com.opengamma.strata.pricer.curve

Class SyntheticRatesCurveCalibrator

java.lang.Object

com.opengamma.strata.pricer.curve.SyntheticRatesCurveCalibrator

public final class SyntheticRatesCurveCalibrator
extends Object

Synthetic curve calibrator.

A synthetic curve is a curve calibrated on synthetic instruments. A synthetic instrument is an instrument for which a theoretical or synthetic quote can be computed from a RatesProvider.

This curve transformation is often used to have a different risk view or to standardize all risk to a common set of instruments, even if they are not the most liquid in a market.

Method Summary

Modifier and Type	Method and Description
ImmutableRatesProvider	calibrate(RatesCurveGroupDefinition group, RatesProvider inputProvider, ReferenceData refData) Calibrates synthetic curves from the configuration of the new curves and an existing rates provider.
RatesCurveCalibrator	getCalibrator() Gets the curve calibrator.
CalibrationMeasures	getMeasures() Gets the market quote measures.
ImmutableMarketData	marketData(RatesCurveGroupDefinition group, RatesProvider inputProvider, ReferenceData refData) Constructs the synthetic market data from an existing rates provider and the configuration of the new curves.
static SyntheticRatesCurveCalibrator	of(RatesCurveCalibrator calibrator, CalibrationMeasures marketQuotesMeasures) Obtains an instance, specifying market quotes measures to use and calibrator.
static SyntheticRatesCurveCalibrator	standard() The standard synthetic curve calibrator.
String	toString()

Methods inherited from class java.lang.Object

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

Method Detail

standard

public static SyntheticRatesCurveCalibrator standard()

The standard synthetic curve calibrator.

The CalibrationMeasures.MARKET_QUOTE measures are used for calibration. The underlying calibrator is RatesCurveCalibrator.standard().

Returns:

the standard synthetic curve calibrator

of

public static SyntheticRatesCurveCalibrator of(RatesCurveCalibrator calibrator,
                                               CalibrationMeasures marketQuotesMeasures)

Obtains an instance, specifying market quotes measures to use and calibrator.

Parameters:

calibrator - the mechanism used to calibrate curves once the synthetic market quotes are known

marketQuotesMeasures - the measures used to compute the market quotes

Returns:

the synthetic curve calibrator

getMeasures

public CalibrationMeasures getMeasures()

Gets the market quote measures.

Returns:

the measures

getCalibrator

public RatesCurveCalibrator getCalibrator()

Gets the curve calibrator.

Returns:

the calibrator

calibrate

public ImmutableRatesProvider calibrate(RatesCurveGroupDefinition group,
                                        RatesProvider inputProvider,
                                        ReferenceData refData)

Calibrates synthetic curves from the configuration of the new curves and an existing rates provider.

Parameters:

group - the curve group definition for the synthetic curves and instruments

inputProvider - the input rates provider

refData - the reference data, used to resolve the trades

Returns:

the rates provider

marketData

public ImmutableMarketData marketData(RatesCurveGroupDefinition group,
                                      RatesProvider inputProvider,
                                      ReferenceData refData)

Constructs the synthetic market data from an existing rates provider and the configuration of the new curves.

Parameters:

group - the curve group definition for the synthetic curves and instruments

inputProvider - the input rates provider

refData - the reference data, used to resolve the trades

Returns:

the market data

toString

public String toString()

Overrides:

toString in class Object