Package com.opengamma.strata.pricer.curve

Class RatesCurveCalibrator

java.lang.Object

com.opengamma.strata.pricer.curve.RatesCurveCalibrator

public final class RatesCurveCalibrator
extends Object

Curve calibrator for rates curves.

This calibrator takes an abstract curve definition and produces real curves.

Curves are calibrated in groups or one or more curves. In addition, more than one group may be calibrated together.

Each curve is defined using two or more nodes. Each node primarily defines enough information to produce a reference trade. Calibration involves pricing, and re-pricing, these trades to find the best fit using a root finder.

Once calibrated, the curves are then available for use. Each node in the curve definition becomes a parameter in the matching output curve.

Method Summary

Modifier and Type	Method	Description
ImmutableRatesProvider	calibrate(RatesCurveGroupDefinition curveGroupDefn, MarketData marketData, ReferenceData refData)	Calibrates a single curve group, containing one or more curves.
ImmutableRatesProvider	calibrate(List<RatesCurveGroupDefinition> allGroupDefns, ImmutableRatesProvider knownData, MarketData marketData, ReferenceData refData)	Calibrates a list of curve groups, each containing one or more curves.
CalibrationMeasures	getMeasures()	Gets the measures.
static RatesCurveCalibrator	of(double toleranceAbs, double toleranceRel, int stepMaximum)	Obtains an instance specifying tolerances to use.
static RatesCurveCalibrator	of(double toleranceAbs, double toleranceRel, int stepMaximum, CalibrationMeasures measures)	Obtains an instance specifying tolerances and measures to use.
static RatesCurveCalibrator	of(double toleranceAbs, double toleranceRel, int stepMaximum, CalibrationMeasures measures, CalibrationMeasures pvMeasures)	Obtains an instance specifying tolerances and measures to use.
static RatesCurveCalibrator	of(NewtonVectorRootFinder rootFinder, CalibrationMeasures measures, CalibrationMeasures pvMeasures)	Obtains an instance specifying the measures to use.
static RatesCurveCalibrator	standard()	The standard curve calibrator.
String	toString()

Methods inherited from class java.lang.Object

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

Method Detail

standard

public static RatesCurveCalibrator standard()

The standard curve calibrator.

This uses the standard tolerance of 1e-9, a maximum of 1000 steps. The default CalibrationMeasures.PAR_SPREAD measures are used.

Returns:

the standard curve calibrator

of

public static RatesCurveCalibrator of(double toleranceAbs,
                                      double toleranceRel,
                                      int stepMaximum)

Obtains an instance specifying tolerances to use.

This uses a Broyden root finder. The standard CalibrationMeasures.PAR_SPREAD and CalibrationMeasures.PRESENT_VALUE measures are used.

Parameters:

toleranceAbs - the absolute tolerance

toleranceRel - the relative tolerance

stepMaximum - the maximum steps

Returns:

the curve calibrator

of

public static RatesCurveCalibrator of(double toleranceAbs,
                                      double toleranceRel,
                                      int stepMaximum,
                                      CalibrationMeasures measures)

Obtains an instance specifying tolerances and measures to use.

This uses a Broyden root finder. The standard CalibrationMeasures.PRESENT_VALUE measures are used.

Parameters:

toleranceAbs - the absolute tolerance

toleranceRel - the relative tolerance

stepMaximum - the maximum steps

measures - the calibration measures, used to compute the function for which the root is found

Returns:

the curve calibrator

of

public static RatesCurveCalibrator of(double toleranceAbs,
                                      double toleranceRel,
                                      int stepMaximum,
                                      CalibrationMeasures measures,
                                      CalibrationMeasures pvMeasures)

Obtains an instance specifying tolerances and measures to use.

This uses a Broyden root finder.

Parameters:

toleranceAbs - the absolute tolerance

toleranceRel - the relative tolerance

stepMaximum - the maximum steps

measures - the calibration measures, used to compute the function for which the root is found

pvMeasures - the present value measures, used to compute the present value sensitivity to market quotes stored in the metadata

Returns:

the curve calibrator

of

public static RatesCurveCalibrator of(NewtonVectorRootFinder rootFinder,
                                      CalibrationMeasures measures,
                                      CalibrationMeasures pvMeasures)

Obtains an instance specifying the measures to use.

Parameters:

rootFinder - the root finder to use

measures - the calibration measures, used to compute the function for which the root is found

pvMeasures - the present value measures, used to compute the present value sensitivity to market quotes stored in the metadata

Returns:

the curve calibrator

getMeasures

public CalibrationMeasures getMeasures()

Gets the measures.

Returns:

the measures

calibrate

public ImmutableRatesProvider calibrate(RatesCurveGroupDefinition curveGroupDefn,
                                        MarketData marketData,
                                        ReferenceData refData)

Calibrates a single curve group, containing one or more curves.

The calibration is defined using RatesCurveGroupDefinition. Observable market data, time-series and FX are also needed to complete the calibration. The valuation date is defined by the market data.

The Jacobian matrices are computed and stored in curve metadata.

Parameters:

curveGroupDefn - the curve group definition

marketData - the market data required to build a trade for the instrument, including time-series

refData - the reference data, used to resolve the trades

Returns:

the rates provider resulting from the calibration

calibrate

public ImmutableRatesProvider calibrate(List<RatesCurveGroupDefinition> allGroupDefns,
                                        ImmutableRatesProvider knownData,
                                        MarketData marketData,
                                        ReferenceData refData)

Calibrates a list of curve groups, each containing one or more curves.

The calibration is defined using a list of RatesCurveGroupDefinition. Observable market data and existing known data are also needed to complete the calibration.

A curve must only exist in one group.

Parameters:

allGroupDefns - the curve group definitions

knownData - the starting data for the calibration

marketData - the market data required to build a trade for the instrument

refData - the reference data, used to resolve the trades

Returns:

the rates provider resulting from the calibration

toString

public String toString()

Overrides:

toString in class Object