Package net.finmath.smartcontract.valuation.marketdata.curvecalibration

Class CalibrationSpecProviderDeposit

java.lang.Object

net.finmath.smartcontract.valuation.marketdata.curvecalibration.CalibrationSpecProviderDeposit

All Implemented Interfaces:

CalibrationSpecProvider

public class CalibrationSpecProviderDeposit
extends Object
implements CalibrationSpecProvider

A calibration spec provider for deposits.

Author:

Luca Del Re, Peter Kohl-Landgraf, Christian Fries

Constructor Summary

Constructors

Constructor	Description
CalibrationSpecProviderDeposit(String tenorLabel, String maturityLabel, double depositRate)

Method Summary

Modifier and Type	Method	Description
net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec	getCalibrationSpec(CalibrationContext ctx)

Methods inherited from class java.lang.Object

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

Constructor Details

CalibrationSpecProviderDeposit

public CalibrationSpecProviderDeposit(String tenorLabel,
 String maturityLabel,
 double depositRate)

Parameters:

tenorLabel - The tenor label of the IBOR.

maturityLabel - The maturity label (like 1Y, 2Y).

depositRate - The fra rate (use 0.05 for 5%).

Method Details

getCalibrationSpec

public net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec getCalibrationSpec(CalibrationContext ctx)

Specified by:

getCalibrationSpec in interface CalibrationSpecProvider