IssuerDiscountBuildingRepository.java 文件源码

/**
 * Build a unit of curves.
 * @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 discountingMap The discounting curves names map.
 * @param forwardIborMap The forward curves names map.
 * @param forwardONMap The forward curves names map.
 * @param issuerMap The issuer 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 IssuerProviderDiscount makeUnit(final InstrumentDerivative[] instruments,
    final double[] initGuess,
    final IssuerProviderDiscount knownData,
    final LinkedHashMap<String, Currency> discountingMap,
    final LinkedHashMap<String, IborIndex[]> forwardIborMap,
    final LinkedHashMap<String, IndexON[]> forwardONMap,
    final LinkedListMultimap<String, Pair<Object, LegalEntityFilter<LegalEntity>>> issuerMap,
    final LinkedHashMap<String, GeneratorYDCurve> generatorsMap,
    final InstrumentDerivativeVisitor<ParameterIssuerProviderInterface, Double> calculator,
    final InstrumentDerivativeVisitor<ParameterIssuerProviderInterface, MulticurveSensitivity> sensitivityCalculator) {
  final GeneratorIssuerProviderDiscount generator = new GeneratorIssuerProviderDiscount(knownData, discountingMap, forwardIborMap, forwardONMap, issuerMap, generatorsMap);
  final IssuerDiscountBuildingData data = new IssuerDiscountBuildingData(instruments, generator);
  final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new IssuerDiscountFinderFunction(calculator, data);
  // TODO: Create a way to select the SensitivityMatrixMulticurve calculator (with underlying curve or not)
  final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new IssuerDiscountFinderJacobian(new ParameterSensitivityIssuerMatrixCalculator(sensitivityCalculator), data);
  final double[] parameters = _rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initGuess)).getData();
  final IssuerProviderDiscount newCurves = data.getGeneratorMarket().evaluate(new DoubleMatrix1D(parameters));
  return newCurves;
}