Class 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 Detail

      • FastCreditCurveCalibrator

        public FastCreditCurveCalibrator​(AccrualOnDefaultFormula formula)
        Constructs a credit curve builder with the accrual-on-default formula specified.

        The arbitrage handling 'ignore' is used.

        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.
        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.

        the standard calibrator