Customized Component Calibration

Full featured financial fixed-income, credit, and bond analytics/risk

Brought to you by: lakshmi7977

Milestone: 1.2

Status: open

Owner: nobody

Labels: None

Updated: 2012-02-26

Created: 2012-02-26

Private: No

Need to optimize individual products to be optimally calibratable for a given set of market inputs.

Need to create a CalibrationParams object - this should ccontain calibration type, calibration measure, and the calibration value.
The individual component/product should be calibratable optimally by adjustaing any market parameter to within a valid range to reporduce the desired measure. For this, the product should implement the calibration component's calibMeasure interface, and retrieve the desired measure fast.
E.g., the bond product can be calibrated on any of the measures listed in the "measuresd covergae' section, but only some of them calibnrate optimally (i.e., fast).