Package com.opengamma.strata.pricer.credit

Class IsdaCompliantCreditCurveCalibrator

java.lang.Object

com.opengamma.strata.pricer.credit.IsdaCompliantCreditCurveCalibrator

Direct Known Subclasses:

FastCreditCurveCalibrator, SimpleCreditCurveCalibrator

public abstract class IsdaCompliantCreditCurveCalibrator
extends Object

ISDA compliant credit curve calibrator.

A single credit curve is calibrated for credit default swaps on a legal entity.

The curve is defined using one or more nodes. Each node primarily defines enough information to produce a reference CDS trade. All of the curve nodes must be based on a common legal entity and currency.

Calibration involves pricing, and re-pricing, these trades to find the best fit using a root finder. Relevant discount curve and recovery rate curve are required to complete the calibration.

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	IsdaCompliantCreditCurveCalibrator()
protected	IsdaCompliantCreditCurveCalibrator(AccrualOnDefaultFormula formula)
protected	IsdaCompliantCreditCurveCalibrator(AccrualOnDefaultFormula formula, ArbitrageHandling arbHandling)

Method Summary

Modifier and Type	Method	Description
LegalEntitySurvivalProbabilities	calibrate(IsdaCreditCurveDefinition curveDefinition, MarketData marketData, ImmutableCreditRatesProvider ratesProvider, ReferenceData refData)	Calibrates the ISDA compliant credit curve to the market data.
abstract NodalCurve	calibrate(List<ResolvedCdsTrade> calibrationCDSs, DoubleArray flactionalSpreads, DoubleArray pointsUpfront, CurveName name, LocalDate valuationDate, CreditDiscountFactors discountFactors, RecoveryRates recoveryRates, ReferenceData refData)	Calibrate the ISDA compliant credit curve to points upfront and fractional spread.
protected AccrualOnDefaultFormula	getAccrualOnDefaultFormula()	Obtains the accrual-on-default formula.
protected ArbitrageHandling	getArbitrageHandling()	Obtains the arbitrage handling.
protected IsdaCdsTradePricer	getTradePricer()	Obtains the trade pricer used in this calibration.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

IsdaCompliantCreditCurveCalibrator

protected IsdaCompliantCreditCurveCalibrator()

IsdaCompliantCreditCurveCalibrator

protected IsdaCompliantCreditCurveCalibrator(AccrualOnDefaultFormula formula)

IsdaCompliantCreditCurveCalibrator

protected IsdaCompliantCreditCurveCalibrator(AccrualOnDefaultFormula formula,
                                             ArbitrageHandling arbHandling)

Method Detail

getArbitrageHandling

protected ArbitrageHandling getArbitrageHandling()

Obtains the arbitrage handling.

See ArbitrageHandling for detail.

Returns:

the arbitrage handling

getAccrualOnDefaultFormula

protected AccrualOnDefaultFormula getAccrualOnDefaultFormula()

Obtains the accrual-on-default formula.

See AccrualOnDefaultFormula for detail.

Returns:

the formula

getTradePricer

protected IsdaCdsTradePricer getTradePricer()

Obtains the trade pricer used in this calibration.

Returns:

the trade pricer

calibrate

public LegalEntitySurvivalProbabilities calibrate(IsdaCreditCurveDefinition curveDefinition,
                                                  MarketData marketData,
                                                  ImmutableCreditRatesProvider ratesProvider,
                                                  ReferenceData refData)

Calibrates the ISDA compliant credit curve to the market data.

This creates the single credit curve for a legal entity. The curve nodes in IsdaCreditCurveDefinition should be single-name credit default swaps on this legal entity.

The relevant discount curve and recovery rate curve must be stored in ratesProvider. The day count convention for the resulting credit curve is the same as that of the discount curve.

Parameters:

curveDefinition - the curve definition

marketData - the market data

ratesProvider - the rates provider

refData - the reference data

Returns:

the ISDA compliant credit curve

calibrate

public abstract NodalCurve calibrate(List<ResolvedCdsTrade> calibrationCDSs,
                                     DoubleArray flactionalSpreads,
                                     DoubleArray pointsUpfront,
                                     CurveName name,
                                     LocalDate valuationDate,
                                     CreditDiscountFactors discountFactors,
                                     RecoveryRates recoveryRates,
                                     ReferenceData refData)

Calibrate the ISDA compliant credit curve to points upfront and fractional spread.

Parameters:

calibrationCDSs - the calibration CDS

flactionalSpreads - the fractional spreads

pointsUpfront - the points upfront values

name - the curve name

valuationDate - the valuation date

discountFactors - the discount factors

recoveryRates - the recovery rates

refData - the reference data

Returns:

the ISDA compliant credit curve