Class NotionalEquivalentCalculator


  • public class NotionalEquivalentCalculator
    extends java.lang.Object
    Calculator to obtain the notional equivalent.

    This needs the DoubleArray with present value sensitivity to market quotes obtained during curve calibration to be available.

    • Constructor Detail

      • NotionalEquivalentCalculator

        public NotionalEquivalentCalculator()
    • Method Detail

      • notionalEquivalent

        public CurrencyParameterSensitivities notionalEquivalent​(CurrencyParameterSensitivities marketQuoteSensitivities,
                                                                 RatesProvider provider)
        Calculates the notional equivalent from the present value market quote sensitivities.

        The notional equivalent is the notional in each instrument used to calibrate the curves to have the same sensitivity as the one of the portfolio described by the market quote sensitivities.

        Parameters:
        marketQuoteSensitivities - the market quote sensitivities
        provider - the rates provider, containing sensitivity information
        Returns:
        the notionals