Modifier and Type | Method and Description |
---|---|
static ZeroCurve |
ZeroCurveBuilder.CreateZeroCurve(java.util.List<Period> lsPeriod,
double dblWorkoutDate,
double dblCashPayDate,
DiscountCurve dc,
QuotingParams quotingParams,
double dblZCBump)
ZeroCurve constructor from period, work-out, settle, and quoting parameters
|
Constructor and Description |
---|
DerivedZeroCurve(java.util.List<Period> lsPeriod,
double dblWorkoutDate,
double dblCashPayDate,
DiscountCurve dc,
QuotingParams quotingParams,
double dblZCBump)
ZeroCurve constructor from period, work-out, settle, and quoting parameters
|
Modifier and Type | Class and Description |
---|---|
class |
CouponPeriod
This class extends the period class with a few day-count specific parameters such as: frequency, reset
date, and accrual day-count convention.
|
class |
CouponPeriodCurveFactors
This class is an enhancement of the period class using the following period measures: start/end survival
probabilities, start/end notionals, and period start/end discount factor
|
class |
LossPeriodCurveFactors
This class is an implementation of the period class enhanced by the following period measures: start/end
survival probabilities, period effective notional/recovery/discount factor
|
Modifier and Type | Method and Description |
---|---|
static java.util.List<Period> |
CouponPeriod.GeneratePeriodsBackward(double dblEffective,
double dblMaturity,
DateAdjustParams dapEffective,
DateAdjustParams dapMaturity,
DateAdjustParams dapPeriodStart,
DateAdjustParams dapPeriodEnd,
DateAdjustParams dapAccrualStart,
DateAdjustParams dapAccrualEnd,
DateAdjustParams dapPay,
DateAdjustParams dapReset,
int iFreq,
java.lang.String strCouponDC,
boolean bApplyCpnEOMAdj,
java.lang.String strAccrualDC,
boolean bApplyAccEOMAdj,
boolean bFullStub,
java.lang.String strCalendar)
Generates the period list backward starting from the end.
|
static java.util.List<Period> |
CouponPeriod.GeneratePeriodsForward(double dblEffective,
double dblMaturity,
DateAdjustParams dapEffective,
DateAdjustParams dapMaturity,
DateAdjustParams dapPeriodStart,
DateAdjustParams dapPeriodEnd,
DateAdjustParams dapAccrualStart,
DateAdjustParams dapAccrualEnd,
DateAdjustParams dapPay,
DateAdjustParams dapReset,
int iFreq,
java.lang.String strCouponDC,
boolean bApplyCpnEOMAdj,
java.lang.String strAccrualDC,
boolean bApplyAccEOMAdj,
java.lang.String strCalendar)
Generates the period list forward starting from the start.
|
static java.util.List<Period> |
CouponPeriod.GetSinglePeriod(double dblEffective,
double dblMaturity,
java.lang.String strCalendar)
Generates a single coupon period between the effective and the maturity dates
|
Modifier and Type | Method and Description |
---|---|
static java.util.List<LossPeriodCurveFactors> |
AnalyticsHelper.GenerateLossPeriods(CreditComponent comp,
ValuationParams valParams,
PricerParams pricerParams,
Period period,
double dblWorkoutDate,
ComponentMarketParams mktParams)
Creates a set of loss period measures
|
Modifier and Type | Method and Description |
---|---|
java.util.List<Period> |
CDSComponent.getCouponPeriod() |
java.util.List<Period> |
BondComponent.getCouponPeriod() |
Modifier and Type | Method and Description |
---|---|
abstract java.util.List<Period> |
Component.getCouponPeriod()
Gets the component's coupon periods
|
Modifier and Type | Method and Description |
---|---|
Period |
PeriodSet.getFirstPeriod()
Returns the first period
|
Period |
PeriodSet.getLastPeriod()
Returns the final period
|
Period |
PeriodSet.getPeriod(int iIndex)
Retrieves the period corresponding to the given index
|
Modifier and Type | Method and Description |
---|---|
java.util.List<Period> |
PeriodSet.getPeriods()
Retrieves a list of the component's coupon periods
|
java.util.List<Period> |
PeriodGenerator.getPeriods() |
Constructor and Description |
---|
PeriodSet(double dblEffective,
java.lang.String strDC,
int iFreq,
java.util.List<Period> lPeriods)
Constructs PeriodSet from the effective date, day count, frequency, and the list
of coupon periods
|
Modifier and Type | Method and Description |
---|---|
java.util.List<Period> |
IRSComponent.getCouponPeriod() |
java.util.List<Period> |
EDFComponent.getCouponPeriod() |
java.util.List<Period> |
CashComponent.getCouponPeriod() |