Package org.drip.product.fx

Class FXForwardComponent.FXBasisCalibrator

java.lang.Object

org.drip.product.fx.FXForwardComponent.FXBasisCalibrator

Enclosing class:

FXForwardComponent

public class FXForwardComponent.FXBasisCalibrator
extends java.lang.Object

Author:

Lakshmi Krishnamurthy Calibrator for FXBasis - either bootstrapped or cumulative

Constructor Summary

Constructors

Constructor	Description
FXBasisCalibrator(FXForwardComponent fxfwd)	Constructor: Construct the basis calibrator from the FXForward parent

Method Summary

Modifier and Type	Method	Description
double	calibrateDCBasisFromFwdPriceNR(ValuationParams valParams, MergedDiscountForwardCurve dcNum, MergedDiscountForwardCurve dcDenom, double dblFXSpot, double dblMarketFXFwdPrice, boolean bBasisOnDenom)	Calibrate the discount curve basis from FXForward using Newton-Raphson methodology

Methods inherited from class java.lang.Object

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

Constructor Details

FXBasisCalibrator

public FXBasisCalibrator(FXForwardComponent fxfwd)
                  throws java.lang.Exception

Constructor: Construct the basis calibrator from the FXForward parent

Parameters:

fxfwd - FXForward parent

Throws:

java.lang.Exception - Thrown if parent is invalid

Method Details

calibrateDCBasisFromFwdPriceNR

public double calibrateDCBasisFromFwdPriceNR(ValuationParams valParams,
MergedDiscountForwardCurve dcNum,
MergedDiscountForwardCurve dcDenom,
double dblFXSpot,
double dblMarketFXFwdPrice,
boolean bBasisOnDenom)
                                      throws java.lang.Exception

Calibrate the discount curve basis from FXForward using Newton-Raphson methodology

Parameters:

valParams - ValuationParams

dcNum - Discount Curve for the Numerator

dcDenom - Discount Curve for the Denominator

dblFXSpot - FXSpot value

dblMarketFXFwdPrice - FXForward market value

bBasisOnDenom - True - Basis is set on the denominator

Returns:

Calibrated DC basis

Throws:

java.lang.Exception - Thrown if cannot calibrate