Modifier and Type | Method and Description |
---|---|
boolean |
NewtonRaphsonCalibrator.bootstrapHazardRate(CreditCurve 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,java.util.Map<java.lang.String,java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat) |
boolean |
ComponentCalibrator.bootstrapHazardRate(CreditCurve cc,
Component comp,
int iInstr,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
PricerParams pricerParams,
java.lang.String strMeasure,
double dblCalibValue,
java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Bootstraps the hazard rate curve from the component quote
|
boolean |
BracketingCalibrator.bootstrapHazardRate(CreditCurve 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,java.util.Map<java.lang.String,java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat) |
Modifier and Type | Method and Description |
---|---|
void |
CalibratedCreditCurve.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,java.util.Map<java.lang.String,java.lang.Double>> mmFixing,
QuotingParams quotingParams) |
Modifier and Type | Method and Description |
---|---|
abstract 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,java.util.Map<java.lang.String,java.lang.Double>> mmFixing,
QuotingParams quotingParams)
Sets the calibration inputs for the CreditCurve
|
Modifier and Type | Method and Description |
---|---|
static java.util.List<LossPeriodCurveFactors> |
AnalyticsHelper.GenerateLossPeriods(CreditComponent comp,
ValuationParams valParams,
PricerParams pricerParams,
Period period,
double dblWorkoutDate,
ComponentMarketParams mktParams)
Creates a set of loss period measures
|
Modifier and Type | Method and Description |
---|---|
static PricerParams |
PricerParams.MakeStdPricerParams()
Creates the standard pricer parameters object instance
|
Modifier and Type | Method and Description |
---|---|
double |
CDSComponent.calibFlatSpread(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Calibrates the CDS's flat spread from the calculated up-front points
|
CDSComponent.SpreadCalibOP |
CDSComponent.SpreadCalibrator.calibrateHazardFromPriceNR(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPriceCalib)
Calibrate the hazard rate from calibration price
|
java.util.List<CouponPeriodCurveFactors> |
CDSComponent.getCouponFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams) |
java.util.List<CouponPeriodCurveFactors> |
BondComponent.getCouponFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams) |
java.util.List<LossPeriodCurveFactors> |
CDSComponent.getLossFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams) |
java.util.List<LossPeriodCurveFactors> |
BondComponent.getLossFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams) |
java.util.List<LossPeriodCurveFactors> |
BondComponent.getLossFlowFromPrice(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice) |
BondRVMeasures |
BondComponent.standardMeasures(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
WorkoutInfo wi,
double dblPrice) |
java.util.Map<java.lang.String,java.lang.Double> |
BondComponent.standardRVMeasureMap(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
WorkoutInfo wi,
double dblPrice,
java.lang.String strPrefix) |
java.util.Map<java.lang.String,java.lang.Double> |
CDSBasket.value(ValuationParams valParams,
PricerParams pricerParams,
BasketMarketParams bmp,
QuotingParams quotingParams) |
java.util.Map<java.lang.String,java.lang.Double> |
BondBasket.value(ValuationParams valParams,
PricerParams pricerParams,
BasketMarketParams bmp,
QuotingParams quotingParams) |
java.util.Map<java.lang.String,java.lang.Double> |
CDSComponent.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
java.util.Map<java.lang.String,java.lang.Double> |
BondComponent.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
Modifier and Type | Method and Description |
---|---|
java.util.Map<java.lang.String,java.lang.Double> |
Component.calcCustomScenarioMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
java.lang.String strCustomScenName,
QuotingParams quotingParams,
java.util.Map<java.lang.String,java.lang.Double> mapBaseOP)
Generates a full list of custom measures for the set of scenario market parameters present in
the org.drip.param.definition.MarketParams
|
java.util.Map<java.lang.String,java.lang.Double> |
BasketProduct.calcCustomScenarioMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
java.lang.String strCustomScenName,
QuotingParams quotingParams,
java.util.Map<java.lang.String,java.lang.Double> mapBase) |
ComponentMeasures |
Component.calcMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
QuotingParams quotingParams)
Generates a full list of the component measures for the set of scenario market parameters present in
the org.drip.param.definition.MarketParams
|
BasketMeasures |
BasketProduct.calcMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
QuotingParams quotingParams)
Generates a full list of the basket product measures for the set of scenario market parameters present
in the org.drip.param.definition.MarketParams
|
double |
BasketProduct.calcMeasureValue(ValuationParams valParams,
PricerParams pricerParams,
BasketMarketParams bmp,
QuotingParams quotingParams,
java.lang.String strMeasure)
Calculates the value of the given basket product measure
|
double |
Component.calcMeasureValue(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
java.lang.String strMeasure)
Calculates the value of the given component measure
|
abstract double |
CreditDefaultSwap.calibFlatSpread(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Calibrates the CDS's flat spread from the calculated up-front points
|
abstract java.util.List<CouponPeriodCurveFactors> |
CreditComponent.getCouponFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams)
Gets the coupon flow for the credit component
|
abstract java.util.List<LossPeriodCurveFactors> |
CreditComponent.getLossFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams)
Generates the loss flow for the credit component based on the pricer parameters
|
abstract java.util.List<LossPeriodCurveFactors> |
Bond.getLossFlowFromPrice(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Gets the bond's loss flow from price
|
abstract BondRVMeasures |
Bond.standardMeasures(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
WorkoutInfo wi,
double dblPrice)
Calculate the full set of Bond RV Measures from the Price Input
|
abstract java.util.Map<java.lang.String,java.lang.Double> |
BasketProduct.value(ValuationParams valParams,
PricerParams pricerParams,
BasketMarketParams bmp,
QuotingParams quotingParams)
Generates a full list of the basket product measures for the full input set of market parameters
|
abstract java.util.Map<java.lang.String,java.lang.Double> |
Component.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Generates a full list of the component measures for the full input set of market parameters
|
Modifier and Type | Method and Description |
---|---|
java.util.Map<java.lang.String,java.lang.Double> |
IRSComponent.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
java.util.Map<java.lang.String,java.lang.Double> |
EDFComponent.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
java.util.Map<java.lang.String,java.lang.Double> |
CashComponent.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |