Class PresentValueCalibrationMeasure<T extends ResolvedTrade>

  • Type Parameters:
    T - the trade type
    All Implemented Interfaces:
    CalibrationMeasure<T>

    public final class PresentValueCalibrationMeasure<T extends ResolvedTrade>
    extends java.lang.Object
    implements CalibrationMeasure<T>
    Provides calibration measures for a single type of trade based on functions.

    This set of measures return the present value of the product. For multi-currency instruments, the present value is converted into the currency of the first leg. The sensitivities are with respect to the market quote sensitivities and are also converted in the currency of the first leg when necessary.