Module net.finmath.lib
Package net.finmath.marketdata2.calibration

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 Details

    • CalibrationSpec

      public 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.
      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 swapTenorDefinitionReceiver, String forwardCurveReceiverName, double spreadReceiver, String discountCurveReceiverName, Schedule swapTenorDefinitionPayer, String forwardCurvePayerName, double spreadPayer, 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[] swapTenorDefinitionReceiver, String forwardCurveReceiverName, double spreadReceiver, String discountCurveReceiverName, double[] swapTenorDefinitionPayer, String forwardCurvePayerName, double spreadPayer, 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[] swapTenorDefinitionReceiver, String forwardCurveReceiverName, double spreadReceiver, String discountCurveReceiverName, 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 Details