:
      SolverException - The likely cause of this exception is a failure of the solver used in the calibration.
      CloneNotSupportedException - The likely cause of this exception is the inability to clone or modify a curve.

    • getCloneShifted

      public CalibratedCurves getCloneShifted​(Pattern symbolRegExp, double shift) throws SolverException, CloneNotSupportedException
      Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods. This method will shift all symbols matching a given regular expression Pattern.
      Parameters:
      symbolRegExp - A pattern, identifying the symbols to shift.
      shift - The shift to apply to the symbol(s).
      Returns:
      A new set of calibrated curves, calibrated to shifted market data.
      Throws:
      SolverException - The likely cause of this exception is a failure of the solver used in the calibration.
      CloneNotSupportedException - The likely cause of this exception is the inability to clone or modify a curve.
      See Also:
      Pattern

    • getCloneShiftedForRegExp

      public CalibratedCurves getCloneShiftedForRegExp​(String symbolRegExp, double shift) throws SolverException, CloneNotSupportedException
      Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods. This method will shift all symbols matching a given regular expression.
      Parameters:
      symbolRegExp - A string representing a regular expression, identifying the symbols to shift.
      shift - The shift to apply to the symbol(s).
      Returns:
      A new set of calibrated curves, calibrated to shifted market data.
      Throws:
      SolverException - The likely cause of this exception is a failure of the solver used in the calibration.
      CloneNotSupportedException - The likely cause of this exception is the inability to clone or modify a curve.
      See Also:
      Pattern

    • getLastAccuracy

      public double getLastAccuracy()
      Return the accuracy achieved in the last calibration.
      Returns:
      The accuracy achieved in the last calibration.

    • getCalibrationProductForSymbol

      public AnalyticProduct getCalibrationProductForSymbol​(String symbol)
      Returns the first product found in the vector of calibration products which matches the given symbol, where symbol is the String set in the calibrationSpecs.
      Parameters:
      symbol - A given symbol string.
      Returns:
      The product associated with that symbol.