Class IsdaCompliantIndexCurveCalibrator


  • public class IsdaCompliantIndexCurveCalibrator
    extends java.lang.Object
    ISDA compliant index curve calibrator.

    A single credit curve (index curve) is calibrated for CDS index trades.

    The curve is defined using one or more nodes. Each node primarily defines enough information to produce a reference CDS index trade. All of the curve nodes must be based on a common CDS index ID and currency.

    Calibration involves pricing, and re-pricing, these trades to find the best fit using a root finder, where the pricing is based on IsdaHomogenousCdsIndexTradePricer, thus the calibration is completed by using a calibrator for single name CDS trades, IsdaCompliantCreditCurveCalibrator.

    Relevant discount curve and recovery rate curve are required to complete the calibration.

    • Constructor Detail

      • IsdaCompliantIndexCurveCalibrator

        public IsdaCompliantIndexCurveCalibrator​(IsdaCompliantCreditCurveCalibrator creditCurveCalibrator)
        Constructor with the underlying credit curve calibrator specified.
        Parameters:
        creditCurveCalibrator - the credit curve calibrator
    • Method Detail

      • standard

        public static IsdaCompliantIndexCurveCalibrator 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
      • calibrate

        public LegalEntitySurvivalProbabilities calibrate​(IsdaCreditCurveDefinition curveDefinition,
                                                          MarketData marketData,
                                                          ImmutableCreditRatesProvider ratesProvider,
                                                          ReferenceData refData)
        Calibrates the index curve to the market data.

        This creates the single credit curve for CDS index trades. The curve nodes in IsdaCreditCurveDefinition must be CDS index.

        The relevant discount curve and recovery rate curve must be stored in ratesProvider. The day count convention for the resulting credit curve is the same as that of the discount curve.

        Parameters:
        curveDefinition - the curve definition
        marketData - the market data
        ratesProvider - the rates provider
        refData - the reference data
        Returns:
        the index curve