com.opengamma.strata.pricer.credit

Class IsdaCompliantDiscountCurveCalibrator

java.lang.Object

com.opengamma.strata.pricer.credit.IsdaCompliantDiscountCurveCalibrator

public final class IsdaCompliantDiscountCurveCalibrator
extends Object

ISDA compliant discount curve calibrator.

A single discounting curve is calibrated for a specified currency.

The curve is defined using two or more nodes. Each node primarily defines enough information to produce a reference trade. Calibration involves pricing, and re-pricing, these trades to find the best fit using a root finder.

Once calibrated, the curves are then available for use. Each node in the curve definition becomes a parameter in the matching output curve.

Field Summary

Fields

Modifier and Type	Field and Description
static IsdaCompliantDiscountCurveCalibrator	STANDARD Default implementation.

Method Summary

Modifier and Type	Method and Description
IsdaCreditDiscountFactors	calibrate(IsdaCreditCurveDefinition curveDefinition, MarketData marketData, ReferenceData refData) Calibrates the ISDA compliant discount curve to the market data.
static IsdaCompliantDiscountCurveCalibrator	of(double accuracy) Obtains the curve calibrator with the accuracy of the root finder specified.
static IsdaCompliantDiscountCurveCalibrator	standard() Obtains the standard curve calibrator.

Methods inherited from class java.lang.Object

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

Field Detail

STANDARD

public static final IsdaCompliantDiscountCurveCalibrator STANDARD

Default implementation.

Method Detail

standard

public static IsdaCompliantDiscountCurveCalibrator standard()

Obtains the standard curve calibrator.

The accuracy of the root finder is set to be its default, 1.0e-12;

Returns:

the standard curve calibrator

of

public static IsdaCompliantDiscountCurveCalibrator of(double accuracy)

Obtains the curve calibrator with the accuracy of the root finder specified.

Parameters:

accuracy - the accuracy

Returns:

the curve calibrator

calibrate

public IsdaCreditDiscountFactors calibrate(IsdaCreditCurveDefinition curveDefinition,
                                           MarketData marketData,
                                           ReferenceData refData)

Calibrates the ISDA compliant discount curve to the market data.

This creates the single discount curve for a specified currency. The curve nodes in IsdaCreditCurveDefinition should be term deposit or fixed-for-Ibor swap, and the number of nodes should be greater than 1.

Parameters:

curveDefinition - the curve definition

marketData - the market data

refData - the reference data

Returns:

the ISDA compliant discount curve