com.opengamma.strata.pricer.credit

Class IsdaCompliantIndexCurveCalibrator

java.lang.Object

com.opengamma.strata.pricer.credit.IsdaCompliantIndexCurveCalibrator

public class IsdaCompliantIndexCurveCalibrator
extends Object

ISDA compliant index curve calibrator.

A single credit curve (index curve) is calibrated for CDS index trades.

The curve is defined using one or more nodes. Each node primarily defines enough information to produce a reference CDS index trade. All of the curve nodes must be based on a common CDS index ID and currency.

Calibration involves pricing, and re-pricing, these trades to find the best fit using a root finder, where the pricing is based on IsdaHomogenousCdsIndexTradePricer, thus the calibration is completed by using a calibrator for single name CDS trades, IsdaCompliantCreditCurveCalibrator.

Relevant discount curve and recovery rate curve are required to complete the calibration.

Constructor Summary

Constructors

Constructor and Description
IsdaCompliantIndexCurveCalibrator(IsdaCompliantCreditCurveCalibrator creditCurveCalibrator) Constructor with the underlying credit curve calibrator specified.

Method Summary

Modifier and Type	Method and Description
LegalEntitySurvivalProbabilities	calibrate(IsdaCreditCurveDefinition curveDefinition, MarketData marketData, ImmutableCreditRatesProvider ratesProvider, ReferenceData refData) Calibrates the index curve to the market data.
static IsdaCompliantIndexCurveCalibrator	standard() Obtains the standard curve calibrator.

Methods inherited from class java.lang.Object

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

Constructor Detail

IsdaCompliantIndexCurveCalibrator

public IsdaCompliantIndexCurveCalibrator(IsdaCompliantCreditCurveCalibrator creditCurveCalibrator)

Constructor with the underlying credit curve calibrator specified.

Parameters:

creditCurveCalibrator - the credit curve calibrator

Method Detail

standard

public static IsdaCompliantIndexCurveCalibrator 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

calibrate

public LegalEntitySurvivalProbabilities calibrate(IsdaCreditCurveDefinition curveDefinition,
                                                  MarketData marketData,
                                                  ImmutableCreditRatesProvider ratesProvider,
                                                  ReferenceData refData)

Calibrates the index curve to the market data.

This creates the single credit curve for CDS index trades. The curve nodes in IsdaCreditCurveDefinition must be CDS index.

The relevant discount curve and recovery rate curve must be stored in ratesProvider. The day count convention for the resulting credit curve is the same as that of the discount curve.

Parameters:

curveDefinition - the curve definition

marketData - the market data

ratesProvider - the rates provider

refData - the reference data

Returns:

the index curve