com.opengamma.strata.pricer.credit

Class FastCreditCurveCalibrator

java.lang.Object

com.opengamma.strata.pricer.credit.IsdaCompliantCreditCurveCalibrator

com.opengamma.strata.pricer.credit.FastCreditCurveCalibrator

public final class FastCreditCurveCalibrator
extends IsdaCompliantCreditCurveCalibrator

Fast credit curve calibrator.

This is a fast bootstrapper for the credit curve that is consistent with ISDA in that it will produce the same curve from the same inputs (up to numerical round-off).

The CDS pricer is internally implemented for fast calibration.

Constructor Summary

Constructors

Constructor and Description
FastCreditCurveCalibrator(AccrualOnDefaultFormula formula) Constructs a credit curve builder with the accrual-on-default formula specified.
FastCreditCurveCalibrator(AccrualOnDefaultFormula formula, ArbitrageHandling arbHandling) Constructs a credit curve builder with accrual-on-default formula and arbitrage handing specified.

Method Summary

Modifier and Type	Method and Description
NodalCurve	calibrate(List<ResolvedCdsTrade> calibrationCDSs, DoubleArray flactionalSpreads, DoubleArray pointsUpfront, CurveName name, LocalDate valuationDate, CreditDiscountFactors discountFactors, RecoveryRates recoveryRates, ReferenceData refData) Calibrate the ISDA compliant credit curve to points upfront and fractional spread.
static FastCreditCurveCalibrator	standard() Obtains the standard calibrator.

Methods inherited from class com.opengamma.strata.pricer.credit.IsdaCompliantCreditCurveCalibrator

calibrate, getAccrualOnDefaultFormula, getArbitrageHandling, getTradePricer

Methods inherited from class java.lang.Object

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

Constructor Detail

FastCreditCurveCalibrator

public FastCreditCurveCalibrator(AccrualOnDefaultFormula formula)

Constructs a credit curve builder with the accrual-on-default formula specified.

The arbitrage handling 'ignore' is used.

Parameters:

formula - the accrual-on-default formula

FastCreditCurveCalibrator

public FastCreditCurveCalibrator(AccrualOnDefaultFormula formula,
                                 ArbitrageHandling arbHandling)

Constructs a credit curve builder with accrual-on-default formula and arbitrage handing specified.

Parameters:

formula - the accrual on default formulae

arbHandling - the arbitrage handling

Method Detail

standard

public static FastCreditCurveCalibrator standard()

Obtains the standard calibrator.

The original ISDA accrual-on-default formula (version 1.8.2 and lower) is used.

Returns:

the standard calibrator

calibrate

public NodalCurve calibrate(List<ResolvedCdsTrade> calibrationCDSs,
                            DoubleArray flactionalSpreads,
                            DoubleArray pointsUpfront,
                            CurveName name,
                            LocalDate valuationDate,
                            CreditDiscountFactors discountFactors,
                            RecoveryRates recoveryRates,
                            ReferenceData refData)

Description copied from class: IsdaCompliantCreditCurveCalibrator

Calibrate the ISDA compliant credit curve to points upfront and fractional spread.

Specified by:

calibrate in class IsdaCompliantCreditCurveCalibrator

Parameters:

calibrationCDSs - the calibration CDS

flactionalSpreads - the fractional spreads

pointsUpfront - the points upfront values

name - the curve name

valuationDate - the valuation date

discountFactors - the discount factors

recoveryRates - the recovery rates

refData - the reference data

Returns:

the ISDA compliant credit curve