public class CalibratedCurves extends Object
CalibrationSpec
s.
The products provides are
Value of Type String  Classes  Note 
swap  Swap 

swapleg  SwapLeg 
Only the receiver part of CalibrationSpec is used. 
swapwithresetonreceiver  SwapLeg 

swapwithresetonpayer  SwapLeg 

deposit  Deposit 
Only the receiver part of CalibrationSpec is used. 
fra  ForwardRateAgreement 
Only the receiver part of CalibrationSpec is used. 
Modifier and Type  Class and Description 

static class 
CalibratedCurves.CalibrationSpec
Specification of calibration product.

Constructor and Description 

CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs)
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products.

CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs,
AnalyticModelFromCurvesAndVols calibrationModel)
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products and a given model.

CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs,
AnalyticModelFromCurvesAndVols calibrationModel,
double calibrationAccuracy)
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products and a given model.

CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs,
AnalyticModelFromCurvesAndVols calibrationModel,
double evaluationTime,
double calibrationAccuracy)
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products and a given model.

CalibratedCurves(Collection<CalibratedCurves.CalibrationSpec> calibrationSpecs)
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products.

CalibratedCurves(List<CalibratedCurves.CalibrationSpec> calibrationSpecs,
AnalyticModel calibrationModel,
double evaluationTime,
double calibrationAccuracy)
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products and a given model.

Modifier and Type  Method and Description 

AnalyticProduct 
getCalibrationProductForSpec(CalibratedCurves.CalibrationSpec calibrationSpec) 
AnalyticProduct 
getCalibrationProductForSymbol(String symbol)
Returns the first product found in the vector of calibration products
which matches the given symbol, where symbol is the String set in
the calibrationSpecs.

CalibratedCurves 
getCloneShifted(Map<String,Double> shifts)
Returns the set curves calibrated to "shifted" market data, that is,
the market date of
this object, modified by the shifts
provided to this methods. 
CalibratedCurves 
getCloneShifted(Pattern symbolRegExp,
double shift)
Returns the set curves calibrated to "shifted" market data, that is,
the market date of
this object, modified by the shifts
provided to this methods. 
CalibratedCurves 
getCloneShifted(String symbol,
double shift)
Returns the set curves calibrated to "shifted" market data, that is,
the market date of
this object, modified by the shifts
provided to this methods. 
CalibratedCurves 
getCloneShiftedForRegExp(String symbolRegExp,
double shift)
Returns the set curves calibrated to "shifted" market data, that is,
the market date of
this object, modified by the shifts
provided to this methods. 
Curve 
getCurve(String name)
Get a curve for a given name.

double 
getLastAccuracy()
Return the accuracy achieved in the last calibration.

int 
getLastNumberOfInterations()
Return the number of iterations needed to calibrate the model.

AnalyticModel 
getModel()
Return the calibrated model, i.e., the model maintaining a collection of curves calibrated to the
given calibration specifications.

public CalibratedCurves(List<CalibratedCurves.CalibrationSpec> calibrationSpecs, AnalyticModel calibrationModel, double evaluationTime, double calibrationAccuracy) throws SolverException, CloneNotSupportedException
calibrationSpecs
 Array of calibration specs.calibrationModel
 A given model used to value the calibration products.evaluationTime
 Evaluation time applied to the calibration products.calibrationAccuracy
 Error tolerance of the solver. Set to 0 if you need machine precision.SolverException
 May be thrown if the solver does not cannot find a solution of the calibration problem.CloneNotSupportedException
 Thrown, when a curve could not be cloned.public CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs, AnalyticModelFromCurvesAndVols calibrationModel, double evaluationTime, double calibrationAccuracy) throws SolverException, CloneNotSupportedException
calibrationSpecs
 Array of calibration specs.calibrationModel
 A given model used to value the calibration products.evaluationTime
 Evaluation time applied to the calibration products.calibrationAccuracy
 Error tolerance of the solver. Set to 0 if you need machine precision.SolverException
 May be thrown if the solver does not cannot find a solution of the calibration problem.CloneNotSupportedException
 Thrown, when a curve could not be cloned.public CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs, AnalyticModelFromCurvesAndVols calibrationModel, double calibrationAccuracy) throws SolverException, CloneNotSupportedException
calibrationSpecs
 Array of calibration specs.calibrationModel
 A given model used to value the calibration products.calibrationAccuracy
 Error tolerance of the solver. Set to 0 if you need machine precision.SolverException
 May be thrown if the solver does not cannot find a solution of the calibration problem.CloneNotSupportedException
 Thrown, when a curve could not be cloned.public CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs, AnalyticModelFromCurvesAndVols calibrationModel) throws SolverException, CloneNotSupportedException
calibrationSpecs
 Array of calibration specs.calibrationModel
 A given model used to value the calibration products.SolverException
 May be thrown if the solver does not cannot find a solution of the calibration problem.CloneNotSupportedException
 Thrown, when a curve could not be cloned.public CalibratedCurves(Collection<CalibratedCurves.CalibrationSpec> calibrationSpecs) throws SolverException, CloneNotSupportedException
calibrationSpecs
 Array of calibration specs.SolverException
 May be thrown if the solver does not cannot find a solution of the calibration problem.CloneNotSupportedException
 Thrown, when a curve could not be cloned.public CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs) throws SolverException, CloneNotSupportedException
calibrationSpecs
 Array of calibration specs.SolverException
 May be thrown if the solver does not cannot find a solution of the calibration problem.CloneNotSupportedException
 Thrown, when a curve could not be cloned.public AnalyticProduct getCalibrationProductForSpec(CalibratedCurves.CalibrationSpec calibrationSpec)
public AnalyticModel getModel()
public Curve getCurve(String name)
name
 Name of the curvepublic int getLastNumberOfInterations()
public CalibratedCurves getCloneShifted(String symbol, double shift) throws SolverException, CloneNotSupportedException
this
object, modified by the shifts
provided to this methods.symbol
 The symbol to shift. All other symbols remain unshifted.shift
 The shift to apply to the symbol.SolverException
 The likely cause of this exception is a failure of the solver used in the calibration.CloneNotSupportedException
 The likely cause of this exception is the inability to clone or modify a curve.public CalibratedCurves getCloneShifted(Map<String,Double> shifts) throws SolverException, CloneNotSupportedException
this
object, modified by the shifts
provided to this methods.shifts
 A map of shifts associating each symbol with a shifts. If symbols are not part of this map, they remain unshifted.SolverException
 The likely cause of this exception is a failure of the solver used in the calibration.CloneNotSupportedException
 The likely cause of this exception is the inability to clone or modify a curve.public CalibratedCurves getCloneShifted(Pattern symbolRegExp, double shift) throws SolverException, CloneNotSupportedException
this
object, modified by the shifts
provided to this methods.
This method will shift all symbols matching a given regular expression Pattern
.symbolRegExp
 A pattern, identifying the symbols to shift.shift
 The shift to apply to the symbol(s).SolverException
 The likely cause of this exception is a failure of the solver used in the calibration.CloneNotSupportedException
 The likely cause of this exception is the inability to clone or modify a curve.Pattern
public CalibratedCurves getCloneShiftedForRegExp(String symbolRegExp, double shift) throws SolverException, CloneNotSupportedException
this
object, modified by the shifts
provided to this methods.
This method will shift all symbols matching a given regular expression.symbolRegExp
 A string representing a regular expression, identifying the symbols to shift.shift
 The shift to apply to the symbol(s).SolverException
 The likely cause of this exception is a failure of the solver used in the calibration.CloneNotSupportedException
 The likely cause of this exception is the inability to clone or modify a curve.Pattern
public double getLastAccuracy()
public AnalyticProduct getCalibrationProductForSymbol(String symbol)
symbol
 A given symbol string.Copyright © 2019. All rights reserved.