@Override
public void calibrate(final DATA_TYPE data) {
computeCalibrationPrice(data);
_calibrationObjective.setMulticurves(data.getMulticurveProvider());
final int nbInstruments = getBasket().size();
final RidderSingleRootFinder rootFinder =
new RidderSingleRootFinder(
_calibrationObjective.getFunctionValueAccuracy(),
_calibrationObjective.getVariableAbsoluteAccuracy());
final BracketRoot bracketer = new BracketRoot();
for (int loopins = 0; loopins < nbInstruments; loopins++) {
final InstrumentDerivative instrument = getBasket().get(loopins);
_calibrationObjective.setInstrument(instrument);
_calibrationObjective.setPrice(getCalibrationPrices().get(loopins));
final double[] range =
bracketer.getBracketedPoints(
_calibrationObjective,
_calibrationObjective.getMinimumParameter(),
_calibrationObjective.getMaximumParameter());
rootFinder.getRoot(_calibrationObjective, range[0], range[1]);
if (loopins < nbInstruments - 1) {
((SuccessiveRootFinderHullWhiteCalibrationObjective) _calibrationObjective)
.setNextCalibrationTime(_calibrationTimes.get(loopins));
}
}
}
/**
* Constructor of the calibration engine.
*
* @param calibrationObjective The calibration objective.
*/
public SuccessiveRootFinderHullWhiteCalibrationEngine(
final SuccessiveRootFinderCalibrationObjectiveWithMultiCurves calibrationObjective) {
super(calibrationObjective.getFXMatrix(), calibrationObjective.getCcy());
_calibrationObjective = calibrationObjective;
}