InflationIssuerDiscountBuildingRepository.java 文件源码

/**
 * Build a unit of curves without the discount curve.
 * @param instruments The instruments used for the unit calibration.
 * @param initGuess The initial parameters guess.
 * @param knownData The known data (fx rates, other curves, model parameters, ...)
 * @param inflationMap The inflation curves names map.
 * @param generatorsMap The generators map.
 * @param calculator The calculator of the value on which the calibration is done (usually ParSpreadMarketQuoteCalculator (recommended) or converted present value).
 * @param sensitivityCalculator The parameter sensitivity calculator.
 * @return The new curves and the calibrated parameters.
 */
private InflationIssuerProviderDiscount makeUnit(final InstrumentDerivative[] instruments, final double[] initGuess, 
    final InflationIssuerProviderDiscount knownData,
    LinkedHashMap<String, Currency> dscMap, LinkedHashMap<String, IndexON[]> fwdOnMap, 
    LinkedHashMap<String, IborIndex[]> fwdIborMap, LinkedHashMap<String, IndexPrice[]> priceMap,
    LinkedListMultimap<String, Pair<Object, LegalEntityFilter<LegalEntity>>> issuerMap,
    final LinkedHashMap<String, GeneratorCurve> generatorsMap,
    final InstrumentDerivativeVisitor<ParameterInflationIssuerProviderInterface, Double> calculator,
    final InstrumentDerivativeVisitor<ParameterInflationIssuerProviderInterface, InflationSensitivity> sensitivityCalculator) {
  final GeneratorInflationIssuerProviderDiscount generator = 
      new GeneratorInflationIssuerProviderDiscount(knownData, dscMap, fwdOnMap, priceMap, issuerMap, generatorsMap);
  final InflationIssuerDiscountBuildingData data = new InflationIssuerDiscountBuildingData(instruments, generator);
  final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = 
      new InflationIssuerDiscountFinderFunction(calculator, data);
  final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = 
      new InflationIssuerDiscountFinderJacobian(new ParameterSensitivityInflationIssuerMatrixCalculator(sensitivityCalculator),
      data);
  final double[] parameters = _rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initGuess)).getData();
  final InflationIssuerProviderDiscount newCurves = data.getGeneratorMarket().evaluate(new DoubleMatrix1D(parameters));
  return newCurves;
}