Package | Description |
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org.drip.analytics.rates | |
org.drip.param.creator | |
org.drip.state.estimator |
Modifier and Type | Method and Description |
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TurnListDiscountFactor |
RatesLSMM.turnsDiscount()
Retrieve the Turn List Discount Factor
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Modifier and Type | Method and Description |
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boolean |
DiscountCurve.setTurns(TurnListDiscountFactor tldf)
Set the Discount Curve Turns'
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Constructor and Description |
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RatesLSMM(java.lang.String strID,
java.lang.String strQuantificationMetric,
java.lang.String strManifestMeasure,
double dblMeasureQuoteValue,
TurnListDiscountFactor tldf)
RatesLSMM constructor
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Modifier and Type | Method and Description |
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static DiscountCurve |
RatesScenarioCurveBuilder.CustomDENSE(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
java.lang.String strTenor1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
java.lang.String strTenor2,
TurnListDiscountFactor tldf)
Customizable DENSE Curve Creation Methodology - the references are:
- Sankar, L.
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static DiscountCurve |
RatesScenarioCurveBuilder.DENSE(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
TurnListDiscountFactor tldf)
The Standard DENSE Curve Creation Methodology - this uses no re-construction set for the short term,
and uses 3M dense re-construction for the Swap Set.
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static DiscountCurve |
RatesScenarioCurveBuilder.DUALDENSE(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
java.lang.String strTenor1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
java.lang.String strTenor2,
TurnListDiscountFactor tldf)
The DUAL DENSE Curve Creation Methodology - this uses configurable re-construction set for the short
term, and another configurable re-construction for the Swap Set.
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Modifier and Type | Method and Description |
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static StretchRepresentationSpec |
StretchRepresentationSpec.CreateStretchBuilderSet(java.lang.String strName,
java.lang.String strLatentStateID,
java.lang.String strLatentStateQuantificationMetric,
CalibratableComponent[] aCalibComp,
java.lang.String strManifestMeasure,
double[] adblQuote,
TurnListDiscountFactor tldf)
Make a StretchRepresentationSpec instance from the given components, quotes, and the measure.
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Constructor and Description |
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StretchRepresentationSpec(java.lang.String strName,
java.lang.String strLatentStateID,
java.lang.String strLatentStateQuantificationMetric,
CalibratableComponent[] aCalibComp,
java.lang.String[] astrManifestMeasure,
double[] adblQuote,
TurnListDiscountFactor tldf)
StretchRepresentationSpec constructor
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