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

Class Calibrator

java.lang.Object

net.finmath.smartcontract.valuation.marketdata.curvecalibration.Calibrator

public class Calibrator
extends Object

An object calibrating models from a stream of calibration spec providers

Author:

Luca Del Re, Peter Kohl-Landgraf, Christian Fries

Field Summary

Fields

Modifier and Type	Field	Description
static final String	DISCOUNT_EUR_OIS

Constructor Summary

Constructors

Constructor	Description
Calibrator(List<CalibrationDataItem> fixings, CalibrationContext ctx)

Method Summary

Modifier and Type	Method	Description
Optional<CalibrationResult>	calibrateModel(Stream<CalibrationSpecProvider> providers, CalibrationContext ctx)
protected net.finmath.marketdata.calibration.CalibratedCurves	getCalibratedCurves()

Methods inherited from class java.lang.Object

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

Field Details

DISCOUNT_EUR_OIS

public static final String DISCOUNT_EUR_OIS

See Also:

• Constant Field Values

Constructor Details

Calibrator

public Calibrator(List<CalibrationDataItem> fixings,
 CalibrationContext ctx)

Method Details

getCalibratedCurves

protected net.finmath.marketdata.calibration.CalibratedCurves getCalibratedCurves()

calibrateModel

public Optional<CalibrationResult> calibrateModel(Stream<CalibrationSpecProvider> providers,
 CalibrationContext ctx)
                                           throws CloneNotSupportedException

Parameters:

providers - Stream providing calibration specs (calibration instruments)

ctx - The context providing reference date and accuracy.

Returns:

If the calibration problem can be solved the optional wraps a AnalyticModel implementation with the calibrated model; if the problem is not solvable with respect to the given accuracy, the optional will be empty.

Throws:

CloneNotSupportedException - Thrown if model calibration fails.

See Also:

• AnalyticModel