net.finmath.marketdata.calibration

Class CalibratedCurves

java.lang.Object

net.finmath.marketdata.calibration.CalibratedCurves

public class CalibratedCurves
extends java.lang.Object

Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	CalibratedCurves.CalibrationSpec Specification of calibration product.

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method and Description
AnalyticProductInterface	getCalibrationProductForSpec(CalibratedCurves.CalibrationSpec calibrationSpec)
CurveInterface	getCurve(java.lang.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.
AnalyticModelInterface	getModel() Return the calibrated model, i.e., the model maintaining a collection of curves calibrated to the given calibration specifications.

Methods inherited from class java.lang.Object

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

Constructor Detail

CalibratedCurves

public CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs,
                        AnalyticModel calibrationModel,
                        double evaluationTime,
                        double calibrationAccuracy)
                 throws SolverException,
                        java.lang.CloneNotSupportedException

Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model. If the model already contains a curve referenced as calibration curve that curve is replaced by a clone, retaining the given curve information and adding a new calibration point. If the model does not contain the curve referenced as calibration curve, the curve will be added to the model. Use case: You already have a discount curve as part of the model and like to calibrate an additional curve to an additional set of instruments.

Parameters:

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.

Throws:

SolverException - May be thrown if the solver does not cannot find a solution of the calibration problem.

java.lang.CloneNotSupportedException - Thrown, when a curve could not be cloned.

CalibratedCurves

public CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs,
                        AnalyticModel calibrationModel,
                        double calibrationAccuracy)
                 throws SolverException,
                        java.lang.CloneNotSupportedException

Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model. If the model already contains a curve referenced as calibration curve that curve is replaced by a clone, retaining the given curve information and adding a new calibration point. If the model does not contain the curve referenced as calibration curve, the curve will be added to the model. Use case: You already have a discount curve as part of the model and like to calibrate an additional curve to an additional set of instruments.

Parameters:

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.

Throws:

SolverException - May be thrown if the solver does not cannot find a solution of the calibration problem.

java.lang.CloneNotSupportedException - Thrown, when a curve could not be cloned.

CalibratedCurves

public CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs,
                        AnalyticModel calibrationModel)
                 throws SolverException,
                        java.lang.CloneNotSupportedException

Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model. If the model already contains a curve referenced as calibration curve that curve is replaced by a clone, retaining the given curve information and adding a new calibration point. If the model does not contain the curve referenced as calibration curve, the curve will be added to the model. Use case: You already have a discount curve as part of the model and like to calibrate an additional curve to an additional set of instruments.

Parameters:

calibrationSpecs - Array of calibration specs.

calibrationModel - A given model used to value the calibration products.

Throws:

SolverException - May be thrown if the solver does not cannot find a solution of the calibration problem.

java.lang.CloneNotSupportedException - Thrown, when a curve could not be cloned.

CalibratedCurves

public CalibratedCurves(java.util.Collection<CalibratedCurves.CalibrationSpec> calibrationSpecs)
                 throws SolverException,
                        java.lang.CloneNotSupportedException

Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.

Parameters:

calibrationSpecs - Array of calibration specs.

Throws:

SolverException - May be thrown if the solver does not cannot find a solution of the calibration problem.

java.lang.CloneNotSupportedException - Thrown, when a curve could not be cloned.

CalibratedCurves

public CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs)
                 throws SolverException,
                        java.lang.CloneNotSupportedException

Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.

Parameters:

calibrationSpecs - Array of calibration specs.

Throws:

SolverException - May be thrown if the solver does not cannot find a solution of the calibration problem.

java.lang.CloneNotSupportedException - Thrown, when a curve could not be cloned.

Method Detail

getCalibrationProductForSpec

public AnalyticProductInterface getCalibrationProductForSpec(CalibratedCurves.CalibrationSpec calibrationSpec)

getModel

public AnalyticModelInterface getModel()

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

Returns:

The calibrated model.

getCurve

public CurveInterface getCurve(java.lang.String name)

Get a curve for a given name.

Parameters:

name - Name of the curve

Returns:

The curve model.

getLastNumberOfInterations

public int getLastNumberOfInterations()

Return the number of iterations needed to calibrate the model.

Returns:

The number of iterations needed to calibrate the model.

getLastAccuracy

public double getLastAccuracy()

Return the accuracy achieved in the last calibration.

Returns:

The accuracy achieved in the last calibration.