com.opengamma.strata.pricer.curve

Class TradeCalibrationMeasure<T extends ResolvedTrade>

java.lang.Object

com.opengamma.strata.pricer.curve.TradeCalibrationMeasure<T>

Type Parameters:

T - the trade type

All Implemented Interfaces:

CalibrationMeasure<T>

public final class TradeCalibrationMeasure<T extends ResolvedTrade>
extends Object
implements CalibrationMeasure<T>

Provides calibration measures for a single type of trade based on functions.

This is initialized using functions that typically refer to pricers.

Field Summary

Fields

Modifier and Type	Field and Description
static TradeCalibrationMeasure<ResolvedFraTrade>	FRA_PAR_SPREAD The calibrator for ResolvedFraTrade using par spread discounting.
static TradeCalibrationMeasure<ResolvedFxSwapTrade>	FX_SWAP_PAR_SPREAD The calibrator for ResolvedFxSwapTrade using par spread discounting.
static TradeCalibrationMeasure<ResolvedIborFixingDepositTrade>	IBOR_FIXING_DEPOSIT_PAR_SPREAD The calibrator for ResolvedIborFixingDepositTrade using par spread discounting.
static TradeCalibrationMeasure<ResolvedIborFutureTrade>	IBOR_FUTURE_PAR_SPREAD The calibrator for ResolvedIborFutureTrade using par spread discounting.
static TradeCalibrationMeasure<ResolvedOvernightFutureTrade>	OVERNIGHT_FUTURE_PAR_SPREAD The calibrator for ResolvedOvernightFutureTrade using par spread discounting.
static TradeCalibrationMeasure<ResolvedSwapTrade>	SWAP_PAR_SPREAD The calibrator for ResolvedSwapTrade using par spread discounting.
static TradeCalibrationMeasure<ResolvedTermDepositTrade>	TERM_DEPOSIT_PAR_SPREAD The calibrator for ResolvedTermDepositTrade using par spread discounting.

Method Summary

Modifier and Type	Method and Description
Class<T>	getTradeType() Gets the trade type of the calibrator.
static <R extends ResolvedTrade> TradeCalibrationMeasure<R>	of(String name, Class<R> tradeType, ToDoubleBiFunction<R,RatesProvider> valueFn, BiFunction<R,RatesProvider,PointSensitivities> sensitivityFn) Obtains a calibrator for a specific type of trade.
CurrencyParameterSensitivities	sensitivities(T trade, RatesProvider provider) Calculates the parameter sensitivities that relate to the value.
String	toString()
double	value(T trade, RatesProvider provider) Calculates the value, such as par spread.

Methods inherited from class java.lang.Object

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

Field Detail

FRA_PAR_SPREAD

public static final TradeCalibrationMeasure<ResolvedFraTrade> FRA_PAR_SPREAD

The calibrator for ResolvedFraTrade using par spread discounting.

IBOR_FUTURE_PAR_SPREAD

public static final TradeCalibrationMeasure<ResolvedIborFutureTrade> IBOR_FUTURE_PAR_SPREAD

The calibrator for ResolvedIborFutureTrade using par spread discounting.

OVERNIGHT_FUTURE_PAR_SPREAD

public static final TradeCalibrationMeasure<ResolvedOvernightFutureTrade> OVERNIGHT_FUTURE_PAR_SPREAD

The calibrator for ResolvedOvernightFutureTrade using par spread discounting.

SWAP_PAR_SPREAD

public static final TradeCalibrationMeasure<ResolvedSwapTrade> SWAP_PAR_SPREAD

The calibrator for ResolvedSwapTrade using par spread discounting.

IBOR_FIXING_DEPOSIT_PAR_SPREAD

public static final TradeCalibrationMeasure<ResolvedIborFixingDepositTrade> IBOR_FIXING_DEPOSIT_PAR_SPREAD

The calibrator for ResolvedIborFixingDepositTrade using par spread discounting.

TERM_DEPOSIT_PAR_SPREAD

public static final TradeCalibrationMeasure<ResolvedTermDepositTrade> TERM_DEPOSIT_PAR_SPREAD

The calibrator for ResolvedTermDepositTrade using par spread discounting.

FX_SWAP_PAR_SPREAD

public static final TradeCalibrationMeasure<ResolvedFxSwapTrade> FX_SWAP_PAR_SPREAD

The calibrator for ResolvedFxSwapTrade using par spread discounting.

Method Detail

of

public static <R extends ResolvedTrade> TradeCalibrationMeasure<R> of(String name,
                                                                      Class<R> tradeType,
                                                                      ToDoubleBiFunction<R,RatesProvider> valueFn,
                                                                      BiFunction<R,RatesProvider,PointSensitivities> sensitivityFn)

Obtains a calibrator for a specific type of trade.

The functions typically refer to pricers.

Type Parameters:

R - the trade type

Parameters:

name - the name

tradeType - the trade type

valueFn - the function for calculating the value

sensitivityFn - the function for calculating the sensitivity

Returns:

the calibrator

getTradeType

public Class<T> getTradeType()

Description copied from interface: CalibrationMeasure

Gets the trade type of the calibrator.

Specified by:

getTradeType in interface CalibrationMeasure<T extends ResolvedTrade>

Returns:

the trade type

value

public double value(T trade,
                    RatesProvider provider)

Description copied from interface: CalibrationMeasure

Calculates the value, such as par spread.

The value must be calculated using the specified rates provider.

Specified by:

value in interface CalibrationMeasure<T extends ResolvedTrade>

Parameters:

trade - the trade

provider - the rates provider

Returns:

the sensitivity

sensitivities

public CurrencyParameterSensitivities sensitivities(T trade,
                                                    RatesProvider provider)

Description copied from interface: CalibrationMeasure

Calculates the parameter sensitivities that relate to the value.

The sensitivities must be calculated using the specified rates provider.

Specified by:

sensitivities in interface CalibrationMeasure<T extends ResolvedTrade>

Parameters:

trade - the trade

provider - the rates provider

Returns:

the sensitivity

toString

public String toString()

Overrides:

toString in class Object