/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="trades"> the trades </param>
/// <param name="measures"> the calibration measures </param>
/// <param name="providerGenerator"> the provider generator, used to create child providers </param>
/// <param name="curveOrder"> the curve order </param>
public CalibrationDerivative(IList <ResolvedTrade> trades, CalibrationMeasures measures, RatesProviderGenerator providerGenerator, IList <CurveParameterSize> curveOrder)
{
this.measures = measures;
this.trades = trades;
this.providerGenerator = providerGenerator;
this.curveOrder = curveOrder;
}
public virtual void test_of_list()
{
CalibrationMeasures test = CalibrationMeasures.of("Test", ImmutableList.of(TradeCalibrationMeasure.FRA_PAR_SPREAD, TradeCalibrationMeasure.SWAP_PAR_SPREAD));
assertThat(test.Name).isEqualTo("Test");
assertThat(test.TradeTypes).containsOnly(typeof(ResolvedFraTrade), typeof(ResolvedSwapTrade));
assertThat(test.ToString()).isEqualTo("Test");
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="trades"> the trades </param>
/// <param name="measures"> the calibration measures </param>
/// <param name="providerGenerator"> the provider generator, used to create child providers </param>
internal CalibrationValue(IList <ResolvedTrade> trades, CalibrationMeasures measures, RatesProviderGenerator providerGenerator)
{
this.trades = trades;
this.measures = measures;
this.providerGenerator = providerGenerator;
}
//-------------------------------------------------------------------------
// 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 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));
}
/// <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));
}
/// <summary>
/// Obtains an instance specifying tolerances and measures to use.
/// <para>
/// This uses a Broyden root finder.
/// The standard <seealso cref="CalibrationMeasures#PRESENT_VALUE"/> measures are used.
///
/// </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>
/// <returns> the curve calibrator </returns>
public static RatesCurveCalibrator of(double toleranceAbs, double toleranceRel, int stepMaximum, CalibrationMeasures measures)
{
return(of(toleranceAbs, toleranceRel, stepMaximum, measures, CalibrationMeasures.PRESENT_VALUE));
}
public virtual void test_measureNotKnown()
{
CalibrationMeasures test = CalibrationMeasures.of("Test", TradeCalibrationMeasure.FRA_PAR_SPREAD);
assertThrowsIllegalArg(() => test.value(SwapDummyData.SWAP_TRADE, ImmutableRatesProviderSimpleData.IMM_PROV_EUR_FIX), "Trade type 'ResolvedSwapTrade' is not supported for calibration");
}
public virtual void test_of_duplicate()
{
assertThrowsIllegalArg(() => CalibrationMeasures.of("Test", TradeCalibrationMeasure.FRA_PAR_SPREAD, TradeCalibrationMeasure.FRA_PAR_SPREAD));
assertThrowsIllegalArg(() => CalibrationMeasures.of("Test", ImmutableList.of(TradeCalibrationMeasure.FRA_PAR_SPREAD, TradeCalibrationMeasure.FRA_PAR_SPREAD)));
}
// restricted constructor
private SyntheticRatesCurveCalibrator(RatesCurveCalibrator calibrator, CalibrationMeasures marketQuotesMeasures)
{
this.measures = marketQuotesMeasures;
this.calibrator = calibrator;
}
/// <summary>
/// Obtains an instance, specifying market quotes measures to use and calibrator.
/// </summary>
/// <param name="calibrator"> the mechanism used to calibrate curves once the synthetic market quotes are known </param>
/// <param name="marketQuotesMeasures"> the measures used to compute the market quotes </param>
/// <returns> the synthetic curve calibrator </returns>
public static SyntheticRatesCurveCalibrator of(RatesCurveCalibrator calibrator, CalibrationMeasures marketQuotesMeasures)
{
return(new SyntheticRatesCurveCalibrator(calibrator, marketQuotesMeasures));
}
