net.finmath.smartcontract.simulation.curvecalibration

Class CalibrationSpecProviderOis

java.lang.Object

net.finmath.smartcontract.simulation.curvecalibration.CalibrationSpecProviderOis

All Implemented Interfaces:

CalibrationSpecProvider

public class CalibrationSpecProviderOis
extends Object
implements CalibrationSpecProvider

A calibration spec provider for OIS swaps.

Author:

Luca Del Re, Peter Kohl-Landgraf, Christian Fries

Constructor Summary

Constructors

Constructor and Description
CalibrationSpecProviderOis(String maturityLabel, String frequency, double swapRate)

Method Summary

Modifier and Type	Method and Description
CalibratedCurves.CalibrationSpec	getCalibrationSpec(CalibrationContext ctx)

Methods inherited from class java.lang.Object

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

Constructor Detail

CalibrationSpecProviderOis

public CalibrationSpecProviderOis(String maturityLabel,
                                  String frequency,
                                  double swapRate)

Method Detail

getCalibrationSpec

public CalibratedCurves.CalibrationSpec getCalibrationSpec(CalibrationContext ctx)

Specified by:

getCalibrationSpec in interface CalibrationSpecProvider