Class 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 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