org.drip.product.credit

Class BondComponent.BondCalibrator

java.lang.Object

org.drip.product.credit.BondComponent.BondCalibrator

Enclosing class:

BondComponent

public class BondComponent.BondCalibrator
extends java.lang.Object

The BondCalibrator implements a calibrator that calibrates the yield, the credit basis, or the Z Spread for the bond given the price input. Calibration happens via either Newton-Raphson method, or via bracketing/root searching.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
BondCalibrator(BondComponent bond) Constructor: Construct the calibrator from the parent bond.

Method Summary

Modifier and Type	Method and Description
double	calibDiscCurveSpreadFromPrice(ValuationParams valParams, CurveSurfaceQuoteContainer csqs, int iWorkoutDate, double dblWorkoutFactor, double dblPrice) Calibrate the bond Z Spread from the market price.
double	calibrateCreditBasisFromPrice(ValuationParams valParams, CurveSurfaceQuoteContainer csqs, int iWorkoutDate, double dblWorkoutFactor, double dblPrice, boolean bFlat) Calibrate the bond Credit Basis from the market price
double	calibrateYieldFromPrice(ValuationParams valParams, CurveSurfaceQuoteContainer csqs, int iWorkoutDate, double dblWorkoutFactor, double dblPrice) Calibrate the bond yield from the market price using the root bracketing technique.
double	calibrateZSpreadFromPrice(ValuationParams valParams, CurveSurfaceQuoteContainer csqs, int iZeroCurveBaseDC, int iWorkoutDate, double dblWorkoutFactor, double dblPrice) Calibrate the bond Z Spread from the market price using the root bracketing technique.
double	calibZeroCurveSpreadFromPrice(ValuationParams valParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, int iWorkoutDate, double dblWorkoutFactor, double dblPrice) Calibrate the bond Z Spread from the market price.

Methods inherited from class java.lang.Object

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

Constructor Detail

BondCalibrator

public BondCalibrator(BondComponent bond)
               throws java.lang.Exception

Constructor: Construct the calibrator from the parent bond.

Parameters:

bond - Parent

Throws:

java.lang.Exception - Thrown if the inputs are invalid

Method Detail

calibrateYieldFromPrice

public double calibrateYieldFromPrice(ValuationParams valParams,
                                      CurveSurfaceQuoteContainer csqs,
                                      int iWorkoutDate,
                                      double dblWorkoutFactor,
                                      double dblPrice)
                               throws java.lang.Exception

Calibrate the bond yield from the market price using the root bracketing technique.

Parameters:

valParams - Valuation Parameters

csqs - Bond Market Parameters

iWorkoutDate - JulianDate Work-out

dblWorkoutFactor - Work-out factor

dblPrice - Price to be calibrated to

Returns:

The calibrated Yield

Throws:

java.lang.Exception - Thrown if the yield cannot be calibrated

calibrateZSpreadFromPrice

public double calibrateZSpreadFromPrice(ValuationParams valParams,
                                        CurveSurfaceQuoteContainer csqs,
                                        int iZeroCurveBaseDC,
                                        int iWorkoutDate,
                                        double dblWorkoutFactor,
                                        double dblPrice)
                                 throws java.lang.Exception

Calibrate the bond Z Spread from the market price using the root bracketing technique.

Parameters:

valParams - Valuation Parameters

csqs - Bond Market Parameters

iZeroCurveBaseDC - The Discount Curve to derive the zero curve off of

iWorkoutDate - JulianDate Work-out

dblWorkoutFactor - Work-out factor

dblPrice - Price to be calibrated to

Returns:

The calibrated Z Spread

Throws:

java.lang.Exception - Thrown if the Z Spread cannot be calibrated

calibDiscCurveSpreadFromPrice

public double calibDiscCurveSpreadFromPrice(ValuationParams valParams,
                                            CurveSurfaceQuoteContainer csqs,
                                            int iWorkoutDate,
                                            double dblWorkoutFactor,
                                            double dblPrice)
                                     throws java.lang.Exception

Calibrate the bond Z Spread from the market price. Calibration is done by bumping the discount curve.

Parameters:

valParams - Valuation Parameters

csqs - Bond Market Parameters

iWorkoutDate - JulianDate Work-out

dblWorkoutFactor - Work-out factor

dblPrice - Price to be calibrated to

Returns:

The calibrated Z Spread

Throws:

java.lang.Exception - Thrown if the yield cannot be calibrated

calibZeroCurveSpreadFromPrice

public double calibZeroCurveSpreadFromPrice(ValuationParams valParams,
                                            CurveSurfaceQuoteContainer csqs,
                                            ValuationCustomizationParams vcp,
                                            int iWorkoutDate,
                                            double dblWorkoutFactor,
                                            double dblPrice)
                                     throws java.lang.Exception

Calibrate the bond Z Spread from the market price. Calibration is done by bumping the Zero Curve.

Parameters:

valParams - Valuation Parameters

csqs - Bond Market Parameters

vcp - Quoting Parameters

iWorkoutDate - JulianDate Work-out

dblWorkoutFactor - Work-out factor

dblPrice - Price to be calibrated to

Returns:

The calibrated Z Spread

Throws:

java.lang.Exception - Thrown if the yield cannot be calibrated

calibrateCreditBasisFromPrice

public double calibrateCreditBasisFromPrice(ValuationParams valParams,
                                            CurveSurfaceQuoteContainer csqs,
                                            int iWorkoutDate,
                                            double dblWorkoutFactor,
                                            double dblPrice,
                                            boolean bFlat)
                                     throws java.lang.Exception

Calibrate the bond Credit Basis from the market price

Parameters:

valParams - Valuation Parameters

csqs - Bond Market Parameters

iWorkoutDate - JulianDate Work-out

dblWorkoutFactor - Work-out factor

dblPrice - Price to be calibrated to

bFlat - TRUE - Calibrate to Flat Curve

Returns:

The calibrated Credit Basis

Throws:

java.lang.Exception - Thrown if the Credit Basis cannot be calibrated