public class CreditCurveScenarioGenerator
extends java.lang.Object
Constructor and Description |
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CreditCurveScenarioGenerator(CalibratableComponent[] aCalibInst)
Construct a CreditCurveScenarioGenerator instance from the calibratable instrument array
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Modifier and Type | Method and Description |
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CreditCurve |
createCC(java.lang.String strName,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblRecovery,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Calibrate a Credit Curve
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CreditCurve[] |
createTenorCC(java.lang.String strName,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblBump,
double dblRecovery,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Create an array of tenor bumped credit curves
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CaseInsensitiveTreeMap<CreditCurve> |
createTenorCCMap(java.lang.String strName,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblBump,
double dblRecovery,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Create an tenor named map of tenor bumped credit curves
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Component[] |
getInstruments()
Return an array of the calibration instruments
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public CreditCurveScenarioGenerator(CalibratableComponent[] aCalibInst) throws java.lang.Exception
aCalibInst
- Array of calibration instrumentsjava.lang.Exception
- Thrown if inputs are invalidpublic Component[] getInstruments()
public CreditCurve createCC(java.lang.String strName, ValuationParams valParams, DiscountCurve dc, DiscountCurve dcTSY, DiscountCurve dcEDSF, double[] adblQuotes, double dblRecovery, java.lang.String[] astrCalibMeasure, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, QuotingParams quotingParams, boolean bFlat)
strName
- Credit Curve namevalParams
- ValuationParamsdc
- Base Discount CurvedcTSY
- Treasury Discount CurvedcEDSF
- EDSF Discount CurveadblQuotes
- Array of component quotesdblRecovery
- Component recoveryastrCalibMeasure
- Array of the calibration measuresmmFixings
- Map of fixingsquotingParams
- Quoting ParametersbFlat
- Flat Calibration (True), or real bootstrapping (false)public CreditCurve[] createTenorCC(java.lang.String strName, ValuationParams valParams, DiscountCurve dc, DiscountCurve dcTSY, DiscountCurve dcEDSF, double[] adblQuotes, double dblBump, double dblRecovery, java.lang.String[] astrCalibMeasure, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, QuotingParams quotingParams, boolean bFlat)
strName
- Credit Curve NamevalParams
- ValuationParamsdc
- Base Discount CurvedcTSY
- Treasury Discount CurvedcEDSF
- EDSF Discount CurveadblQuotes
- Array of component quotesdblBump
- Amount of bump applied to the tenordblRecovery
- Component recoveryastrCalibMeasure
- Array of the calibration measuresmmFixings
- Map of fixingsquotingParams
- Quoting ParametersbFlat
- Flat Calibration (True), or real bootstrapping (false)public CaseInsensitiveTreeMap<CreditCurve> createTenorCCMap(java.lang.String strName, ValuationParams valParams, DiscountCurve dc, DiscountCurve dcTSY, DiscountCurve dcEDSF, double[] adblQuotes, double dblBump, double dblRecovery, java.lang.String[] astrCalibMeasure, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, QuotingParams quotingParams, boolean bFlat)
strName
- Credit Curve namevalParams
- ValuationParamsdc
- Base Discount CurvedcTSY
- Treasury Discount CurvedcEDSF
- EDSF Discount CurveadblQuotes
- Array of component quotesdblBump
- Amount of bump applied to the tenordblRecovery
- Component recoveryastrCalibMeasure
- Array of the calibration measuresmmFixings
- Map of fixingsquotingParams
- Quoting ParametersbFlat
- Flat Calibration (True), or real bootstrapping (false)