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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 30.11.2012
*/
package net.finmath.marketdata.calibration;
import java.util.ArrayList;
import java.util.Collection;
import java.util.LinkedHashSet;
import java.util.List;
import java.util.Map;
import java.util.Set;
import java.util.Vector;
import java.util.function.Predicate;
import java.util.regex.Matcher;
import java.util.regex.Pattern;
import org.jetbrains.annotations.NotNull;
import net.finmath.marketdata.model.AnalyticModel;
import net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols;
import net.finmath.marketdata.model.curves.Curve;
import net.finmath.marketdata.model.curves.DiscountCurve;
import net.finmath.marketdata.model.curves.DiscountCurveInterpolation;
import net.finmath.marketdata.model.curves.ForwardCurve;
import net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve;
import net.finmath.marketdata.model.curves.ForwardCurveInterpolation;
import net.finmath.marketdata.products.AnalyticProduct;
import net.finmath.marketdata.products.Deposit;
import net.finmath.marketdata.products.ForwardRateAgreement;
import net.finmath.marketdata.products.Swap;
import net.finmath.marketdata.products.SwapLeg;
import net.finmath.optimizer.SolverException;
import net.finmath.time.RegularSchedule;
import net.finmath.time.Schedule;
import net.finmath.time.TimeDiscretizationFromArray;
/**
* Generate a collection of calibrated curves (discount curves, forward curves)
* from a vector of calibration products.
*
* An object of this class provides a calibration of curves (using multi-curves, forward curve, discount curve).
* Sometimes this is referred as curve bootstrapping, however the algorithm used here is not a bootstrap.
*
* The calibration products have to be provided via a vector of CalibrationSpecs.
*
* The products provides are
*
*
* Value of Type String
* Classes
* Note
*
*
* swap
* {@link net.finmath.marketdata.products.Swap}
*
*
* swapleg
* {@link net.finmath.marketdata.products.SwapLeg}
* Only the receiver part of CalibrationSpec is used.
*
*
* swapwithresetonreceiver
* {@link net.finmath.marketdata.products.SwapLeg}
*
*
* swapwithresetonpayer
* {@link net.finmath.marketdata.products.SwapLeg}
*
*
* deposit
* {@link net.finmath.marketdata.products.Deposit}
* Only the receiver part of CalibrationSpec is used.
*
*
* fra
* {@link net.finmath.marketdata.products.ForwardRateAgreement}
* Only the receiver part of CalibrationSpec is used.
*
*
*
* For a demo spreadsheet using this class see finmath.net/topics/curvecalibration/.
*
* @author Christian Fries
* @version 1.0
*/
public class CalibratedCurves {
private static final boolean isUseForwardCurve;
private static final boolean isCreateDefaultCurvesForMissingCurves;
static {
// Default value is true
isUseForwardCurve = Boolean.parseBoolean(System.getProperty("net.finmath.marketdata.calibration.CalibratedCurves.isUseForwardCurve","true"));
// Default value is false
isCreateDefaultCurvesForMissingCurves = Boolean.parseBoolean(System.getProperty("net.finmath.marketdata.calibration.CalibratedCurves.isCreateDefaultCurvesForMissingCurves","false"));
}
/**
* Specification of calibration product.
*
* @author Christian Fries
*/
public static class CalibrationSpec {
private String symbol;
private String type;
private Schedule swapTenorDefinitionReceiver;
private String forwardCurveReceiverName;
private double spreadReceiver;
private String discountCurveReceiverName;
private Schedule swapTenorDefinitionPayer;
private String forwardCurvePayerName;
private double spreadPayer;
private String discountCurvePayerName;
private String calibrationCurveName;
private double calibrationTime;
/**
* Calibration specification.
*
* @param symbol A string identifying the calibration product. This string can be used in sensitivity calculation, allowing to bump the spread in a finite difference approximation. See getCloneShifted method.
* @param type The type of the calibration product.
* @param swapTenorDefinitionReceiver The schedule of periods of the receiver leg.
* @param forwardCurveReceiverName The forward curve of the receiver leg (may be null).
* @param spreadReceiver The spread or fixed coupon of the receiver leg.
* @param discountCurveReceiverName The discount curve of the receiver leg.
* @param swapTenorDefinitionPayer The schedule of periods of the payer leg.
* @param forwardCurvePayerName The forward curve of the payer leg (may be null).
* @param spreadPayer The spread or fixed coupon of the payer leg.
* @param discountCurvePayerName The discount curve of the payer leg.
* @param calibrationCurveName The curve to calibrate, by this product.
* @param calibrationTime The time point in calibrationCurveName used to calibrate, by this product.
*/
public CalibrationSpec(
String symbol,
String type,
Schedule swapTenorDefinitionReceiver,
String forwardCurveReceiverName, double spreadReceiver,
String discountCurveReceiverName,
Schedule swapTenorDefinitionPayer,
String forwardCurvePayerName, double spreadPayer,
String discountCurvePayerName,
String calibrationCurveName,
double calibrationTime) {
super();
this.symbol = symbol;
this.type = type;
this.swapTenorDefinitionReceiver = swapTenorDefinitionReceiver;
this.forwardCurveReceiverName = forwardCurveReceiverName;
this.spreadReceiver = spreadReceiver;
this.discountCurveReceiverName = discountCurveReceiverName;
this.swapTenorDefinitionPayer = swapTenorDefinitionPayer;
this.forwardCurvePayerName = forwardCurvePayerName;
this.spreadPayer = spreadPayer;
this.discountCurvePayerName = discountCurvePayerName;
this.calibrationCurveName = calibrationCurveName;
this.calibrationTime = calibrationTime;
}
/**
* Calibration specification.
*
* @param type The type of the calibration product.
* @param swapTenorDefinitionReceiver The schedule of periods of the receiver leg.
* @param forwardCurveReceiverName The forward curve of the receiver leg (may be null).
* @param spreadReceiver The spread or fixed coupon of the receiver leg.
* @param discountCurveReceiverName The discount curve of the receiver leg.
* @param swapTenorDefinitionPayer The schedule of periods of the payer leg.
* @param forwardCurvePayerName The forward curve of the payer leg (may be null).
* @param spreadPayer The spread or fixed coupon of the payer leg.
* @param discountCurvePayerName The discount curve of the payer leg.
* @param calibrationCurveName The curve to calibrate, by this product.
* @param calibrationTime The time point in calibrationCurveName used to calibrate, by this product.
*/
public CalibrationSpec(
String type,
Schedule swapTenorDefinitionReceiver,
String forwardCurveReceiverName, double spreadReceiver,
String discountCurveReceiverName,
Schedule swapTenorDefinitionPayer,
String forwardCurvePayerName, double spreadPayer,
String discountCurvePayerName,
String calibrationCurveName,
double calibrationTime) {
this(null, type, swapTenorDefinitionReceiver, forwardCurveReceiverName, spreadReceiver, discountCurveReceiverName, swapTenorDefinitionPayer, forwardCurvePayerName, spreadPayer, discountCurvePayerName, calibrationCurveName, calibrationTime);
}
/**
* Calibration specification.
*
* @param type The type of the calibration product.
* @param swapTenorDefinitionReceiver The schedule of periods of the receiver leg.
* @param forwardCurveReceiverName The forward curve of the receiver leg (may be null).
* @param spreadReceiver The spread or fixed coupon of the receiver leg.
* @param discountCurveReceiverName The discount curve of the receiver leg.
* @param swapTenorDefinitionPayer The schedule of periods of the payer leg.
* @param forwardCurvePayerName The forward curve of the payer leg (may be null).
* @param spreadPayer The spread or fixed coupon of the payer leg.
* @param discountCurvePayerName The discount curve of the payer leg.
* @param calibrationCurveName The curve to calibrate, by this product.
* @param calibrationTime The time point in calibrationCurveName used to calibrate, by this product.
*/
public CalibrationSpec(
String type,
double[] swapTenorDefinitionReceiver,
String forwardCurveReceiverName, double spreadReceiver,
String discountCurveReceiverName,
double[] swapTenorDefinitionPayer,
String forwardCurvePayerName, double spreadPayer,
String discountCurvePayerName,
String calibrationCurveName,
double calibrationTime) {
super();
this.type = type;
this.swapTenorDefinitionReceiver = new RegularSchedule(new TimeDiscretizationFromArray(swapTenorDefinitionReceiver[0] /* initial */, swapTenorDefinitionReceiver[1] /* numberOfTimeSteps */, swapTenorDefinitionReceiver[2] /* deltaT */, TimeDiscretizationFromArray.ShortPeriodLocation.SHORT_PERIOD_AT_START));
this.forwardCurveReceiverName = forwardCurveReceiverName;
this.spreadReceiver = spreadReceiver;
this.discountCurveReceiverName = discountCurveReceiverName;
this.swapTenorDefinitionPayer = new RegularSchedule(new TimeDiscretizationFromArray(swapTenorDefinitionPayer[0] /* initial */, swapTenorDefinitionPayer[1] /* numberOfTimeSteps */, swapTenorDefinitionPayer[2] /* deltaT */, TimeDiscretizationFromArray.ShortPeriodLocation.SHORT_PERIOD_AT_START));
this.forwardCurvePayerName = forwardCurvePayerName;
this.spreadPayer = spreadPayer;
this.discountCurvePayerName = discountCurvePayerName;
this.calibrationCurveName = calibrationCurveName;
this.calibrationTime = calibrationTime;
}
/**
* Calibration specification.
*
* @param type The type of the calibration product.
* @param swapTenorDefinitionReceiver The schedule of periods of the receiver leg.
* @param forwardCurveReceiverName The forward curve of the receiver leg (may be null).
* @param spreadReceiver The spread or fixed coupon of the receiver leg.
* @param discountCurveReceiverName The discount curve of the receiver leg.
* @param calibrationCurveName The curve to calibrate, by this product.
* @param calibrationTime The time point in calibrationCurveName used to calibrate, by this product.
*/
public CalibrationSpec(
String type,
double[] swapTenorDefinitionReceiver,
String forwardCurveReceiverName, double spreadReceiver,
String discountCurveReceiverName,
String calibrationCurveName,
double calibrationTime) {
super();
this.type = type;
this.swapTenorDefinitionReceiver = new RegularSchedule(new TimeDiscretizationFromArray(swapTenorDefinitionReceiver[0] /* initial */, swapTenorDefinitionReceiver[1] /* numberOfTimeSteps */, swapTenorDefinitionReceiver[2] /* deltaT */, TimeDiscretizationFromArray.ShortPeriodLocation.SHORT_PERIOD_AT_START));
this.forwardCurveReceiverName = forwardCurveReceiverName;
this.spreadReceiver = spreadReceiver;
this.discountCurveReceiverName = discountCurveReceiverName;
this.calibrationCurveName = calibrationCurveName;
this.calibrationTime = calibrationTime;
}
public CalibrationSpec getCloneShifted(double shift) {
if(discountCurvePayerName == null || type.toLowerCase().equals("swapleg") || type.toLowerCase().equals("deposit") || type.toLowerCase().equals("fra")) {
return new CalibrationSpec(symbol, type, swapTenorDefinitionReceiver, forwardCurveReceiverName, spreadReceiver+shift, discountCurveReceiverName, swapTenorDefinitionPayer, forwardCurvePayerName, spreadPayer, discountCurvePayerName, calibrationCurveName, calibrationTime);
}
else {
return new CalibrationSpec(symbol, type, swapTenorDefinitionReceiver, forwardCurveReceiverName, spreadReceiver, discountCurveReceiverName, swapTenorDefinitionPayer, forwardCurvePayerName, spreadPayer+shift, discountCurvePayerName, calibrationCurveName, calibrationTime);
}
}
@Override
public String toString() {
return "CalibrationSpec [symbol=" + symbol + ", type=" + type + ", swapTenorDefinitionReceiver="
+ swapTenorDefinitionReceiver + ", forwardCurveReceiverName=" + forwardCurveReceiverName
+ ", spreadReceiver=" + spreadReceiver + ", discountCurveReceiverName=" + discountCurveReceiverName
+ ", swapTenorDefinitionPayer=" + swapTenorDefinitionPayer + ", forwardCurvePayerName="
+ forwardCurvePayerName + ", spreadPayer=" + spreadPayer + ", discountCurvePayerName="
+ discountCurvePayerName + ", calibrationCurveName=" + calibrationCurveName + ", calibrationTime="
+ calibrationTime + "]";
}
@NotNull
public String getSymbol() {
return symbol;
}
}
private AnalyticModel model = new AnalyticModelFromCurvesAndVols();
private Set objectsToCalibrate = new LinkedHashSet<>();
private Vector calibrationProducts = new Vector<>();
private Vector calibrationProductsSymbols = new Vector<>();
private List calibrationSpecs = new ArrayList<>();
private final double evaluationTime;
private final double calibrationAccuracy;
private int lastNumberOfInterations;
private double lastAccuracy;
/**
* 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.
*
* @param calibrationSpecs Array of calibration specs.
* @param calibrationModel A given model used to value the calibration products.
* @param evaluationTime Evaluation time applied to the calibration products.
* @param calibrationAccuracy Error tolerance of the solver. Set to 0 if you need machine precision.
* @throws net.finmath.optimizer.SolverException May be thrown if the solver does not cannot find a solution of the calibration problem.
* @throws CloneNotSupportedException Thrown, when a curve could not be cloned.
*/
public CalibratedCurves(List calibrationSpecs, AnalyticModel calibrationModel, double evaluationTime, double calibrationAccuracy) throws SolverException, CloneNotSupportedException {
if(calibrationModel != null) {
model = calibrationModel.getCloneForParameter(null);
}
this.evaluationTime = evaluationTime;
this.calibrationAccuracy = calibrationAccuracy;
for(CalibrationSpec calibrationSpec : calibrationSpecs) {
add(calibrationSpec);
}
lastNumberOfInterations = calibrate(calibrationAccuracy);
}
/**
* 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.
*
* @param calibrationSpecs Array of calibration specs.
* @param calibrationModel A given model used to value the calibration products.
* @param evaluationTime Evaluation time applied to the calibration products.
* @param calibrationAccuracy Error tolerance of the solver. Set to 0 if you need machine precision.
* @throws net.finmath.optimizer.SolverException May be thrown if the solver does not cannot find a solution of the calibration problem.
* @throws CloneNotSupportedException Thrown, when a curve could not be cloned.
*/
public CalibratedCurves(CalibrationSpec[] calibrationSpecs, AnalyticModelFromCurvesAndVols calibrationModel, double evaluationTime, double calibrationAccuracy) throws SolverException, CloneNotSupportedException {
if(calibrationModel != null) {
model = calibrationModel.getCloneForParameter(null);
}
this.evaluationTime = evaluationTime;
this.calibrationAccuracy = calibrationAccuracy;
for(CalibrationSpec calibrationSpec : calibrationSpecs) {
add(calibrationSpec);
}
lastNumberOfInterations = calibrate(calibrationAccuracy);
}
/**
* 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.
*
* @param calibrationSpecs Array of calibration specs.
* @param calibrationModel A given model used to value the calibration products.
* @param calibrationAccuracy Error tolerance of the solver. Set to 0 if you need machine precision.
* @throws net.finmath.optimizer.SolverException May be thrown if the solver does not cannot find a solution of the calibration problem.
* @throws CloneNotSupportedException Thrown, when a curve could not be cloned.
*/
public CalibratedCurves(CalibrationSpec[] calibrationSpecs, AnalyticModelFromCurvesAndVols calibrationModel, double calibrationAccuracy) throws SolverException, CloneNotSupportedException {
this(calibrationSpecs, calibrationModel, 0.0, calibrationAccuracy);
}
/**
* 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.
*
* @param calibrationSpecs Array of calibration specs.
* @param calibrationModel A given model used to value the calibration products.
* @throws net.finmath.optimizer.SolverException May be thrown if the solver does not cannot find a solution of the calibration problem.
* @throws CloneNotSupportedException Thrown, when a curve could not be cloned.
*/
public CalibratedCurves(CalibrationSpec[] calibrationSpecs, AnalyticModelFromCurvesAndVols calibrationModel) throws SolverException, CloneNotSupportedException {
this(calibrationSpecs, calibrationModel, 0.0);
}
/**
* Generate a collection of calibrated curves (discount curves, forward curves)
* from a vector of calibration products.
*
* @param calibrationSpecs Array of calibration specs.
* @throws net.finmath.optimizer.SolverException May be thrown if the solver does not cannot find a solution of the calibration problem.
* @throws CloneNotSupportedException Thrown, when a curve could not be cloned.
*/
public CalibratedCurves(Collection calibrationSpecs) throws SolverException, CloneNotSupportedException {
this(calibrationSpecs.toArray(new CalibrationSpec[calibrationSpecs.size()]), null);
}
/**
* Generate a collection of calibrated curves (discount curves, forward curves)
* from a vector of calibration products.
*
* @param calibrationSpecs Array of calibration specs.
* @throws net.finmath.optimizer.SolverException May be thrown if the solver does not cannot find a solution of the calibration problem.
* @throws CloneNotSupportedException Thrown, when a curve could not be cloned.
*/
public CalibratedCurves(CalibrationSpec[] calibrationSpecs) throws SolverException, CloneNotSupportedException {
this(calibrationSpecs, null, 0.0);
}
public AnalyticProduct getCalibrationProductForSpec(CalibrationSpec calibrationSpec) {
String forwardCurveReceiverName = calibrationSpec.forwardCurveReceiverName;
String forwardCurvePayerName = calibrationSpec.forwardCurvePayerName;
/*
* If required, default curves are created if missing.
*/
if(isCreateDefaultCurvesForMissingCurves) {
createDiscountCurve(calibrationSpec.discountCurveReceiverName);
createDiscountCurve(calibrationSpec.discountCurvePayerName);
forwardCurveReceiverName = createForwardCurve(calibrationSpec.swapTenorDefinitionReceiver, calibrationSpec.forwardCurveReceiverName);
forwardCurvePayerName = createForwardCurve(calibrationSpec.swapTenorDefinitionPayer, calibrationSpec.forwardCurvePayerName);
}
else {
Predicate discountCurveMissing = (String curveName) -> curveName != null && curveName.length() > 0 && model.getDiscountCurve(curveName) == null;
Predicate forwardCurveMissing = (String curveName) -> curveName != null && curveName.length() > 0 && model.getForwardCurve(curveName) == null;
if(discountCurveMissing.test(calibrationSpec.discountCurveReceiverName)) {
throw new IllegalArgumentException("Discount curve " + calibrationSpec.discountCurveReceiverName + " missing. Needs to be part of model " + model + ".");
}
if(discountCurveMissing.test(calibrationSpec.discountCurvePayerName)) {
throw new IllegalArgumentException("Discount curve " + calibrationSpec.discountCurvePayerName + " missing. Needs to be part of model " + model + ".");
}
if(forwardCurveMissing.test(calibrationSpec.forwardCurveReceiverName)) {
throw new IllegalArgumentException("Forward curve " + calibrationSpec.forwardCurveReceiverName + " missing. Needs to be part of model " + model + ".");
}
if(forwardCurveMissing.test(calibrationSpec.forwardCurvePayerName)) {
throw new IllegalArgumentException("Forward curve " + calibrationSpec.forwardCurvePayerName + " missing. Needs to be part of model " + model + ".");
}
}
Schedule tenorReceiver = calibrationSpec.swapTenorDefinitionReceiver;
Schedule tenorPayer = calibrationSpec.swapTenorDefinitionPayer;
AnalyticProduct product = null;
if(calibrationSpec.type.toLowerCase().equals("deposit")){
product = new Deposit(tenorReceiver, calibrationSpec.spreadReceiver, calibrationSpec.discountCurveReceiverName);
}
else if(calibrationSpec.type.toLowerCase().equals("fra")){
product = new ForwardRateAgreement(tenorReceiver, calibrationSpec.spreadReceiver, forwardCurveReceiverName, calibrationSpec.discountCurveReceiverName);
}
else if(calibrationSpec.type.toLowerCase().equals("future")){
// like a fra but future price needs to be translated into rate
product = new ForwardRateAgreement(calibrationSpec.swapTenorDefinitionReceiver, 1.0-calibrationSpec.spreadReceiver/100.0, forwardCurveReceiverName, calibrationSpec.discountCurveReceiverName);
}
else if(calibrationSpec.type.toLowerCase().equals("swapleg")) {
// note that a swapLeg is always assumed to have a notional reset
product = new SwapLeg(tenorReceiver, forwardCurveReceiverName, calibrationSpec.spreadReceiver, calibrationSpec.discountCurveReceiverName, true);
}
else if(calibrationSpec.type.toLowerCase().equals("swap")) {
SwapLeg legReceiver = new SwapLeg(tenorReceiver, forwardCurveReceiverName, calibrationSpec.spreadReceiver, calibrationSpec.discountCurveReceiverName, true);
SwapLeg legPayer = new SwapLeg(tenorPayer, forwardCurvePayerName, calibrationSpec.spreadPayer, calibrationSpec.discountCurvePayerName, true);
product = new Swap(legReceiver, legPayer);
}
else if(calibrationSpec.type.toLowerCase().equals("swapwithresetonreceiver")) {
String discountCurveForNotionalResetName = calibrationSpec.discountCurvePayerName;
SwapLeg legReceiver = new SwapLeg(tenorReceiver, forwardCurveReceiverName, calibrationSpec.spreadReceiver, calibrationSpec.discountCurveReceiverName, discountCurveForNotionalResetName, true);
SwapLeg legPayer = new SwapLeg(tenorPayer, forwardCurvePayerName, calibrationSpec.spreadPayer, calibrationSpec.discountCurvePayerName, true);
product = new Swap(legReceiver, legPayer);
}
else if(calibrationSpec.type.toLowerCase().equals("swapwithresetonpayer")) {
String discountCurveForNotionalResetName = calibrationSpec.discountCurveReceiverName;
SwapLeg legReceiver = new SwapLeg(tenorReceiver, forwardCurveReceiverName, calibrationSpec.spreadReceiver, calibrationSpec.discountCurveReceiverName, true);
SwapLeg legPayer = new SwapLeg(tenorPayer, forwardCurvePayerName, calibrationSpec.spreadPayer, calibrationSpec.discountCurvePayerName, discountCurveForNotionalResetName, true);
product = new Swap(legReceiver, legPayer);
}
else {
throw new RuntimeException("Product of type " + calibrationSpec.type + " unknown.");
}
return product;
}
/**
* Return the calibrated model, i.e., the model maintaining a collection of curves calibrated to the
* given calibration specifications.
*
* @return The calibrated model.
*/
public AnalyticModel getModel() {
return model;
}
/**
* Get a curve for a given name.
*
* @param name Name of the curve
* @return The curve model.
*/
public Curve getCurve(String name) {
return model.getCurve(name);
}
/**
* Return the number of iterations needed to calibrate the model.
*
* @return The number of iterations needed to calibrate the model.
*/
public int getLastNumberOfInterations() {
return lastNumberOfInterations;
}
/**
* Returns the set curves calibrated to "shifted" market data, that is,
* the market date of this object, modified by the shifts
* provided to this methods.
*
* @param symbol The symbol to shift. All other symbols remain unshifted.
* @param shift The shift to apply to the symbol.
* @return A new set of calibrated curves, calibrated to shifted market data.
* @throws SolverException The likely cause of this exception is a failure of the solver used in the calibration.
* @throws CloneNotSupportedException The likely cause of this exception is the inability to clone or modify a curve.
*/
public CalibratedCurves getCloneShifted(String symbol, double shift) throws SolverException, CloneNotSupportedException {
// Clone calibration specs, shifting the desired symbol
List calibrationSpecsShifted = new ArrayList<>();
for(CalibrationSpec calibrationSpec : calibrationSpecs) {
if(calibrationSpec.symbol.equals(symbol)) {
calibrationSpecsShifted.add(calibrationSpec.getCloneShifted(shift));
}
else {
calibrationSpecsShifted.add(calibrationSpec);
}
}
return new CalibratedCurves(calibrationSpecsShifted, model, evaluationTime, calibrationAccuracy);
}
/**
* Returns the set curves calibrated to "shifted" market data, that is,
* the market date of this object, modified by the shifts
* provided to this methods.
*
* @param shifts A map of shifts associating each symbol with a shifts. If symbols are not part of this map, they remain unshifted.
* @return A new set of calibrated curves, calibrated to shifted market data.
* @throws SolverException The likely cause of this exception is a failure of the solver used in the calibration.
* @throws CloneNotSupportedException The likely cause of this exception is the inability to clone or modify a curve.
*/
public CalibratedCurves getCloneShifted(Map shifts) throws SolverException, CloneNotSupportedException {
// Clone calibration specs, shifting the desired symbol
List calibrationSpecsShifted = new ArrayList<>();
for(CalibrationSpec calibrationSpec : calibrationSpecs) {
if(shifts.containsKey(calibrationSpec)) {
calibrationSpecsShifted.add(calibrationSpec.getCloneShifted(shifts.get(calibrationSpec)));
}
else {
calibrationSpecsShifted.add(calibrationSpec);
}
}
return new CalibratedCurves(calibrationSpecsShifted, model, evaluationTime, calibrationAccuracy);
}
/**
* Returns the set curves calibrated to "shifted" market data, that is,
* the market date of this object, modified by the shifts
* provided to this methods.
*
* This method will shift all symbols matching a given regular expression Pattern.
*
* @see java.util.regex.Pattern
*
* @param symbolRegExp A pattern, identifying the symbols to shift.
* @param shift The shift to apply to the symbol(s).
* @return A new set of calibrated curves, calibrated to shifted market data.
* @throws SolverException The likely cause of this exception is a failure of the solver used in the calibration.
* @throws CloneNotSupportedException The likely cause of this exception is the inability to clone or modify a curve.
*/
public CalibratedCurves getCloneShifted(Pattern symbolRegExp, double shift) throws SolverException, CloneNotSupportedException {
// Clone calibration specs, shifting the desired symbol
List calibrationSpecsShifted = new ArrayList<>();
for(CalibrationSpec calibrationSpec : calibrationSpecs) {
Matcher matcher = symbolRegExp.matcher(calibrationSpec.symbol);
if(matcher.matches()) {
calibrationSpecsShifted.add(calibrationSpec.getCloneShifted(shift));
}
else {
calibrationSpecsShifted.add(calibrationSpec);
}
}
return new CalibratedCurves(calibrationSpecsShifted, model, evaluationTime, calibrationAccuracy);
}
/**
* Returns the set curves calibrated to "shifted" market data, that is,
* the market date of this object, modified by the shifts
* provided to this methods.
*
* This method will shift all symbols matching a given regular expression.
*
* @see java.util.regex.Pattern
*
* @param symbolRegExp A string representing a regular expression, identifying the symbols to shift.
* @param shift The shift to apply to the symbol(s).
* @return A new set of calibrated curves, calibrated to shifted market data.
* @throws SolverException The likely cause of this exception is a failure of the solver used in the calibration.
* @throws CloneNotSupportedException The likely cause of this exception is the inability to clone or modify a curve.
*/
public CalibratedCurves getCloneShiftedForRegExp(String symbolRegExp, double shift) throws SolverException, CloneNotSupportedException {
return getCloneShifted(Pattern.compile(symbolRegExp), shift);
}
/**
* Return the accuracy achieved in the last calibration.
*
* @return The accuracy achieved in the last calibration.
*/
public double getLastAccuracy() {
return lastAccuracy;
}
/**
* Returns the first product found in the vector of calibration products
* which matches the given symbol, where symbol is the String set in
* the calibrationSpecs.
*
* @param symbol A given symbol string.
* @return The product associated with that symbol.
*/
public AnalyticProduct getCalibrationProductForSymbol(String symbol) {
/*
* The internal data structure is not optimal here (a map would make more sense here),
* if the user does not require access to the products, we would allow non-unique symbols.
* Hence we store both in two side by side vectors.
*/
for(int i=0; i © 2015 - 2025 Weber Informatics LLC | Privacy Policy