Beispiel #1
0
        public virtual MarketDataBox <RatesCurveGroup> build(RatesCurveGroupId id, MarketDataConfig marketDataConfig, ScenarioMarketData marketData, ReferenceData refData)
        {
            // create the calibrator, using the configured RootFinderConfig if found
            RootFinderConfig     rfc        = marketDataConfig.find(typeof(RootFinderConfig)).orElse(RootFinderConfig.standard());
            RatesCurveCalibrator calibrator = RatesCurveCalibrator.of(rfc.AbsoluteTolerance, rfc.RelativeTolerance, rfc.MaximumSteps, calibrationMeasures);

            // calibrate
            CurveGroupName            groupName      = id.CurveGroupName;
            RatesCurveGroupDefinition configuredDefn = marketDataConfig.get(typeof(RatesCurveGroupDefinition), groupName);

            return(buildCurveGroup(configuredDefn, calibrator, marketData, refData, id.ObservableSource));
        }