public class RatesCurveScenarioGenerator
extends java.lang.Object
Constructor and Description |
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RatesCurveScenarioGenerator(java.lang.String strCurrency,
java.lang.String strBootstrapMode,
CalibratableComponent[] aCalibInst)
Construct a RatesCurveScenarioGenerator instance from the calibratable instrument array
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Modifier and Type | Method and Description |
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DiscountCurve |
createIRCurve(ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblBump,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams)
Calibrate a discount curve
|
CaseInsensitiveTreeMap<DiscountCurve> |
createTenorIRCurveMap(ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblBump,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams)
Calibrate a tenor map of tenor bumped discount curves
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DiscountCurve[] |
createTenorIRCurves(ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblBump,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams)
Calibrate an array of tenor bumped discount curves
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Component[] |
getInstruments()
Return the array of the calibration instruments
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public RatesCurveScenarioGenerator(java.lang.String strCurrency, java.lang.String strBootstrapMode, CalibratableComponent[] aCalibInst) throws java.lang.Exception
strCurrency
- CurrencystrBootstrapMode
- Bootstrap Mode - one of the choices in DiscountCurveBuilder.BOOTSTRAP_MODE_xxxaCalibInst
- Array of calibration instrumentsjava.lang.Exception
- Thrown if inputs are invalidpublic Component[] getInstruments()
public DiscountCurve createIRCurve(ValuationParams valParams, DiscountCurve dcTSY, DiscountCurve dcEDSF, double[] adblQuotes, double dblBump, java.lang.String[] astrCalibMeasure, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, QuotingParams quotingParams)
valParams
- ValuationParamsdcTSY
- Treasury Discount CurvedcEDSF
- EDSF Discount CurveadblQuotes
- Array of component quotesdblBump
- Quote bumpastrCalibMeasure
- Array of the calibration measuresmmFixings
- Map of fixingsquotingParams
- Quoting Parameterspublic DiscountCurve[] createTenorIRCurves(ValuationParams valParams, DiscountCurve dcTSY, DiscountCurve dcEDSF, double[] adblQuotes, double dblBump, java.lang.String[] astrCalibMeasure, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, QuotingParams quotingParams)
valParams
- ValuationParamsdcTSY
- Treasury Discount CurvedcEDSF
- EDSF Discount CurveadblQuotes
- Array of component quotesdblBump
- Quote bumpastrCalibMeasure
- Array of the calibration measuresmmFixings
- Map of fixingsquotingParams
- Quoting Parameterspublic CaseInsensitiveTreeMap<DiscountCurve> createTenorIRCurveMap(ValuationParams valParams, DiscountCurve dcTSY, DiscountCurve dcEDSF, double[] adblQuotes, double dblBump, java.lang.String[] astrCalibMeasure, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, QuotingParams quotingParams)
valParams
- ValuationParamsdcTSY
- Treasury Discount CurvedcEDSF
- EDSF Discount CurveadblQuotes
- Array of component quotesdblBump
- Quote bumpastrCalibMeasure
- Array of the calibration measuresmmFixings
- Map of fixingsquotingParams
- Quoting Parameters