Package com.opengamma.strata.pricer.curve

Class CalibrationMeasures

java.lang.Object

com.opengamma.strata.pricer.curve.CalibrationMeasures

public final class CalibrationMeasures
extends Object

Provides access to the measures needed to perform curve calibration.

The most commonly used measures are par spread and converted present value.

Field Summary

Fields

Modifier and Type	Field	Description
static CalibrationMeasures	MARKET_QUOTE	The market quote instance, which is the default used in synthetic curve calibration.
static CalibrationMeasures	PAR_SPREAD	The par spread instance, which is the default used in curve calibration.
static CalibrationMeasures	PRESENT_VALUE	The present value instance, which is the default used in present value sensitivity to market quote stored during curve calibration.

Method Summary

Modifier and Type	Method	Description
DoubleArray	derivative(ResolvedTrade trade, RatesProvider provider, List<CurveParameterSize> curveOrder)	Calculates the sensitivity with respect to the rates provider.
String	getName()	Gets the name of the set of measures.
ImmutableSet<Class<?>>	getTradeTypes()	Gets the supported trade types.
static CalibrationMeasures	of(String name, CalibrationMeasure<? extends ResolvedTrade>... measures)	Obtains an instance from a list of individual trade-specific measures.
static CalibrationMeasures	of(String name, List<? extends CalibrationMeasure<? extends ResolvedTrade>> measures)	Obtains an instance from a list of individual trade-specific measures.
String	toString()
double	value(ResolvedTrade trade, RatesProvider provider)	Calculates the value, such as par spread.

Methods inherited from class java.lang.Object

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

Field Detail

PAR_SPREAD

public static final CalibrationMeasures PAR_SPREAD

The par spread instance, which is the default used in curve calibration.

This computes par spread for Term Deposits, IborFixingDeposit, FRA, Ibor Futures Swap and FX Swap by discounting.

MARKET_QUOTE

public static final CalibrationMeasures MARKET_QUOTE

The market quote instance, which is the default used in synthetic curve calibration.

This computes par rate for Term Deposits, IborFixingDeposit, FRA and Swap by discounting, and price Ibor Futures by discounting.

PRESENT_VALUE

public static final CalibrationMeasures PRESENT_VALUE

The present value instance, which is the default used in present value sensitivity to market quote stored during curve calibration.

This computes present value for Term Deposits, IborFixingDeposit, FRA and Swap by discounting, and price Ibor Futures by discounting; the derivative is the derivative with respect to the market quotes.

Method Detail

of

public static CalibrationMeasures of(String name,
                                     List<? extends CalibrationMeasure<? extends ResolvedTrade>> measures)

Obtains an instance from a list of individual trade-specific measures.

Each measure must be for a different trade type.

Parameters:

name - the name of the set of measures

measures - the list of measures

Returns:

the calibration measures

Throws:

IllegalArgumentException - if a trade type is specified more than once

of

@SafeVarargs
public static CalibrationMeasures of(String name,
                                     CalibrationMeasure<? extends ResolvedTrade>... measures)

Obtains an instance from a list of individual trade-specific measures.

Each measure must be for a different trade type.

Parameters:

name - the name of the set of measures

measures - the list of measures

Returns:

the calibration measures

Throws:

IllegalArgumentException - if a trade type is specified more than once

getName

public String getName()

Gets the name of the set of measures.

Returns:

the name

getTradeTypes

public ImmutableSet<Class<?>> getTradeTypes()

Gets the supported trade types.

Returns:

the supported trade types

value

public double value(ResolvedTrade 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:

IllegalArgumentException - if the trade cannot be valued

derivative

public DoubleArray derivative(ResolvedTrade trade,
                              RatesProvider provider,
                              List<CurveParameterSize> curveOrder)

Calculates the sensitivity with respect to the rates provider.

The result array is composed of the concatenated curve sensitivities from all curves currently being processed.

Parameters:

trade - the trade

provider - the rates provider

curveOrder - the order of the curves

Returns:

the sensitivity derivative

toString

public String toString()

Overrides:

toString in class Object