Package | Description |
---|---|
org.drip.param.creator | |
org.drip.param.market | |
org.drip.product.creator | |
org.drip.product.definition | |
org.drip.service.env | |
org.drip.tester.functional |
Modifier and Type | Method and Description |
---|---|
static MarketParams |
MarketParamsBuilder.CreateMarketParams()
Creates MarketParams from the array of calibration instruments
|
Modifier and Type | Class and Description |
---|---|
class |
MarketParamsContainer
This class serves as the place holder for the comprehensive suite of the market set of curves for the
given date.
|
Modifier and Type | Method and Description |
---|---|
static BondProductBuilder |
BondProductBuilder.CreateFromResultSet(java.sql.ResultSet rs,
MarketParams mpc)
Creates BondProductBuilder from the SQL ResultSet and the input MPC
|
boolean |
BondProductBuilder.setFloatSpread(MarketParams mpc)
Sets the bond's floating rate spread from the MPC
|
boolean |
BondProductBuilder.validate(MarketParams mpc)
Validate the state
|
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
|
Modifier and Type | Method and Description |
---|---|
static MarketParams |
EnvManager.PopulateMPC(java.sql.Statement stmt,
JulianDate dt)
Populates the MarketParams with the closing discount curves, closing credit curves, and other
market objects for the given EOD
|
Modifier and Type | Method and Description |
---|---|
static boolean |
EODCurves.AddTSYQuotesToMPC(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency)
Adds the TSY quotes to the specified MPC
|
static boolean |
StaticBACurves.AddTSYToMPC(MarketParams mpc)
Adds custom treasuries to the org.drip.param.definition.MarketParams
|
static BondComponent |
BondManager.BuildBondFromResultSet(java.sql.ResultSet rs,
MarketParams mpc)
Builds a bond from the input result set
|
static boolean |
EODCurves.BuildCREOD(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strSPN,
java.lang.String strCurrency)
Builds the EOD credit curve, and loads it to the MPC
|
static boolean |
StaticBACurves.BuildEDSFCurve(MarketParams mpc,
JulianDate dt,
java.lang.String strCurrency)
Builds the EDSF curve from custom/user defined marks and adds it to the MarketParams for the
given EOD and currency
|
static boolean |
EODCurves.BuildIREODCurve(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency)
Builds the complete set of rates EOD curves for the given currency, and loads them to the MPC
|
static boolean |
StaticBACurves.BuildTSYCurve(MarketParams mpc,
JulianDate dt,
java.lang.String strCurrency)
Builds the treasury curve from custom/user defined marks and adds it to the MarketParams for
the given EOD and currency
|
static boolean |
EODCurves.BuildTSYEODCurve(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency)
Builds the complete set of treasury EOD curves for the given currency, and loads them to the MPC
|
static boolean |
BondManager.CalcAndLoadBondClosingMeasures(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEODStart,
JulianDate dtEODFinish)
Calculates and saves the measures for all the bonds from their market prices for all EODs between a
given pair of dates
|
static boolean |
BondManager.CalcAndLoadBondMeasuresFromPrice(java.sql.Statement stmt,
Bond bond,
ValuationParams valParams,
MarketParams mpc,
double dblPrice)
Calculates the bond measures for the given bond and price, and loads them onto the DB
|
static java.util.Map<java.lang.String,BondRVMeasures> |
BondManager.CalcBondAnalyticsFromPrice(java.lang.String strCUSIPIn,
MarketParams mpc,
JulianDate dt,
double dblBidPrice,
double dblAskPrice)
Calculates the full set of calculable bond measures given the CUSIP, the valuation parameters, and the
prices.
|
static java.util.Map<java.lang.String,BondRVMeasures> |
BondManager.CalcBondMeasures(java.lang.String strBondDescription,
Bond bond,
ValuationParams valParams,
MarketParams mpc,
double dblBidPrice,
double dblAskPrice)
Calculates the full set of calculable bond measures given the bond, the valuation parameters, and the
prices.
|
static int |
BondManager.CalcFullBondAnalytics(MarketParams mpc,
JulianDate dt,
double dblBidPrice,
double dblAskPrice)
Calculates the full set of bond measures for all available bonds given the same bid and ask prices.
|
static boolean |
BondManager.CalcMarketMeasuresForTicker(java.lang.String strTicker,
MarketParams mpc,
JulianDate dt)
Calculates the bond measures corresponding to the bonds in the ticker from their market prices
|
static boolean |
BondManager.CalcMeasuresForTicker(java.lang.String strTicker,
MarketParams mpc,
JulianDate dt,
double dblBidPrice,
double dblAskPrice)
Calculates the bond measures corresponding to the bonds in the ticker from the given price
|
static int |
BondManager.CommitBondsToMem(MarketParams mpc,
java.sql.Statement stmt)
Creates all the bonds, and loads them onto the memory
|
static int |
BondManager.FullBondMarketAnalytics(MarketParams mpc,
JulianDate dt)
Calculates the complete set of bond measures for all the bonds from their closing bid/ask prices.
|
static boolean |
BondManager.GenerateBondCreatorFile(MarketParams mpc,
java.sql.Statement stmt)
Generates the bond creator file
|
static boolean |
EODCurves.LoadEODIROfCodeToMPC(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency,
java.lang.String strInstrCode,
java.lang.String strInstrType,
java.lang.String strCurveName)
Builds the closing IRCurveScenarioContainer for the specific discount curve instrument set (cash or
EDF or swaps), the EOD, and the currency, and loads it to the input MPC
|
static boolean |
EODCurves.LoadEODIRToMPC(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency,
java.lang.String strInstrType,
java.lang.String strCurveName)
Builds the closing IRCurveScenarioContainer for the specific discount curve instrument set type
(treasury or rates instruments), the given EOD, and the currency, and loads it to the input MPC
|
static Bond |
BondManager.LoadFromBondId(MarketParams mpc,
java.sql.Statement stmt,
java.lang.String strBondId,
double dblScheduleStart)
Loads the bond object using its ID
|
static boolean |
CDSManager.LoadFullCreditCurves(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD)
Load the complete set of credit curves for a given EOD
|
static boolean |
RatesManager.LoadFullIRCurves(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD)
Loads the entire set of IR curves of every type for a given EOD onto the MPC
|
static boolean |
CDSManager.SaveCREOD(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency)
Saves the EOD measures corresponding to all the credit curves for a given EOD and currency
|
static boolean |
CDSManager.SaveSPNCalibMeasures(MarketParams mpc,
java.sql.Statement stmt,
java.lang.String strSPN,
JulianDate dtEOD)
Saves the EOD CDS measures for a given curve and a EOD using the USD curve
|
static boolean |
CDSManager.SaveSPNEOD(java.sql.Statement stmt,
MarketParams mpc,
java.lang.String strSPN,
JulianDate dtEOD,
java.lang.String strCurrency)
Saves the EOD CDS measures for a credit curve in a given EOD
|
static boolean |
StaticBACurves.setCC(MarketParams mpc,
JulianDate dt,
java.lang.String strCC,
java.lang.String strIR,
double dblFixedCoupon,
double dblFairPremium,
double dblRecovery)
Builds the credit curve from a set of custom/user-defined quotes for a given EOD and loads them onto
the MPC
|
static boolean |
StaticBACurves.setDC(MarketParams mpc,
JulianDate dt,
java.lang.String strCurrency)
Builds the full IR curve from custom/user defined marks and adds it to the MarketParams for
the given EOD and currency
|
Modifier and Type | Method and Description |
---|---|
static void |
BondTestSuite.RunFullBondTests(MarketParams mpc,
JulianDate dt,
double dblBidPrice,
double dblAskPrice) |
static void |
BondTestSuite.RunFullMarketBondTests(MarketParams mpc,
JulianDate dt) |
static void |
ProductTestSuite.testCC(MarketParams mpc,
JulianDate dt,
int iTestMode,
int iTestDetail) |