/// <summary>
/// Obtains an instance specifying the measures to use.
/// </summary>
/// <param name="rootFinder"> the root finder to use </param>
/// <param name="measures"> the calibration measures, used to compute the function for which the root is found </param>
/// <param name="pvMeasures"> the present value measures, used to compute the present value sensitivity to market quotes
/// stored in the metadata </param>
/// <returns> the curve calibrator </returns>
public static RatesCurveCalibrator of(NewtonVectorRootFinder rootFinder, CalibrationMeasures measures, CalibrationMeasures pvMeasures)
{
return(new RatesCurveCalibrator(rootFinder, measures, pvMeasures));
}
//-------------------------------------------------------------------------
// restricted constructor
private RatesCurveCalibrator(NewtonVectorRootFinder rootFinder, CalibrationMeasures measures, CalibrationMeasures pvMeasures)
{
this.rootFinder = ArgChecker.notNull(rootFinder, "rootFinder");
this.measures = ArgChecker.notNull(measures, "measures");
this.pvMeasures = ArgChecker.notNull(pvMeasures, "pvMeasures");
}
/// <summary>
/// Obtains an instance specifying tolerances and measures to use.
/// <para>
/// This uses a Broyden root finder.
///
/// </para>
/// </summary>
/// <param name="toleranceAbs"> the absolute tolerance </param>
/// <param name="toleranceRel"> the relative tolerance </param>
/// <param name="stepMaximum"> the maximum steps </param>
/// <param name="measures"> the calibration measures, used to compute the function for which the root is found </param>
/// <param name="pvMeasures"> the present value measures, used to compute the present value sensitivity to market quotes
/// stored in the metadata </param>
/// <returns> the curve calibrator </returns>
public static RatesCurveCalibrator of(double toleranceAbs, double toleranceRel, int stepMaximum, CalibrationMeasures measures, CalibrationMeasures pvMeasures)
{
NewtonVectorRootFinder rootFinder = NewtonVectorRootFinder.broyden(toleranceAbs, toleranceRel, stepMaximum);
return(new RatesCurveCalibrator(rootFinder, measures, pvMeasures));
}
