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

Class CalibrationSpecProviderSwap

java.lang.Object

net.finmath.smartcontract.valuation.marketdata.curvecalibration.CalibrationSpecProviderSwap

All Implemented Interfaces:

CalibrationSpecProvider

public class CalibrationSpecProviderSwap
extends Object
implements CalibrationSpecProvider

A calibration spec provider for swaps.

Author:

Luca Del Re, Peter Kohl-Landgraf, Christian Fries

Constructor Summary

Constructors

Constructor	Description
CalibrationSpecProviderSwap(String tenorLabel, String frequencyLabel, String maturityLabel, double swapRate)

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

CalibrationSpecProviderSwap

public CalibrationSpecProviderSwap(String tenorLabel,
 String frequencyLabel,
 String maturityLabel,
 double swapRate)

Parameters:

tenorLabel - The tenor label of the IBOR.

frequencyLabel - The frequency label for the floating leg (fixed leg is assumed to be annual).

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

swapRate - The par swap 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