Package com.opengamma.strata.pricer.credit

Class SimpleCreditCurveCalibrator

java.lang.Object

com.opengamma.strata.pricer.credit.IsdaCompliantCreditCurveCalibrator

com.opengamma.strata.pricer.credit.SimpleCreditCurveCalibrator

public final class SimpleCreditCurveCalibrator
extends IsdaCompliantCreditCurveCalibrator

Simple credit curve calibrator.

This is a 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 external pricer, IsdaCdsTradePricer, is used in the calibration.

Constructor Summary

Constructors

Constructor	Description
SimpleCreditCurveCalibrator(AccrualOnDefaultFormula formula)	Constructors a credit curve calibrator with the accrual-on-default formula specified.

Method Summary

Modifier and Type	Method	Description
NodalCurve	calibrate(List<ResolvedCdsTrade> calibrationCDSs, DoubleArray premiums, DoubleArray pointsUpfront, CurveName name, LocalDate valuationDate, CreditDiscountFactors discountFactors, RecoveryRates recoveryRates, ReferenceData refData)	Calibrate the ISDA compliant credit curve to points upfront and fractional spread.
static SimpleCreditCurveCalibrator	standard()	Obtains the standard calibrator.

Methods inherited from class com.opengamma.strata.pricer.credit.IsdaCompliantCreditCurveCalibrator

calibrate, getAccrualOnDefaultFormula, getArbitrageHandling, getTradePricer

Methods inherited from class java.lang.Object

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

Constructor Detail

SimpleCreditCurveCalibrator

public SimpleCreditCurveCalibrator(AccrualOnDefaultFormula formula)

Constructors a credit curve calibrator with the accrual-on-default formula specified.

Parameters:

formula - the accrual-on-default formula

Method Detail

standard

public static SimpleCreditCurveCalibrator standard()

Obtains the standard calibrator.

The original ISDA accrual-on-default formula (version 1.8.2 and lower) is used.

Returns:

the standard calibrator

calibrate

public NodalCurve calibrate(List<ResolvedCdsTrade> calibrationCDSs,
                            DoubleArray premiums,
                            DoubleArray pointsUpfront,
                            CurveName name,
                            LocalDate valuationDate,
                            CreditDiscountFactors discountFactors,
                            RecoveryRates recoveryRates,
                            ReferenceData refData)

Description copied from class: IsdaCompliantCreditCurveCalibrator

Calibrate the ISDA compliant credit curve to points upfront and fractional spread.

Specified by:

calibrate in class IsdaCompliantCreditCurveCalibrator

Parameters:

calibrationCDSs - the calibration CDS

premiums - the fractional spreads

pointsUpfront - the points upfront values

name - the curve name

valuationDate - the valuation date

discountFactors - the discount factors

recoveryRates - the recovery rates

refData - the reference data

Returns:

the ISDA compliant credit curve