@Override
public double initialGuess(
LocalDate valuationDate, ObservableValues marketData, ValueType valueType) {
if (ValueType.ZERO_RATE.equals(valueType)) {
return marketData.getValue(rateKey);
}
return 0d;
}
public static ObservableValues allQuotes(
double[] dscOisQuotes,
String[] dscIdValues,
double[] fwd3MarketQuotes,
String[] fwd3IdValue,
double[] fwd6MarketQuotes,
String[] fwd6IdValue) {
/* All quotes for the curve calibration */
Map<ObservableKey, Double> allQuotes = new HashMap<>();
for (int i = 0; i < dscOisQuotes.length; i++) {
allQuotes.put(QuoteKey.of(StandardId.of(SCHEME, dscIdValues[i])), dscOisQuotes[i]);
}
for (int i = 0; i < fwd3MarketQuotes.length; i++) {
allQuotes.put(QuoteKey.of(StandardId.of(SCHEME, fwd3IdValue[i])), fwd3MarketQuotes[i]);
}
for (int i = 0; i < fwd6MarketQuotes.length; i++) {
allQuotes.put(QuoteKey.of(StandardId.of(SCHEME, fwd6IdValue[i])), fwd6MarketQuotes[i]);
}
return ObservableValues.of(allQuotes);
}
@Override
public IborFixingDepositTrade trade(LocalDate valuationDate, ObservableValues marketData) {
double fixedRate = marketData.getValue(rateKey) + spread;
return template.toTrade(valuationDate, BuySell.BUY, 1d, fixedRate);
}
