## Class IsdaCompliantDiscountCurveCalibrator

• java.lang.Object
• com.opengamma.strata.pricer.credit.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.

• ### Field Summary

Fields
Modifier and Type Field Description
static IsdaCompliantDiscountCurveCalibrator STANDARD
Default implementation.
• ### Method Summary

All Methods
Modifier and Type Method Description
IsdaCreditDiscountFactors calibrate​(IsdaCreditCurveDefinition curveDefinition, MarketData marketData, ReferenceData refData)
Calibrates the ISDA compliant discount curve to the market data.
static IsdaCompliantDiscountCurveCalibrator of​(double accuracy)
Obtains the curve calibrator with the accuracy of the root finder specified.
static IsdaCompliantDiscountCurveCalibrator standard()
Obtains the standard curve calibrator.
• ### Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
• ### Field Detail

• #### STANDARD

public static final IsdaCompliantDiscountCurveCalibrator STANDARD
Default implementation.
• ### 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;

Returns:
the standard curve calibrator
• #### of

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

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