Interface CalibrationMeasure<T extends ResolvedTrade>

    • Method Detail

      • getTradeType

        java.lang.Class<T> getTradeType()
        Gets the trade type of the calibrator.
        Returns:
        the trade type
      • value

        double value​(T trade,
                     RatesProvider provider)
        Calculates the value, such as par spread.

        The value must be calculated using the specified rates provider.

        Parameters:
        trade - the trade
        provider - the rates provider
        Returns:
        the sensitivity
        Throws:
        java.lang.IllegalArgumentException - if the trade cannot be valued
      • sensitivities

        CurrencyParameterSensitivities sensitivities​(T trade,
                                                     RatesProvider provider)
        Calculates the parameter sensitivities that relate to the value.

        The sensitivities must be calculated using the specified rates provider.

        Parameters:
        trade - the trade
        provider - the rates provider
        Returns:
        the sensitivity
        Throws:
        java.lang.IllegalArgumentException - if the trade cannot be valued