Package net.finmath.marketdata.calibration

Class CalibratedCurves.CalibrationSpec

java.lang.Object

net.finmath.marketdata.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

Modifier and Type	Method	Description
CalibratedCurves.CalibrationSpec	getCloneShifted(double shift)
String	getSymbol()
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 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 Detail

getCloneShifted

public CalibratedCurves.CalibrationSpec getCloneShifted(double shift)

toString

public String toString()

Overrides:

toString in class Object

getSymbol

public String getSymbol()