Modifier and Type | Method and Description |
---|---|
static java.util.Set<CashflowPeriod> |
AnalyticsHelper.AggregateComponentPeriods(Component[] aComp)
Aggregate the period lists for an array of components
|
Modifier and Type | Method and Description |
---|---|
abstract CaseInsensitiveTreeMap<ComponentMarketParams> |
MarketParams.getCreditTenorCMP(Component comp,
boolean bBumpUp)
Get the map of tenor credit bumped ComponentMarketParams corresponding to the component
|
abstract CaseInsensitiveTreeMap<ComponentMarketParams> |
MarketParams.getForwardTenorCMP(Component comp,
boolean bBumpUp)
Get the Map of Tenor Forward Rate bumped ComponentMarketParams corresponding to the component
|
abstract CaseInsensitiveTreeMap<ComponentMarketParams> |
MarketParams.getIRTenorCMP(Component comp,
boolean bBumpUp)
Get the map of tenor IR bumped ComponentMarketParams corresponding to the component
|
abstract ComponentMarketParams |
MarketParams.getScenCMP(Component comp,
java.lang.String strScen)
Get the ComponentMarketParams corresponding to the component and the scenario
|
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<ComponentMarketParams> |
MarketParamsContainer.getCreditTenorCMP(Component comp,
boolean bBumpUp) |
CaseInsensitiveTreeMap<ComponentMarketParams> |
MarketParamsContainer.getForwardTenorCMP(Component comp,
boolean bBumpUp) |
CaseInsensitiveTreeMap<ComponentMarketParams> |
MarketParamsContainer.getIRTenorCMP(Component comp,
boolean bBumpUp) |
ComponentMarketParams |
MarketParamsContainer.getScenCMP(Component comp,
java.lang.String strScen) |
Modifier and Type | Method and Description |
---|---|
static BasketProduct |
CDSBasketBuilder.MakeBasketDefaultSwap(JulianDate dtEffective,
JulianDate dtMaturity,
Component[] aComp)
Create the basket default swap from effective, maturity, and an array of the credit components.
|
Modifier and Type | Class and Description |
---|---|
class |
BondComponent
BondComponent is the base class that extends CreditComponent abstract class and implements the functionality behind
bonds of all kinds.
|
class |
CDSComponent
CDSComponent implements the credit default swap product contract details.
|
Modifier and Type | Method and Description |
---|---|
Component[] |
CDSBasket.getComponents() |
Component[] |
BondBasket.getComponents() |
Constructor and Description |
---|
CDSBasket(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
Component[] aComp,
double[] adblWeight,
java.lang.String strName)
Construct a CDS Basket from the components and their weights
|
Modifier and Type | Class and Description |
---|---|
class |
Bond
Bond abstract class implements the pricing, the valuation, and the RV analytics functionality for the bond
product.
|
class |
CalibratableComponent
CalibratableComponent abstract class provides implementation of Component's calibration interface.
|
class |
CreditComponent
CreditComponent is the base abstract class on top of which all credit components are implemented.
|
class |
CreditDefaultSwap
CreditDefaultSwap is the base abstract class implements the pricing, the valuation, and the RV analytics
functionality for the CDS product.
|
class |
RatesComponent
RatesComponent is the abstract class that extends CalibratableComponent on top of which all rates
components are implemented.
|
Modifier and Type | Method and Description |
---|---|
abstract Component[] |
BasketProduct.getComponents()
Return the Components in the Basket
|
Modifier and Type | Class and Description |
---|---|
class |
CashComponent
CashComponent contains the implementation of the Cash IR product and its contract/valuation details.
|
class |
EDFComponent
EDFComponent contains the implementation of the Euro-dollar future contract/valuation (EDF).
|
class |
FixedStream
FixedStream contains an implementation of the Fixed leg cash flow stream.
|
class |
FloatFloatComponent
FloatFloatComponent contains the implementation of the Float-Float Index Basis Swap product
contract/valuation details.
|
class |
FloatingStream
FloatingStream contains an implementation of the Floating leg cash flow stream.
|
class |
IRSComponent
IRSComponent contains the implementation of the Interest Rate Swap product contract/valuation details.
|
Modifier and Type | Method and Description |
---|---|
Component[] |
RatesBasket.getComponents() |
Modifier and Type | Method and Description |
---|---|
static Component |
CreditAnalytics.MakeInstrumentFromCode(JulianDate dt,
java.lang.String strCode)
Constructs the calibration component from the specified component code for the specified date
|
static Component[] |
CreditAnalytics.MakeStdInstrumentSet(JulianDate dt,
int iNumInstr,
java.lang.String strType)
Constructs an array of calibration components for the specified component type and number for the
specified date
|
Modifier and Type | Method and Description |
---|---|
Component |
CreditAnalyticsRequest.getComponent()
Retrieve the Component
|
Constructor and Description |
---|
CreditAnalyticsRequest(Component comp,
ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams cmp,
QuotingParams quotingParams)
CreditAnalyticsRequest constructor
|
Modifier and Type | Method and Description |
---|---|
Component[] |
RatesCurveScenarioGenerator.getInstruments()
Return the array of the calibration instruments
|
Component[] |
CreditCurveScenarioGenerator.getInstruments()
Return an array of the calibration instruments
|
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
|