Class SyntheticRatesCurveCalibrator


  • public final class SyntheticRatesCurveCalibrator
    extends java.lang.Object
    Synthetic curve calibrator.

    A synthetic curve is a curve calibrated on synthetic instruments. A synthetic instrument is an instrument for which a theoretical or synthetic quote can be computed from a RatesProvider.

    This curve transformation is often used to have a different risk view or to standardize all risk to a common set of instruments, even if they are not the most liquid in a market.

    • Method Detail

      • of

        public static SyntheticRatesCurveCalibrator of​(RatesCurveCalibrator calibrator,
                                                       CalibrationMeasures marketQuotesMeasures)
        Obtains an instance, specifying market quotes measures to use and calibrator.
        Parameters:
        calibrator - the mechanism used to calibrate curves once the synthetic market quotes are known
        marketQuotesMeasures - the measures used to compute the market quotes
        Returns:
        the synthetic curve calibrator
      • getMeasures

        public CalibrationMeasures getMeasures()
        Gets the market quote measures.
        Returns:
        the measures
      • getCalibrator

        public RatesCurveCalibrator getCalibrator()
        Gets the curve calibrator.
        Returns:
        the calibrator
      • calibrate

        public ImmutableRatesProvider calibrate​(RatesCurveGroupDefinition group,
                                                RatesProvider inputProvider,
                                                ReferenceData refData)
        Calibrates synthetic curves from the configuration of the new curves and an existing rates provider.
        Parameters:
        group - the curve group definition for the synthetic curves and instruments
        inputProvider - the input rates provider
        refData - the reference data, used to resolve the trades
        Returns:
        the rates provider
      • marketData

        public ImmutableMarketData marketData​(RatesCurveGroupDefinition group,
                                              RatesProvider inputProvider,
                                              ReferenceData refData)
        Constructs the synthetic market data from an existing rates provider and the configuration of the new curves.
        Parameters:
        group - the curve group definition for the synthetic curves and instruments
        inputProvider - the input rates provider
        refData - the reference data, used to resolve the trades
        Returns:
        the market data
      • toString

        public java.lang.String toString()
        Overrides:
        toString in class java.lang.Object