Class IsdaCompliantDiscountCurveCalibrator

  • public final class IsdaCompliantDiscountCurveCalibrator
    extends java.lang.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.

    • 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;

        the standard curve calibrator
      • of

        public static IsdaCompliantDiscountCurveCalibrator of​(double accuracy)
        Obtains the curve calibrator with the accuracy of the root finder specified.
        accuracy - the accuracy
        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.

        curveDefinition - the curve definition
        marketData - the market data
        refData - the reference data
        the ISDA compliant discount curve