Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.String> |
CurveSpanConstructionInput.getMeasure() |
CaseInsensitiveTreeMap<java.lang.String> |
CurveConstructionInputSet.getMeasure()
Retrieve the Calibration Measure Map
|
CaseInsensitiveTreeMap<java.lang.String> |
BootCurveConstructionInput.getMeasure() |
CaseInsensitiveTreeMap<java.lang.Double> |
CurveSpanConstructionInput.getQuote() |
CaseInsensitiveTreeMap<java.lang.Double> |
CurveConstructionInputSet.getQuote()
Retrieve the Calibration Quote Map
|
CaseInsensitiveTreeMap<java.lang.Double> |
BootCurveConstructionInput.getQuote() |
Modifier and Type | Method and Description |
---|---|
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
CurveSpanConstructionInput.getFixing() |
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
CurveConstructionInputSet.getFixing()
Retrieve the Calibration Fixing
|
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
BootCurveConstructionInput.getFixing() |
Modifier and Type | Method and Description |
---|---|
static BootCurveConstructionInput |
BootCurveConstructionInput.Create(ValuationParams valParam,
QuotingParams quotingParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing)
Create an Instance of BootCurveConstructionInput from the given Calibration Inputs
|
void |
CreditCurve.setInstrCalibInputs(ValuationParams valParam,
boolean bFlat,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
PricerParams pricerParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams)
Set the calibration inputs for the CreditCurve
|
Constructor and Description |
---|
BootCurveConstructionInput(ValuationParams valParam,
QuotingParams quotingParam,
CalibratableComponent[] aCalibInst,
CaseInsensitiveTreeMap<java.lang.Double> mapQuote,
CaseInsensitiveTreeMap<java.lang.String> mapMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing)
BootCurveConstructionInput constructor
|
BootCurveConstructionInput(ValuationParams valParam,
QuotingParams quotingParam,
CalibratableComponent[] aCalibInst,
CaseInsensitiveTreeMap<java.lang.Double> mapQuote,
CaseInsensitiveTreeMap<java.lang.String> mapMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing)
BootCurveConstructionInput constructor
|
Constructor and Description |
---|
BootCurveConstructionInput(ValuationParams valParam,
QuotingParams quotingParam,
CalibratableComponent[] aCalibInst,
CaseInsensitiveTreeMap<java.lang.Double> mapQuote,
CaseInsensitiveTreeMap<java.lang.String> mapMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing)
BootCurveConstructionInput constructor
|
Modifier and Type | Field and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.Double> |
ComponentMeasures._mBase
Map of the base measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketMeasures._mBase
Map of the base measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
ComponentMeasures._mFlatCreditDelta
Map of the parallel credit delta measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketMeasures._mFlatCreditDelta
Map of the parallel credit delta measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
ComponentMeasures._mFlatCreditGamma
Map of the parallel credit gamma measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketMeasures._mFlatCreditGamma
Map of the parallel credit gamma measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
ComponentMeasures._mFlatIRDelta
Map of the parallel IR delta measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketMeasures._mFlatIRDelta
Map of the parallel IR delta measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
ComponentMeasures._mFlatIRGamma
Map of the parallel IR gamma measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketMeasures._mFlatIRGamma
Map of the parallel IR gamma measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketMeasures._mFlatRRDelta
Map of the parallel RR delta measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketMeasures._mFlatRRGamma
Map of the parallel RR gamma measures
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmCreditDelta
Map of the component credit delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmCreditGamma
Map of the component credit gamma measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmCustom
Map of the custom scenario measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmCustom
Map of the custom scenario measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmIRDelta
Map of the component IR delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmIRGamma
Map of the component IR gamma measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmCreditTenorDelta
Triple Map of the component, credit tenor, measure, and delta value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmCreditTenorGamma
Triple Map of the component, credit tenor, measure, and gamma value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmIRTenorDelta
Triple Map of the component, IR tenor, measure, and delta value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmIRTenorGamma
Triple Map of the component, IR tenor, measure, and gamma value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmRRDelta
Map of the component RR delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmRRGamma
Map of the component RR gamma measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmTenorCreditDelta
Map of the tenor credit delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmTenorCreditGamma
Map of the tenor credit gamma measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmTenorIRDelta
Map of the tenor IR delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmTenorIRGamma
Map of the tenor IR gamma measure map
|
CaseInsensitiveTreeMap<java.lang.Double> |
ComponentMeasures._mRRDelta
Map of the parallel RR delta measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
ComponentMeasures._mRRGamma
Map of the parallel RR gamma measures
|
Modifier and Type | Field and Description |
---|---|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmCreditDelta
Map of the component credit delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmCreditGamma
Map of the component credit gamma measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmCustom
Map of the custom scenario measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmCustom
Map of the custom scenario measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmIRDelta
Map of the component IR delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmIRGamma
Map of the component IR gamma measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmCreditTenorDelta
Triple Map of the component, credit tenor, measure, and delta value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmCreditTenorDelta
Triple Map of the component, credit tenor, measure, and delta value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmCreditTenorGamma
Triple Map of the component, credit tenor, measure, and gamma value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmCreditTenorGamma
Triple Map of the component, credit tenor, measure, and gamma value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmIRTenorDelta
Triple Map of the component, IR tenor, measure, and delta value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmIRTenorDelta
Triple Map of the component, IR tenor, measure, and delta value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmIRTenorGamma
Triple Map of the component, IR tenor, measure, and gamma value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmIRTenorGamma
Triple Map of the component, IR tenor, measure, and gamma value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmRRDelta
Map of the component RR delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmRRGamma
Map of the component RR gamma measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmTenorCreditDelta
Map of the tenor credit delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmTenorCreditGamma
Map of the tenor credit gamma measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmTenorIRDelta
Map of the tenor IR delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmTenorIRGamma
Map of the tenor IR gamma measure map
|
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.Double> |
BondWorkoutMeasures.toMap(java.lang.String strPrefix)
Return the state as a measure map
|
CaseInsensitiveTreeMap<java.lang.Double> |
BondRVMeasures.toMap(java.lang.String strPrefix)
Return the state as a measure map
|
CaseInsensitiveTreeMap<java.lang.Double> |
BondCouponMeasures.toMap(java.lang.String strPrefix)
Return the state as a named measure map
|
Modifier and Type | Method and Description |
---|---|
static java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
AnalyticsHelper.CreateFixingsObject(Bond bond,
JulianDate dtValue,
double dblFix)
Create the fixings object from the bond, the valuation date, and the fixing.
|
Modifier and Type | Method and Description |
---|---|
static CaseInsensitiveTreeMap<Locale> |
ConfigLoader.LoadHolidayCalendars(java.lang.String strConfigFile)
Load the map of the holiday calendars from the entries set in the XML Configuration file
|
static CaseInsensitiveTreeMap<Locale> |
ConfigLoader.LoadHolidayCalendarsFromDB(java.lang.String strConfigFile)
Load the map of the holiday calendars from the database settings set in the XML Configuration file
|
Modifier and Type | Method and Description |
---|---|
static BasketMarketParams |
BasketMarketParamsBuilder.CreateBasketMarketParams(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<ForwardCurve> mapFC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Construct a BasketMarketParams instance from the map of discount curve, the map of Forward curve, the
map of credit curve, and a double map of date/rate index and fixings.
|
static BasketMarketParams |
BasketMarketParamsBuilder.CreateBasketMarketParams(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<ForwardCurve> mapFC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Construct a BasketMarketParams instance from the map of discount curve, the map of Forward curve, the
map of credit curve, and a double map of date/rate index and fixings.
|
static BasketMarketParams |
BasketMarketParamsBuilder.CreateBasketMarketParams(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<ForwardCurve> mapFC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Construct a BasketMarketParams instance from the map of discount curve, the map of Forward curve, the
map of credit curve, and a double map of date/rate index and fixings.
|
static BasketMarketParams |
BasketMarketParamsBuilder.CreateBasketMarketParams(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<ForwardCurve> mapFC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Construct a BasketMarketParams instance from the map of discount curve, the map of Forward curve, the
map of credit curve, and a double map of date/rate index and fixings.
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.CreateComponentMarketParams(DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Create a CMP with the rates discount curve, the treasury discount curve, the EDSF discount curve, the
credit curve, the component quote, the map of treasury benchmark quotes, and the double map of
date/rate index and fixings
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.CreateComponentMarketParams(DiscountCurve dc,
ForwardCurve fc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Create a CMP with the rates discount curve, the forward discount curve, the treasury discount curve,
the EDSF discount curve, the credit curve, the component quote, the map of treasury benchmark quotes,
and the double map of date/rate index and fixings
|
Modifier and Type | Method and Description |
---|---|
static BasketMarketParams |
BasketMarketParamsBuilder.CreateBasketMarketParams(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<ForwardCurve> mapFC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Construct a BasketMarketParams instance from the map of discount curve, the map of Forward curve, the
map of credit curve, and a double map of date/rate index and fixings.
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.CreateComponentMarketParams(DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Create a CMP with the rates discount curve, the treasury discount curve, the EDSF discount curve, the
credit curve, the component quote, the map of treasury benchmark quotes, and the double map of
date/rate index and fixings
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.CreateComponentMarketParams(DiscountCurve dc,
ForwardCurve fc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Create a CMP with the rates discount curve, the forward discount curve, the treasury discount curve,
the EDSF discount curve, the credit curve, the component quote, the map of treasury benchmark quotes,
and the double map of date/rate index and fixings
|
static DiscountCurve |
RatesScenarioCurveBuilder.NonlinearBuild(JulianDate dt,
java.lang.String strCurrency,
java.lang.String strBootstrapMode,
CalibratableComponent[] aCalibInst,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Create Discount Curve from the Rates Calibration Instruments
|
Modifier and Type | Method and Description |
---|---|
abstract CaseInsensitiveTreeMap<ScenarioCreditCurve> |
MarketParams.getCCSG()
Retrieve the map of org.drip.param.definition.CreditScenarioCurve
|
abstract CaseInsensitiveTreeMap<ComponentQuote> |
MarketParams.getCompQuotes()
Retrieve the full map of component quotes
|
abstract CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParams.getCreditBumpBMP(BasketProduct bp,
boolean bBump)
Get the map of credit Tenor bumped curves for the given BasketProduct
|
abstract CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<BasketMarketParams>> |
MarketParams.getCreditTenorBumpBMP(BasketProduct bp,
boolean bBump)
Get the double map of credit Tenor bumped curves for each credit curve for the given BasketProduct
|
abstract CaseInsensitiveTreeMap<ComponentMarketParams> |
MarketParams.getCreditTenorCMP(Component comp,
boolean bBumpUp)
Get the map of tenor credit bumped ComponentMarketParams corresponding to the component
|
abstract CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParams.getForwardBumpBMP(BasketProduct bp,
boolean bBump)
Get the Map of Forward Rate Tenor Bumped Curves for the given Basket Product
|
abstract CaseInsensitiveTreeMap<ComponentMarketParams> |
MarketParams.getForwardTenorCMP(Component comp,
boolean bBumpUp)
Get the Map of Tenor Forward Rate bumped ComponentMarketParams corresponding to the component
|
abstract CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParams.getIRBumpBMP(BasketProduct bp,
boolean bBump)
Get the map of IR Tenor bumped curves for the given BasketProduct
|
abstract CaseInsensitiveTreeMap<ScenarioDiscountCurve> |
MarketParams.getIRSG()
Retrieve the map of RatesScenarioCurve
|
abstract CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<BasketMarketParams>> |
MarketParams.getIRTenorBumpBMP(BasketProduct bp,
boolean bBump)
Get the double map of IR Tenor bumped curves for each IR curve for the given BasketProduct
|
abstract CaseInsensitiveTreeMap<ComponentMarketParams> |
MarketParams.getIRTenorCMP(Component comp,
boolean bBumpUp)
Get the map of tenor IR bumped ComponentMarketParams corresponding to the component
|
abstract CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParams.getRecoveryBumpBMP(BasketProduct bp,
boolean bBump)
Get the map of Recovery Tenor bumped curves for the given BasketProduct
|
abstract CaseInsensitiveTreeMap<CreditCurve> |
ScenarioCreditCurve.getTenorCCBumpDn()
Return the tenor bump down credit curve map
|
abstract CaseInsensitiveTreeMap<CreditCurve> |
ScenarioCreditCurve.getTenorCCBumpUp()
Return the tenor bump up credit curve map
|
abstract CaseInsensitiveTreeMap<DiscountCurve> |
ScenarioDiscountCurve.getTenorDCBumpDn()
Return the map of the tenor Bump Down Discount Curve
|
abstract CaseInsensitiveTreeMap<DiscountCurve> |
ScenarioDiscountCurve.getTenorDCBumpUp()
Return the map of the tenor Bump Up Discount Curve
|
abstract CaseInsensitiveTreeMap<ForwardCurve> |
ScenarioForwardCurve.getTenorFCBumpDn()
Return the map of the tenor Bump Down Forward Curve
|
abstract CaseInsensitiveTreeMap<ForwardCurve> |
ScenarioForwardCurve.getTenorFCBumpUp()
Return the map of the tenor Bump Up Forward Curve
|
abstract CaseInsensitiveTreeMap<ComponentQuote> |
ComponentMarketParams.getTSYBenchmarkQuotes()
Retrieve the TSY Benchmark Quotes
|
abstract CaseInsensitiveTreeMap<ComponentQuote> |
MarketParams.getTSYQuotes()
Get the full set of named Treasury Quote Map
|
Modifier and Type | Method and Description |
---|---|
abstract CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<BasketMarketParams>> |
MarketParams.getCreditTenorBumpBMP(BasketProduct bp,
boolean bBump)
Get the double map of credit Tenor bumped curves for each credit curve for the given BasketProduct
|
abstract java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
MarketParams.getFixings()
Retrieve the fixings double map
|
abstract java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMarketParams.getFixings()
Retrieve the Fixings
|
abstract CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<BasketMarketParams>> |
MarketParams.getIRTenorBumpBMP(BasketProduct bp,
boolean bBump)
Get the double map of IR Tenor bumped curves for each IR curve for the given BasketProduct
|
Modifier and Type | Method and Description |
---|---|
abstract boolean |
MarketParams.addCompQuotes(CaseInsensitiveTreeMap<ComponentQuote> mCompQuotes)
Add the full map of component quotes
|
abstract boolean |
MarketParams.setTSYQuotes(CaseInsensitiveTreeMap<ComponentQuote> mapCQTSY)
Set the full set of named Treasury Quote Map
|
Modifier and Type | Method and Description |
---|---|
abstract boolean |
ScenarioCreditCurve.cookCustomCC(java.lang.String strName,
java.lang.String strCustomName,
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,
ResponseValueTweakParams ntpDC,
ResponseValueTweakParams ntpTSY,
ResponseValueTweakParams ntpEDSF,
ResponseValueTweakParams ntpCC)
Cook the credit curve according to the desired tweak parameters
|
abstract boolean |
ScenarioDiscountCurve.cookCustomDC(java.lang.String strCurveName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
ResponseValueTweakParams ntpTSY,
ResponseValueTweakParams ntpEDSF,
ResponseValueTweakParams ntpDC)
Cook a custom discount curve according to the desired tweak parameters
|
abstract boolean |
ScenarioForwardCurve.cookCustomDC(java.lang.String strCurveName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dc,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
ResponseValueTweakParams ntpDC,
ResponseValueTweakParams ntpFC)
Cook a custom Forward curve according to the desired tweak parameters
|
abstract boolean |
ScenarioCreditCurve.cookScenarioCC(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,
int iCCScenario)
Cook and save the credit curves corresponding to the scenario specified
|
abstract boolean |
ScenarioDiscountCurve.cookScenarioDC(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,
int iDCMode)
Generate the set of discount curves from the scenario specified, and the instrument quotes
|
abstract boolean |
ScenarioForwardCurve.cookScenarioDC(ValuationParams valParams,
DiscountCurve dc,
double[] adblQuotes,
double dblBump,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
int iFCMode)
Generate the set of Forward curves from the scenario specified, and the instrument quotes.
|
abstract boolean |
ComponentMarketParams.setFixings(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
(Re)-set the Fixings
|
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<BasketMarketParams>> |
MarketParamsContainer.getCreditTenorBumpBMP(BasketProduct bp,
boolean bBump) |
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
MarketParamsContainer.getFixings() |
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMarketParamSet.getFixings() |
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<BasketMarketParams>> |
MarketParamsContainer.getIRTenorBumpBMP(BasketProduct bp,
boolean bBump) |
Modifier and Type | Method and Description |
---|---|
boolean |
MarketParamsContainer.addCompQuotes(CaseInsensitiveTreeMap<ComponentQuote> mCompQuotes) |
boolean |
MarketParamsContainer.setTSYQuotes(CaseInsensitiveTreeMap<ComponentQuote> mapCQTSY) |
Modifier and Type | Method and Description |
---|---|
boolean |
CreditCurveScenarioContainer.cookCustomCC(java.lang.String strName,
java.lang.String strCustomName,
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,
ResponseValueTweakParams mmtpDC,
ResponseValueTweakParams mmtpTSY,
ResponseValueTweakParams mmtpEDSF,
ResponseValueTweakParams mmtpCC) |
boolean |
RatesCurveScenarioContainer.cookCustomDC(java.lang.String strCurveName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
ResponseValueTweakParams mmtpTSY,
ResponseValueTweakParams mmtpEDSF,
ResponseValueTweakParams mmtpDC) |
boolean |
CreditCurveScenarioContainer.cookScenarioCC(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,
int iCCScenario) |
boolean |
RatesCurveScenarioContainer.cookScenarioDC(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,
int iDCMode) |
boolean |
ComponentMarketParamSet.setFixings(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings) |
Constructor and Description |
---|
BasketMarketParamSet(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<ForwardCurve> mapFC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Construct the BasketMarketParamSet object from the map of discount curve, the map of forward curve,
the map of credit curve, a double map of date/rate index and fixings, and a map of the component
quotes.
|
BasketMarketParamSet(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<ForwardCurve> mapFC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Construct the BasketMarketParamSet object from the map of discount curve, the map of forward curve,
the map of credit curve, a double map of date/rate index and fixings, and a map of the component
quotes.
|
BasketMarketParamSet(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<ForwardCurve> mapFC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Construct the BasketMarketParamSet object from the map of discount curve, the map of forward curve,
the map of credit curve, a double map of date/rate index and fixings, and a map of the component
quotes.
|
BasketMarketParamSet(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<ForwardCurve> mapFC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Construct the BasketMarketParamSet object from the map of discount curve, the map of forward curve,
the map of credit curve, a double map of date/rate index and fixings, and a map of the component
quotes.
|
ComponentMarketParamSet(DiscountCurve dc,
ForwardCurve fc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Create a CMP with the rates discount curve, the forward discount curve, the treasury discount curve,
the EDSF discount curve, the credit curve, the component quote, the map of treasury benchmark quotes,
and the double map of date/rate index and fixings.
|
Constructor and Description |
---|
BasketMarketParamSet(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<ForwardCurve> mapFC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Construct the BasketMarketParamSet object from the map of discount curve, the map of forward curve,
the map of credit curve, a double map of date/rate index and fixings, and a map of the component
quotes.
|
ComponentMarketParamSet(DiscountCurve dc,
ForwardCurve fc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Create a CMP with the rates discount curve, the forward discount curve, the treasury discount curve,
the EDSF discount curve, the credit curve, the component quote, the map of treasury benchmark quotes,
and the double map of date/rate index and fixings.
|
Modifier and Type | Field and Description |
---|---|
static CaseInsensitiveTreeMap<CDXRefDataParams> |
CDXRefDataHolder._mapCDXRefData |
static CaseInsensitiveTreeMap<java.util.Map<JulianDate,java.lang.Integer>> |
CDXRefDataHolder._mmCDXRDBFirstCouponSeries |
static CaseInsensitiveTreeMap<java.util.Map<java.lang.Integer,JulianDate>> |
CDXRefDataHolder._mmCDXRDBSeriesFirstCoupon |
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.String> |
BondRefDataBuilder.toJSON() |
Modifier and Type | Method and Description |
---|---|
static BondProductBuilder |
BondProductBuilder.CreateFromJSONMap(CaseInsensitiveTreeMap<java.lang.String> mapJSON,
MarketParams mpc)
Create BondProductBuilder from the JSON Map and the input MPC
|
Constructor and Description |
---|
BondRefDataBuilder(CaseInsensitiveTreeMap<java.lang.String> mapJSON)
BondRefDataBuilder de-serialization from input JSON Map
|
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.Double> |
BondComponent.standardRVMeasureMap(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
WorkoutInfo wi,
double dblPrice,
java.lang.String strPrefix) |
CaseInsensitiveTreeMap<java.lang.Double> |
CDSComponent.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
CaseInsensitiveTreeMap<java.lang.Double> |
BondComponent.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
CaseInsensitiveTreeMap<java.lang.Double> |
CDSComponent.valueFromQuotedSpread(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblFixCoupon,
double dblQuotedSpread) |
Modifier and Type | Method and Description |
---|---|
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
BondComponent.getFixings() |
Modifier and Type | Method and Description |
---|---|
boolean |
BondComponent.setFixings(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings) |
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.Double> |
Component.calcCustomScenarioMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
java.lang.String strCustomScenName,
QuotingParams quotingParams,
CaseInsensitiveTreeMap<java.lang.Double> mapBaseOP)
Generate a full list of custom measures for the set of scenario market parameters present in
the org.drip.param.definition.MarketParams
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketProduct.calcCustomScenarioMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
java.lang.String strCustomScenName,
QuotingParams quotingParams,
CaseInsensitiveTreeMap<java.lang.Double> mapBase)
Compute Basket's Custom Scenario Measures
|
abstract CaseInsensitiveTreeMap<java.lang.Double> |
FXForward.value(ValuationParams valParams,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblFXSpot)
Calculation of the full set of measures of FXForward
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketProduct.value(ValuationParams valParams,
PricerParams pricerParams,
BasketMarketParams bmp,
QuotingParams quotingParams)
Generate a full list of the basket product measures for the full input set of market parameters
|
abstract CaseInsensitiveTreeMap<java.lang.Double> |
Component.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Generate a full list of the component measures for the full input set of market parameters
|
abstract CaseInsensitiveTreeMap<java.lang.Double> |
CreditDefaultSwap.valueFromQuotedSpread(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblFixCoupon,
double dblQuotedSpread)
Value the CDS from the Quoted Spread
|
Modifier and Type | Method and Description |
---|---|
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
BondProduct.getFixings()
Retrieve the bond fixings
|
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.Double> |
Component.calcCustomScenarioMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
java.lang.String strCustomScenName,
QuotingParams quotingParams,
CaseInsensitiveTreeMap<java.lang.Double> mapBaseOP)
Generate a full list of custom measures for the set of scenario market parameters present in
the org.drip.param.definition.MarketParams
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketProduct.calcCustomScenarioMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
java.lang.String strCustomScenName,
QuotingParams quotingParams,
CaseInsensitiveTreeMap<java.lang.Double> mapBase)
Compute Basket's Custom Scenario Measures
|
Modifier and Type | Method and Description |
---|---|
boolean |
BondProduct.setFixings(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Set the bond fixings
|
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.Double> |
FXForwardContract.value(ValuationParams valParams,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblFXSpot) |
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.Double> |
IRSComponent.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
CaseInsensitiveTreeMap<java.lang.Double> |
FloatingStream.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
CaseInsensitiveTreeMap<java.lang.Double> |
FloatFloatComponent.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
CaseInsensitiveTreeMap<java.lang.Double> |
FixedStream.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
CaseInsensitiveTreeMap<java.lang.Double> |
EDFComponent.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
CaseInsensitiveTreeMap<java.lang.Double> |
CashComponent.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
Modifier and Type | Method and Description |
---|---|
static CaseInsensitiveTreeMap<java.lang.Double> |
CollectionUtil.FlatStringTo2DSDMap(java.lang.String str2DMap,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter,
boolean bSkipNullValue,
java.lang.String strNULLString)
Turn a flattened 2D (string, double) string sequence into its corresponding map
|
static CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
CollectionUtil.FlatStringTo3DSDMap(java.lang.String str3DMap,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter,
boolean bSkipNullValue,
java.lang.String strNULLString)
Turn a flattened 3D (string, string, double) string sequence into its corresponding map
|
static CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
CollectionUtil.FlatStringTo4DSDMap(java.lang.String str4DMap,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter,
boolean bSkipNullValue,
java.lang.String strNULLString)
Turn a flattened 4D (string, string, string, double) string sequence into its corresponding map
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CollectionUtil.MergeMaps(CaseInsensitiveTreeMap<java.lang.Double> map1,
CaseInsensitiveTreeMap<java.lang.Double> map2)
Merge two maps
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CollectionUtil.PrefixKeys(CaseInsensitiveTreeMap<java.lang.Double> mapIn,
java.lang.String strPrefix)
Prefix the keys in the input map, and return them in a new map
|
Modifier and Type | Method and Description |
---|---|
static CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
CollectionUtil.FlatStringTo3DSDMap(java.lang.String str3DMap,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter,
boolean bSkipNullValue,
java.lang.String strNULLString)
Turn a flattened 3D (string, string, double) string sequence into its corresponding map
|
static CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
CollectionUtil.FlatStringTo4DSDMap(java.lang.String str4DMap,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter,
boolean bSkipNullValue,
java.lang.String strNULLString)
Turn a flattened 4D (string, string, string, double) string sequence into its corresponding map
|
static CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
CollectionUtil.FlatStringTo4DSDMap(java.lang.String str4DMap,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter,
boolean bSkipNullValue,
java.lang.String strNULLString)
Turn a flattened 4D (string, string, string, double) string sequence into its corresponding map
|
Modifier and Type | Method and Description |
---|---|
static java.lang.String |
CollectionUtil.FourDSDMapToFlatString(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> map4DSD,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter)
Flatten a 4D SSSD map structure onto a string array
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CollectionUtil.MergeMaps(CaseInsensitiveTreeMap<java.lang.Double> map1,
CaseInsensitiveTreeMap<java.lang.Double> map2)
Merge two maps
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CollectionUtil.MergeMaps(CaseInsensitiveTreeMap<java.lang.Double> map1,
CaseInsensitiveTreeMap<java.lang.Double> map2)
Merge two maps
|
static boolean |
CollectionUtil.MergeWithMain(CaseInsensitiveTreeMap<java.lang.Double> mapMain,
CaseInsensitiveTreeMap<java.lang.Double> mapToAdd)
Merge the secondary map onto the main map
|
static boolean |
CollectionUtil.MergeWithMain(CaseInsensitiveTreeMap<java.lang.Double> mapMain,
CaseInsensitiveTreeMap<java.lang.Double> mapToAdd)
Merge the secondary map onto the main map
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CollectionUtil.PrefixKeys(CaseInsensitiveTreeMap<java.lang.Double> mapIn,
java.lang.String strPrefix)
Prefix the keys in the input map, and return them in a new map
|
static java.lang.String |
CollectionUtil.ThreeDSDMapToFlatString(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> map3DSD,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter)
Flatten a 3D SSD map structure onto a string array
|
static java.lang.String |
CollectionUtil.TwoDSDMapToFlatString(CaseInsensitiveTreeMap<java.lang.Double> map2DSD,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter)
Flatten an input 2D string/double map into a delimited string array
|
Modifier and Type | Method and Description |
---|---|
static java.lang.String |
CollectionUtil.FourDSDMapToFlatString(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> map4DSD,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter)
Flatten a 4D SSSD map structure onto a string array
|
static java.lang.String |
CollectionUtil.FourDSDMapToFlatString(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> map4DSD,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter)
Flatten a 4D SSSD map structure onto a string array
|
static java.lang.String |
CollectionUtil.ThreeDSDMapToFlatString(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> map3DSD,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter)
Flatten a 3D SSD map structure onto a string array
|
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.String> |
RegressionRunDetail.getFieldMap()
Retrieve the field map
|
Modifier and Type | Method and Description |
---|---|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.BondEODMeasuresFromPrice(java.lang.String strBondId,
JulianDate dtEOD,
double dblPrice)
Get the full set of the Bond's EOD Measures From Clean Price
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.BondEODMeasuresFromTSYSpread(java.lang.String strBondId,
JulianDate dtEOD,
double dblTSYSpread)
Get the full set of the Bond's EOD Measures From the TSY Spread
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.BondEODMeasuresFromYield(java.lang.String strBondId,
JulianDate dtEOD,
double dblYield)
Get the full set of the Bond's EOD Measures From the Yield
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.BondLiveMeasuresFromPrice(java.lang.String strBondId,
double dblPrice)
Get the full set of the Bond's Live Measures From Clean Price
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.BondLiveMeasuresFromTSYSpread(java.lang.String strBondId,
double dblTSYSpread)
Get the full set of the Bond's Live Measures From TSY Spread
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.BondLiveMeasuresFromYield(java.lang.String strBondId,
double dblYield)
Get the full set of the Bond's Live Measures From Yield
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.GetEODCDSMeasures(CreditDefaultSwap cds,
JulianDate dtEOD)
Calculates the EOD Measures for the CDS using the closing discount and the credit curves
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.GetEODOnTheRunTSYSetYield(JulianDate dtEOD)
Gets the set of on-the-run treasury yields for a given EOD
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.GetLiveCDSMeasures(CreditDefaultSwap cds)
Calculate the CDS measures from live discount and credit curves
|
static CaseInsensitiveTreeMap<java.lang.String> |
CreditAnalytics.GetOnTheRunTSYSet(JulianDate dt)
Gets the on-the-run treasury set string for the given date
|
Modifier and Type | Method and Description |
---|---|
static java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
CreditAnalytics.CreateFixingsObject(BondComponent bond,
JulianDate dtValue,
double dblFix)
Creates the fixings object for the given bond and fix coupon, based off of the period represented by
the specified date
|
static java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
CreditAnalytics.GetOnTheRunTSYSetYield(JulianDate dtStart,
JulianDate dtEnd)
Gets the set of on-the-run treasury yields for a set of dates
|
Modifier and Type | Method and Description |
---|---|
static CaseInsensitiveTreeMap<BondRVMeasures> |
BondManager.CalcBondAnalyticsFromPrice(java.lang.String strCUSIPIn,
MarketParams mpc,
JulianDate dt,
double dblBidPrice,
double dblAskPrice)
Calculate the full set of calculable bond measures given the CUSIP, the valuation parameters, and the
prices.
|
static CaseInsensitiveTreeMap<BondRVMeasures> |
BondManager.CalcBondMeasures(java.lang.String strBondDescription,
Bond bond,
ValuationParams valParams,
MarketParams mpc,
double dblBidPrice,
double dblAskPrice)
Calculate the full set of calculable bond measures given the bond, the valuation parameters, and the
prices.
|
static CaseInsensitiveTreeMap<java.lang.String> |
StandardCDXManager.GetCDXDescriptions()
Retrieve the name/description map for all the CDS indices
|
static CaseInsensitiveTreeMap<java.lang.String> |
StandardCDXManager.GetPreLoadedCDXDescriptions()
Retrieve the name/description map for all the pre-loaded CDS indices
|
static CaseInsensitiveTreeMap<java.lang.String> |
StandardCDXManager.GetPresetCDXDescriptions()
Retrieve the name/description map for all the pre-set CDS indices
|
static CaseInsensitiveTreeMap<ComponentQuote> |
EODCurves.GetTSYQuotes(java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency)
Retrieve the treasury quotes for the specified EOD and currency
|
Modifier and Type | Method and Description |
---|---|
static ScenarioDiscountCurve |
EODCurves.BuildEODIRCurve(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency,
java.lang.String strInstrSetType,
java.lang.String strCurveName)
Build the closing IRCurveScenarioContainer for the specific discount curve instrument set type
(treasury or rates instruments), given the EOD and the currency
|
static ScenarioDiscountCurve |
EODCurves.BuildEODIRCurveOfCode(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency,
java.lang.String strInstrCode,
java.lang.String strInstrSetType,
java.lang.String strCurveName)
Build the closing IRCurveScenarioContainer for the specific discount curve instruments given the EOD
and the currency
|
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<CreditCurve> |
CreditCurveScenarioGenerator.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
|
CaseInsensitiveTreeMap<DiscountCurve> |
RatesCurveScenarioGenerator.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
|
Modifier and Type | Method and Description |
---|---|
boolean |
NonlinearCurveCalibrator.bootstrapHazardRate(ExplicitBootCreditCurve cc,
Component comp,
int iInstr,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
PricerParams pricerParamsIn,
java.lang.String strMeasure,
double dblCalibValue,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Calibrate a single Hazard Rate Node from the corresponding Component
|
boolean |
NonlinearCurveCalibrator.bootstrapInterestRateSequence(ExplicitBootDiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
Component[] aCalibComp,
ValuationParams valParams,
java.lang.String[] astrCalibMeasure,
double[] adblCalibValue,
double dblBump,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Boot-strap an interest rate curve from the set of calibration components
|
boolean |
NonlinearCurveCalibrator.bootstrapNonlinearInterestRateSequence(NonlinearDiscountFactorDiscountCurve nldfdc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
Component[] aCalibComp,
ValuationParams valParams,
java.lang.String[] astrCalibMeasure,
double[] adblCalibValue,
double dblBump,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Boot-strap a non-linear interest rate curve from the set of calibration components
|
double |
NonlinearCurveCalibrator.calibrateIRNode(ExplicitBootDiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
Component comp,
int iInstr,
ValuationParams valParams,
java.lang.String strMeasure,
double dblCalibValue,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat,
double dblSearchStart)
Calibrate a single Interest Rate Node from the corresponding Component
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CreditCurve |
CreditCurveScenarioGenerator.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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DiscountCurve |
RatesCurveScenarioGenerator.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
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CreditCurve[] |
CreditCurveScenarioGenerator.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> |
CreditCurveScenarioGenerator.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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CaseInsensitiveTreeMap<DiscountCurve> |
RatesCurveScenarioGenerator.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[] |
RatesCurveScenarioGenerator.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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