public class BondComponent extends Bond implements BondProduct
Modifier and Type | Class and Description |
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class |
BondComponent.BondCalibrator
The BondCalibrator implements a calibrator that calibrates the yield, the credit basis, or the Z
Spread for the bond given the price input.
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NULL_SER_STRING, VERSION
Constructor and Description |
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BondComponent()
Constructor: Constructs an empty bond object
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BondComponent(byte[] ab)
Bond de-serialization from input byte array
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Modifier and Type | Method and Description |
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double |
calcAccrued(double dblDate,
ComponentMarketParams mktParams)
Calculate the bond's accrued for the period identified by the valuation date
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double |
calcBondBasisFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the Bond Basis from credit basis to Maturity
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double |
calcBondBasisFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the Bond Basis from credit basis to Work-out
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double |
calcBondBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the Bond Basis from Discount Margin to Maturity
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double |
calcBondBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the Bond Basis from Discount Margin to Work-out
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double |
calcBondBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Bond Basis from G Spread to Maturity
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double |
calcBondBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the Bond Basis from G Spread to Work-out
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double |
calcBondBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Bond Basis from I Spread to Maturity
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double |
calcBondBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the Bond Basis from I Spread to Work-out
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double |
calcBondBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the Bond Basis from Option Adjusted Spread to Maturity
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double |
calcBondBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the Bond Basis from Option Adjusted Spread to Work-out
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double |
calcBondBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Bond Basis from Par ASW to Maturity
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double |
calcBondBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the Bond Basis from Par ASW to Work-out
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double |
calcBondBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Basis from PECS to Maturity
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double |
calcBondBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Basis from PECS to Work-out
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double |
calcBondBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Bond Basis to maturity from price
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double |
calcBondBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the Bond Basis to Work-out from price
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double |
calcBondBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Bond Basis from spread treasury benchmark to Maturity
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double |
calcBondBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the Bond Basis from spread treasury benchmark to Work-out
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double |
calcBondBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Basis from yield to maturity
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double |
calcBondBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the Bond Basis from Yield to work-out
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double |
calcBondBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond Basis from Yield Spread to Maturity
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double |
calcBondBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the Bond Basis from Yield Spread to Work-out
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double |
calcBondBasisFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Basis from yield to maturity
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double |
calcBondBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Bond Basis from Z Spread to Maturity
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double |
calcBondBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the Bond Basis from Z Spread to Work-out
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double |
calcConvexityFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the Bond Convexity from Bond Basis to maturity
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double |
calcConvexityFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the Bond Convexity from Bond Basis to Work-out
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double |
calcConvexityFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond convexity from credit basis to Maturity
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double |
calcConvexityFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond convexity from credit basis to Work-out
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double |
calcConvexityFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond convexity from Discount Margin to Maturity
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double |
calcConvexityFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond convexity from Discount Margin to Work-out
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double |
calcConvexityFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond convexity from G Spread to Maturity
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double |
calcConvexityFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond convexity from G Spread to Work-out
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double |
calcConvexityFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond convexity from I Spread to Maturity
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double |
calcConvexityFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond convexity from I Spread to Work-out
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double |
calcConvexityFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond convexity from Option Adjusted Spread to maturity
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double |
calcConvexityFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond convexity from Option Adjusted Spread to Work-out
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double |
calcConvexityFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond convexity from Par ASW to Maturity
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double |
calcConvexityFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond convexity from Par ASW to Work-out
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double |
calcConvexityFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Convexity from credit basis to Maturity
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double |
calcConvexityFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Convexity from PECS to Work-out
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double |
calcConvexityFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond convexity to maturity from price
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double |
calcConvexityFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond convexity to Work-out from price
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double |
calcConvexityFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond convexity from spread treasury benchmark to Maturity
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double |
calcConvexityFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond convexity from spread treasury benchmark to Work-out
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double |
calcConvexityFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond convexity from Yield to maturity
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double |
calcConvexityFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond convexity from Work-out Yield
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double |
calcConvexityFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond Convexity from Yield Spread to maturity
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double |
calcConvexityFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the Bond Convexity from Yield Spread to Work-out
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double |
calcConvexityFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond convexity from Yield to maturity
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double |
calcConvexityFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond convexity from Z Spread to maturity
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double |
calcConvexityFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond convexity from Z Spread to Work-out
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double |
calcCreditBasisFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond credit basis from Bond Basis to maturity
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double |
calcCreditBasisFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond credit basis from Bond Basis to Work-out
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double |
calcCreditBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Credit Basis from Discount Margin to Maturity
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double |
calcCreditBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond Credit Basis from Discount Margin to Work-out
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double |
calcCreditBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Credit Basis from G Spread to Maturity
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double |
calcCreditBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Credit Basis from G Spread to Work-out
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double |
calcCreditBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Credit Basis from I Spread to Maturity
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double |
calcCreditBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Credit Basis from I Spread to Work-out
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double |
calcCreditBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond credit basis from Option Adjusted Spread to maturity
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double |
calcCreditBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond credit basis from Option Adjusted Spread to Work-out
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double |
calcCreditBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Credit Basis from Par ASW to Maturity
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double |
calcCreditBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Credit Basis from Par ASW to Work-out
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double |
calcCreditBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Credit Basis from PECS to Maturity
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double |
calcCreditBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Credit Basis from PECS to Work-out
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double |
calcCreditBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond credit basis to maturity from price
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double |
calcCreditBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond credit basis to Work-out from price
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double |
calcCreditBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Credit Basis from spread treasury benchmark to Maturity
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double |
calcCreditBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond Credit Basis from spread treasury benchmark to Work-out
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double |
calcCreditBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond credit basis from Yield to maturity
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double |
calcCreditBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond credit basis from Yield to work-out
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double |
calcCreditBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond credit basis from Yield Spread to maturity
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double |
calcCreditBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond credit basis from Yield Spread to Work-out
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double |
calcCreditBasisFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond credit basis from Yield to maturity
|
double |
calcCreditBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond credit basis from Z Spread to maturity
|
double |
calcCreditBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond credit basis from Z Spread to Work-out
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JulianDate |
calcCurrentCouponDate(JulianDate dt)
Returns the coupon date for the period containing the specified date
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double |
calcCurrentCouponRate(JulianDate dt,
ComponentMarketParams mktParams)
Returns the coupon rate for the period corresponding to the specified date
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double |
calcDiscountMarginFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Discount Margin from Bond Basis to maturity
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double |
calcDiscountMarginFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond Discount Margin from Bond Basis to Work-out
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double |
calcDiscountMarginFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Discount Margin from credit basis to Maturity
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double |
calcDiscountMarginFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond Discount Margin from credit basis to Work-out
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double |
calcDiscountMarginFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond Discount Margin from G Spread to Maturity
|
double |
calcDiscountMarginFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Discount Margin from G Spread to Work-out
|
double |
calcDiscountMarginFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond Discount Margin from Option Adjusted Spread to maturity
|
double |
calcDiscountMarginFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond Discount Margin from Option Adjusted Spread to Work-out
|
double |
calcDiscountMarginFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond Discount Margin from Par ASW to Maturity
|
double |
calcDiscountMarginFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Discount Margin from Par ASW to Work-out
|
double |
calcDiscountMarginFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Discount Margin from PECS to Maturity
|
double |
calcDiscountMarginFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Discount Margin from PECS to Work-out
|
double |
calcDiscountMarginFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond Discount Margin to maturity from price
|
double |
calcDiscountMarginFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond Discount Margin to Work-out from price
|
double |
calcDiscountMarginFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond Discount Margin from spread treasury benchmark to Maturity
|
double |
calcDiscountMarginFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond Discount Margin from spread treasury benchmark to Work-out
|
double |
calcDiscountMarginFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond Discount Margin from Yield to maturity
|
double |
calcDiscountMarginFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond Discount Margin from Work-out Yield
|
double |
calcDiscountMarginFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond Discount Margin from Yield Spread to maturity
|
double |
calcDiscountMarginFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond Discount Margin from Yield Spread to Work-out
|
double |
calcDiscountMarginFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond Discount Margin from Yield to maturity
|
double |
calcDiscountMarginFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond Discount Margin from Z Spread to maturity
|
double |
calcDiscountMarginFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond Discount Margin from Z Spread to Work-out
|
double |
calcDurationFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond duration from Bond Basis to maturity
|
double |
calcDurationFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond duration from Bond Basis to Work-out
|
double |
calcDurationFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond Duration from credit basis to Maturity
|
double |
calcDurationFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond Duration from credit basis to Work-out
|
double |
calcDurationFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Duration from Discount Margin to Maturity
|
double |
calcDurationFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond Duration from Discount Margin to Work-out
|
double |
calcDurationFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Duration from G Spread to Maturity
|
double |
calcDurationFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Duration from G Spread to Work-out
|
double |
calcDurationFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Duration from I Spread to Maturity
|
double |
calcDurationFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Duration from I Spread to Work-out
|
double |
calcDurationFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond duration from Option Adjusted Spread to maturity
|
double |
calcDurationFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond duration from Option Adjusted Spread to Work-out
|
double |
calcDurationFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Duration from Par ASW to Maturity
|
double |
calcDurationFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Duration from Par ASW to Work-out
|
double |
calcDurationFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Duration from PECS to Maturity
|
double |
calcDurationFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Duration from PECS to Work-out
|
double |
calcDurationFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond duration to maturity from price
|
double |
calcDurationFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond duration to Work-out from price
|
double |
calcDurationFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond duration from spread treasury benchmark to Maturity
|
double |
calcDurationFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond duration from spread treasury benchmark to Work-out
|
double |
calcDurationFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond duration from Yield to maturity
|
double |
calcDurationFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond duration from Work-out Yield
|
double |
calcDurationFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond Duration from Yield Spread to maturity
|
double |
calcDurationFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond duration from Yield Spread to Work-out
|
double |
calcDurationFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond duration from Yield to maturity
|
double |
calcDurationFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond duration from Z Spread to maturity
|
double |
calcDurationFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond duration from Z Spread to Work-out
|
double |
calcExerciseBondBasisFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the Bond Basis from credit basis to Exercise
|
double |
calcExerciseBondBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the Bond Basis from Discount Margin to Exercise
|
double |
calcExerciseBondBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Bond Basis from G Spread to Exercise
|
double |
calcExerciseBondBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Bond Basis from I Spread to Exercise
|
double |
calcExerciseBondBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the Bond Basis from Option Adjusted Spread to Exercise
|
double |
calcExerciseBondBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Bond Basis from Par ASW to Exercise
|
double |
calcExerciseBondBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Basis from PECS to Exercise
|
double |
calcExerciseBondBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Bond Basis to exercise from price
|
double |
calcExerciseBondBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Bond Basis from spread treasury benchmark to Exercise
|
double |
calcExerciseBondBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Basis from yield to exercise
|
double |
calcExerciseBondBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond Basis from Yield Spread to Exercise
|
double |
calcExerciseBondBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Bond Basis from Z Spread to Exercise
|
double |
calcExerciseConvexityFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond convexity from Bond Basis to exercise
|
double |
calcExerciseConvexityFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond convexity from credit basis to Exercise
|
double |
calcExerciseConvexityFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond convexity from Discount Margin to Exercise
|
double |
calcExerciseConvexityFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond convexity from G Spread to Exercise
|
double |
calcExerciseConvexityFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond convexity from I Spread to Exercise
|
double |
calcExerciseConvexityFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond convexity from Option Adjusted Spread to exercise
|
double |
calcExerciseConvexityFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond convexity from Par ASW to Exercise
|
double |
calcExerciseConvexityFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Convexity from credit basis to Exercise
|
double |
calcExerciseConvexityFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond convexity to exercise from price
|
double |
calcExerciseConvexityFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond convexity from spread treasury benchmark to Exercise
|
double |
calcExerciseConvexityFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond convexity from Yield to exercise
|
double |
calcExerciseConvexityFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond convexity from Yield Spread to exercise
|
double |
calcExerciseConvexityFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond convexity from Z Spread to exercise
|
double |
calcExerciseCreditBasisFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond credit basis from Bond Basis to exercise
|
double |
calcExerciseCreditBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Credit Basis from Discount Margin to Exercise
|
double |
calcExerciseCreditBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Credit Basis from G Spread to Exercise
|
double |
calcExerciseCreditBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Credit Basis from I Spread to Exercise
|
double |
calcExerciseCreditBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond credit basis from Option Adjusted Spread to exercise
|
double |
calcExerciseCreditBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Credit Basis from Par ASW to Exercise
|
double |
calcExerciseCreditBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Credit Basis from PECS to Exercise
|
double |
calcExerciseCreditBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond credit basis to exercise from price
|
double |
calcExerciseCreditBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Credit Basis from spread treasury benchmark to Exercise
|
double |
calcExerciseCreditBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond credit basis from Yield to exercise
|
double |
calcExerciseCreditBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond credit basis from Yield Spread to exercise
|
double |
calcExerciseCreditBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond credit basis from Z Spread to exercise
|
double |
calcExerciseDiscountMarginFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Discount Margin from Bond Basis to exercise
|
double |
calcExerciseDiscountMarginFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Discount Margin from credit basis to Exercise
|
double |
calcExerciseDiscountMarginFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond Discount Margin from G Spread to Exercise
|
double |
calcExerciseDiscountMarginFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond Discount Margin from Option Adjusted Spread to exercise
|
double |
calcExerciseDiscountMarginFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond Discount Margin from Par ASW to Exercise
|
double |
calcExerciseDiscountMarginFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Discount Margin from PECS to Exercise
|
double |
calcExerciseDiscountMarginFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond Discount Margin to exercise from price
|
double |
calcExerciseDiscountMarginFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond Discount Margin from spread treasury benchmark to Exercise
|
double |
calcExerciseDiscountMarginFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond Discount Margin from Yield to exercise
|
double |
calcExerciseDiscountMarginFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond Discount Margin from Yield Spread to exercise
|
double |
calcExerciseDiscountMarginFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond Discount Margin from Z Spread to exercise
|
double |
calcExerciseDurationFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond duration from Bond Basis to exercise
|
double |
calcExerciseDurationFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond Duration from credit basis to Exercise
|
double |
calcExerciseDurationFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Duration from Discount Margin to Exercise
|
double |
calcExerciseDurationFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Duration from G Spread to Exercise
|
double |
calcExerciseDurationFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Duration from I Spread to Exercise
|
double |
calcExerciseDurationFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond duration from Option Adjusted Spread to exercise
|
double |
calcExerciseDurationFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Duration from Par ASW to Exercise
|
double |
calcExerciseDurationFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Duration from PECS to Exercise
|
double |
calcExerciseDurationFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond duration to exercise from price
|
double |
calcExerciseDurationFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond duration from spread treasury benchmark to Exercise
|
double |
calcExerciseDurationFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond duration from Yield to exercise
|
double |
calcExerciseDurationFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Duration from Yield Spread to exercise
|
double |
calcExerciseDurationFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond duration from Z Spread to exercise
|
double |
calcExerciseGSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond G Spread from Bond Basis to Exercise
|
double |
calcExerciseGSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond G Spread from credit basis to Exercise
|
double |
calcExerciseGSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblDiscountMargin)
Calculate the bond G Spread from Discount Margin to Exercise
|
double |
calcExerciseGSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond G Spread from I Spread to Exercise
|
double |
calcExerciseGSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond G Spread from Option Adjusted Spread to Exercise
|
double |
calcExerciseGSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond G Spread from Par ASW to Exercise
|
double |
calcExerciseGSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond G Spread from PECS to Exercise
|
double |
calcExerciseGSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond G spread to exercise from price
|
double |
calcExerciseGSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond G Spread from spread treasury benchmark to Exercise
|
double |
calcExerciseGSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond G spread from Yield to exercise
|
double |
calcExerciseGSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond G Spread from Yield Spread to Exercise
|
double |
calcExerciseGSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond G Spread from Z Spread to Exercise
|
double |
calcExerciseISpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond I Spread from Bond Basis to exercise
|
double |
calcExerciseISpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond I Spread from credit basis to Exercise
|
double |
calcExerciseISpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond I Spread from G Spread to Exercise
|
double |
calcExerciseISpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond I Spread from Option Adjusted Spread to exercise
|
double |
calcExerciseISpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond I Spread from Par ASW to Exercise
|
double |
calcExerciseISpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond I Spread from PECS to Exercise
|
double |
calcExerciseISpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond I spread to exercise from price
|
double |
calcExerciseISpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond I Spread from spread treasury benchmark to Exercise
|
double |
calcExerciseISpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond I spread from Yield to exercise
|
double |
calcExerciseISpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond I Spread from Yield Spread to exercise
|
double |
calcExerciseISpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond I Spread from Z Spread to exercise
|
double |
calcExerciseOASFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Option Adjusted Spread from Bond Basis to exercise
|
double |
calcExerciseOASFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Option Adjusted Spread from credit basis to Exercise
|
double |
calcExerciseOASFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Option Adjusted Spread from Discount Margin to Exercise
|
double |
calcExerciseOASFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Option Adjusted Spread from G Spread to Exercise
|
double |
calcExerciseOASFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Option Adjusted Spread from I Spread to Exercise
|
double |
calcExerciseOASFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Option Adjusted Spread from Par ASW to Exercise
|
double |
calcExerciseOASFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the bond Option Adjusted Spread from PECS to Exercise
|
double |
calcExerciseOASFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond Option Adjusted spread to exercise from price
|
double |
calcExerciseOASFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Option Adjusted Spread from spread treasury benchmark to Exercise
|
double |
calcExerciseOASFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Option Adjusted Spread from yield to exercise
|
double |
calcExerciseOASFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond Option Adjusted Spread from Yield Spread to exercise
|
double |
calcExerciseOASFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond OAS from Z Spread to Exercise
|
double |
calcExerciseParASWFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the Bond Par ASW from Bond Basis to exercise
|
double |
calcExerciseParASWFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond par ASW from credit basis to Exercise
|
double |
calcExerciseParASWFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Par ASW from Discount Margin to Exercise
|
double |
calcExerciseParASWFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Par ASW from G Spread to Exercise
|
double |
calcExerciseParASWFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Par ASW from I Spread to Exercise
|
double |
calcExerciseParASWFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond par ASW from Option Adjusted Spread to exercise
|
double |
calcExerciseParASWFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Par ASW from PECS to Exercise
|
double |
calcExerciseParASWFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond par ASW to exercise from price
|
double |
calcExerciseParASWFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond par ASW from spread treasury benchmark to Exercise
|
double |
calcExerciseParASWFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond par ASW from Yield to exercise
|
double |
calcExerciseParASWFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond Par ASW from Yield Spread to exercise
|
double |
calcExerciseParASWFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond par ASW from Z Spread to exercise
|
double |
calcExercisePECSFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the Bond PECS from Bond Basis to exercise
|
double |
calcExercisePECSFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the Bond PECS from credit basis to Exercise
|
double |
calcExercisePECSFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the Bond PECS from Discount Margin to Exercise
|
double |
calcExercisePECSFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Bond PECS from G Spread to Exercise
|
double |
calcExercisePECSFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Bond PECS from I Spread to Exercise
|
double |
calcExercisePECSFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the Bond PECS from Option Adjusted Spread to exercise
|
double |
calcExercisePECSFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Bond PECS from Par ASW to Exercise
|
double |
calcExercisePECSFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Bond PECS to exercise from price
|
double |
calcExercisePECSFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Bond PECS from spread treasury benchmark to Exercise
|
double |
calcExercisePECSFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the Bond PECS from Yield to exercise
|
double |
calcExercisePECSFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond PECS from Yield Spread to exercise
|
double |
calcExercisePECSFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Bond PECS from Z Spread to exercise
|
double |
calcExercisePriceFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond price from Bond Basis to Exercise
|
double |
calcExercisePriceFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond price from credit basis to Exercise
|
double |
calcExercisePriceFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond price from Discount Margin to Exercise
|
double |
calcExercisePriceFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond price from G Spread to Exercise
|
double |
calcExercisePriceFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond price from I Spread to Exercise
|
double |
calcExercisePriceFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond price from Option Adjusted Spread to Exercise
|
double |
calcExercisePriceFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond price from Par ASW to Exercise
|
double |
calcExercisePriceFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Price from PECS to Exercise
|
double |
calcExercisePriceFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond price from spread treasury benchmark to Exercise
|
double |
calcExercisePriceFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond price from exercise yield
|
double |
calcExercisePriceFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond price from Yield Spread to Exercise
|
double |
calcExercisePriceFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond price from Z Spread to Exercise
|
double |
calcExerciseTSYSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond spread to treasury from Bond Basis to exercise
|
double |
calcExerciseTSYSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Spread to Treasury from credit basis to Exercise
|
double |
calcExerciseTSYSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblDiscountMargin)
Calculate the bond Spread to Treasury from Discount Margin to Exercise
|
double |
calcExerciseTSYSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond Spread to Treasury from G Spread to Exercise
|
double |
calcExerciseTSYSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond Spread to Treasury from I Spread to Exercise
|
double |
calcExerciseTSYSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond spread to treasury from Option Adjusted Spread to exercise
|
double |
calcExerciseTSYSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Spread to Treasury Benchmark from Par ASW to Exercise
|
double |
calcExerciseTSYSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Spread to Treasury from PECS to Exercise
|
double |
calcExerciseTSYSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond spread to treasury to exercise from price
|
double |
calcExerciseTSYSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond spread to treasury from exercise Yield
|
double |
calcExerciseTSYSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond spread to treasury from Yield Spread to exercise
|
double |
calcExerciseTSYSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond spread to treasury from Z Spread to exercise
|
double |
calcExerciseYieldFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond yield from Bond Basis to Exercise
|
double |
calcExerciseYieldFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond yield from credit basis to Exercise
|
double |
calcExerciseYieldFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblDiscountMargin)
Calculate the bond yield from Discount Margin to Exercise
|
double |
calcExerciseYieldFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond yield from G Spread to Exercise
|
double |
calcExerciseYieldFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond yield from I Spread to Exercise
|
double |
calcExerciseYieldFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond yield from Option Adjusted Spread to Exercise
|
double |
calcExerciseYieldFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond yield from Par ASW to Exercise
|
double |
calcExerciseYieldFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Yield from PECS to Exercise
|
WorkoutInfo |
calcExerciseYieldFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond yield to exercise from price
|
double |
calcExerciseYieldFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond yield from spread treasury benchmark to Exercise
|
double |
calcExerciseYieldFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond yield from Yield Spread to Exercise
|
double |
calcExerciseYieldFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond yield from Z Spread to Exercise
|
double |
calcExerciseYieldSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Yield Spread from Bond Basis to Exercise
|
double |
calcExerciseYieldSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the Yield Spread from credit basis to Exercise
|
double |
calcExerciseYieldSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the Yield Spread from Discount Margin to Exercise
|
double |
calcExerciseYieldSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Yield Spread from G Spread to Exercise
|
double |
calcExerciseYieldSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Yield Spread from I Spread to Exercise
|
double |
calcExerciseYieldSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the Yield Spread from Option Adjusted Spread to Exercise
|
double |
calcExerciseYieldSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Yield Spread from Par ASW to Exercise
|
double |
calcExerciseYieldSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Yield Spread from PECS to Exercise
|
double |
calcExerciseYieldSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Yield Spread to exercise from price
|
double |
calcExerciseYieldSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Yield Spread from spread treasury benchmark to Exercise
|
double |
calcExerciseYieldSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the Yield Spread from yield to exercise
|
double |
calcExerciseYieldSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Yield Spread from Z Spread to Exercise
|
double |
calcExerciseZSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Z Spread from Bond Basis to exercise
|
double |
calcExerciseZSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Z Spread from credit basis to Exercise
|
double |
calcExerciseZSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Z Spread from Discount Margin to Exercise
|
double |
calcExerciseZSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Z Spread from G Spread to Exercise
|
double |
calcExerciseZSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Z Spread from I Spread to Exercise
|
double |
calcExerciseZSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond z spread to exercise from OAS
|
double |
calcExerciseZSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Z Spread from Par ASW to Exercise
|
double |
calcExerciseZSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Z Spread from PECS to Exercise
|
double |
calcExerciseZSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond z spread to exercise from price
|
double |
calcExerciseZSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Z Spread from spread treasury benchmark to Exercise
|
double |
calcExerciseZSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Z Spread from yield to exercise
|
double |
calcExerciseZSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond Z Spread from Yield Spread to exercise
|
double |
calcGSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond G Spread from Bond Basis to Maturity
|
double |
calcGSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond G Spread from Bond Basis to Work-out
|
double |
calcGSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond G Spread from credit basis to Maturity
|
double |
calcGSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond G Spread from credit basis to Work-out
|
double |
calcGSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblDiscountMargin)
Calculate the bond G Spread from Discount Margin to Maturity
|
double |
calcGSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond G Spread from Discount Margin to Work-out
|
double |
calcGSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond G Spread from I Spread to Maturity
|
double |
calcGSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond G Spread from I Spread to Work-out
|
double |
calcGSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond G Spread from Option Adjusted Spread to Maturity
|
double |
calcGSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond G Spread from Option Adjusted Spread to Work-out
|
double |
calcGSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond G Spread from Par ASW to Maturity
|
double |
calcGSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond G Spread from Par ASW to Work-out
|
double |
calcGSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond G Spread from PECS to Maturity
|
double |
calcGSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond G Spread from PECS to Work-out
|
double |
calcGSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond G spread to maturity from price
|
double |
calcGSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond G spread to Work-out from price
|
double |
calcGSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond G Spread from spread treasury benchmark to Maturity
|
double |
calcGSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond G Spread from spread treasury benchmark to Work-out
|
double |
calcGSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond G spread from Yield to maturity
|
double |
calcGSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond G spread from Work-out Yield
|
double |
calcGSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond G Spread from Yield Spread to Maturity
|
double |
calcGSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond G Spread from Yield Spread to Work-out
|
double |
calcGSpreadFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond G spread from Yield to maturity
|
double |
calcGSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond G Spread from Z Spread to Maturity
|
double |
calcGSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond G Spread from Z Spread to Work-out
|
double |
calcISpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond I Spread from Bond Basis to maturity
|
double |
calcISpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond I Spread from Bond Basis to Work-out
|
double |
calcISpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond I Spread from credit basis to Maturity
|
double |
calcISpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond I Spread from credit basis to Work-out
|
double |
calcISpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond I Spread from G Spread to Maturity
|
double |
calcISpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond I Spread from G Spread to Work-out
|
double |
calcISpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond I Spread from Option Adjusted Spread to maturity
|
double |
calcISpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond I Spread from Option Adjusted Spread to Work-out
|
double |
calcISpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond I Spread from Par ASW to Maturity
|
double |
calcISpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond I Spread from Par ASW to Work-out
|
double |
calcISpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond I Spread from PECS to Maturity
|
double |
calcISpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond I Spread from PECS to Work-out
|
double |
calcISpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond I spread to maturity from price
|
double |
calcISpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond I spread to Work-out from price
|
double |
calcISpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond I Spread from spread treasury benchmark to Maturity
|
double |
calcISpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond I Spread from spread treasury benchmark to Work-out
|
double |
calcISpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond I spread from Yield to maturity
|
double |
calcISpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond I spread from Work-out Yield
|
double |
calcISpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond I Spread from Yield Spread to maturity
|
double |
calcISpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond I Spread from Yield Spread to Work-out
|
double |
calcISpreadFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond I spread from Yield to maturity
|
double |
calcISpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond I Spread from Z Spread to maturity
|
double |
calcISpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond I Spread from Z Spread to Work-out
|
JulianDate |
calcNextCouponDate(JulianDate dt)
Returns the coupon date for the period subsequent to the specified date
|
double |
calcNextCouponRate(JulianDate dt,
ComponentMarketParams mktParams)
Returns the coupon rate for the period subsequent to the specified date
|
ExerciseInfo |
calcNextValidExerciseDateOfType(JulianDate dt,
boolean bGetPut)
Returns the next exercise info of the given exercise type (call/put) subsequent to the specified date
|
ExerciseInfo |
calcNextValidExerciseInfo(JulianDate dt)
Returns the next exercise info subsequent to the specified date
|
double |
calcOASFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Option Adjusted Spread from Bond Basis to maturity
|
double |
calcOASFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond Option Adjusted Spread from Bond Basis to work-out
|
double |
calcOASFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Option Adjusted Spread from credit basis to Maturity
|
double |
calcOASFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond Option Adjusted Spread from credit basis to Work-out
|
double |
calcOASFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Option Adjusted Spread from Discount Margin to Maturity
|
double |
calcOASFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond Option Adjusted Spread from Discount Margin to Work-out
|
double |
calcOASFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Option Adjusted Spread from G Spread to Maturity
|
double |
calcOASFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Option Adjusted Spread from G Spread to Work-out
|
double |
calcOASFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Option Adjusted Spread from I Spread to Maturity
|
double |
calcOASFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Option Adjusted Spread from I Spread to Work-out
|
double |
calcOASFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Option Adjusted Spread from Par ASW to Maturity
|
double |
calcOASFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Option Adjusted Spread from Par ASW to Work-out
|
double |
calcOASFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the bond Option Adjusted Spread from PECS to Maturity
|
double |
calcOASFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Option Adjusted Spread from PECS to Work-out
|
double |
calcOASFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond Option Adjusted spread to maturity from price
|
double |
calcOASFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond Option Adjusted spread to Work-out from price
|
double |
calcOASFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Option Adjusted Spread from spread treasury benchmark to Maturity
|
double |
calcOASFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond Option Adjusted Spread from spread treasury benchmark to Work-out
|
double |
calcOASFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Option Adjusted Spread from yield to maturity
|
double |
calcOASFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond Option Adjusted Spread from Yield to work-out
|
double |
calcOASFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond Option Adjusted Spread from Yield Spread to maturity
|
double |
calcOASFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond Option Adjusted Spread from Yield Spread to work-out
|
double |
calcOASFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Option Adjusted Spread from yield to maturity
|
double |
calcOASFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond OAS from Z Spread to Maturity
|
double |
calcOASFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the Bond Option Adjusted Spread from Z Spread to Work-out
|
double |
calcParASWFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the Bond Par ASW from Bond Basis to maturity
|
double |
calcParASWFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the Bond Par ASW from Bond Basis to Work-out
|
double |
calcParASWFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond par ASW from credit basis to Maturity
|
double |
calcParASWFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond par ASW from credit basis to Work-out
|
double |
calcParASWFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Par ASW from Discount Margin to Maturity
|
double |
calcParASWFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond Par ASW from Discount Margin to Work-out
|
double |
calcParASWFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Par ASW from G Spread to Maturity
|
double |
calcParASWFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Par ASW from G Spread to Work-out
|
double |
calcParASWFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Par ASW from I Spread to Maturity
|
double |
calcParASWFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Par ASW from I Spread to Work-out
|
double |
calcParASWFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond par ASW from Option Adjusted Spread to maturity
|
double |
calcParASWFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond par ASW from Option Adjusted Spread to Work-out
|
double |
calcParASWFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Par ASW from credit basis to Maturity
|
double |
calcParASWFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Par ASW from PECS to Work-out
|
double |
calcParASWFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond par ASW to maturity from price
|
double |
calcParASWFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond par ASW to Work-out from price
|
double |
calcParASWFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond par ASW from spread treasury benchmark to Maturity
|
double |
calcParASWFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond par ASW from spread treasury benchmark to Work-out
|
double |
calcParASWFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond par ASW from Yield to maturity
|
double |
calcParASWFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond par ASW from Work-out Yield
|
double |
calcParASWFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond Par ASW from Yield Spread to maturity
|
double |
calcParASWFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the Bond Par ASW from Yield Spread to Work-out
|
double |
calcParASWFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond par ASW from Yield to maturity
|
double |
calcParASWFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond par ASW from Z Spread to maturity
|
double |
calcParASWFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond par ASW from Z Spread to Work-out
|
double |
calcPECSFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the Bond PECS from Bond Basis to maturity
|
double |
calcPECSFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the Bond PECS from Bond Basis to Work-out
|
double |
calcPECSFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the Bond PECS from credit basis to Maturity
|
double |
calcPECSFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the Bond PECS from credit basis to Work-out
|
double |
calcPECSFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the Bond PECS from Discount Margin to Maturity
|
double |
calcPECSFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the Bond PECS from Discount Margin to Work-out
|
double |
calcPECSFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Bond PECS from G Spread to Maturity
|
double |
calcPECSFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the Bond PECS from G Spread to Work-out
|
double |
calcPECSFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Bond PECS from I Spread to Maturity
|
double |
calcPECSFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the Bond PECS from I Spread to Work-out
|
double |
calcPECSFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the Bond PECS from Option Adjusted Spread to maturity
|
double |
calcPECSFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the Bond PECS from Option Adjusted Spread to Work-out
|
double |
calcPECSFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Bond PECS from Par ASW to Maturity
|
double |
calcPECSFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the Bond PECS from Par ASW to Work-out
|
double |
calcPECSFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Bond PECS to maturity from price
|
double |
calcPECSFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the Bond PECS to Work-out from price
|
double |
calcPECSFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Bond PECS from spread treasury benchmark to Maturity
|
double |
calcPECSFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the Bond PECS from spread treasury benchmark to Work-out
|
double |
calcPECSFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the Bond PECS from Yield to maturity
|
double |
calcPECSFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the Bond PECS from Yield to work-out
|
double |
calcPECSFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond PECS from Yield Spread to maturity
|
double |
calcPECSFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the Bond PECS from Yield Spread to Work-out
|
double |
calcPECSFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the Bond PECS from Yield to maturity
|
double |
calcPECSFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Bond PECS from Z Spread to maturity
|
double |
calcPECSFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the Bond PECS from Z Spread to Work-out
|
JulianDate |
calcPreviousCouponDate(JulianDate dt)
Returns the coupon date for the period prior to the specified date
|
double |
calcPreviousCouponRate(JulianDate dt,
ComponentMarketParams mktParams)
Returns the coupon rate for the period prior to the specified date
|
double |
calcPriceFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond price from Bond Basis to Maturity
|
double |
calcPriceFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond price from Bond Basis to Work-out
|
double |
calcPriceFromBumpedCC(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis,
boolean bFlat)
Calculate the bond's credit risky theoretical price from the bumped credit curve
|
double |
calcPriceFromBumpedDC(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDCBump)
Calculate the bond's non-credit risky theoretical price from the bumped discount curve
|
double |
calcPriceFromBumpedZC(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZCBump)
Calculate the bond's non-credit risky theoretical price from the bumped zero curve
|
double |
calcPriceFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond price from credit basis to Maturity
|
double |
calcPriceFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond price from credit basis to Work-out
|
double |
calcPriceFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond price from Discount Margin to Maturity
|
double |
calcPriceFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond price from Discount Margin to Work-out
|
double |
calcPriceFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond price from G Spread to Maturity
|
double |
calcPriceFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond price from G Spread to Work-out
|
double |
calcPriceFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond price from I Spread to Maturity
|
double |
calcPriceFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond price from I Spread to Work-out
|
double |
calcPriceFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond price from Option Adjusted Spread to Maturity
|
double |
calcPriceFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond price from Option Adjusted Spread to Work-out
|
double |
calcPriceFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond price from Par ASW to Maturity
|
double |
calcPriceFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond price from Par ASW to Work-out
|
double |
calcPriceFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Price from PECS to Maturity
|
double |
calcPriceFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Price from PECS to Work-out
|
double |
calcPriceFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond price from spread treasury benchmark to Maturity
|
double |
calcPriceFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond price from spread treasury benchmark to Work-out
|
double |
calcPriceFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond price from yield to maturity
|
double |
calcPriceFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond price from yield to work-out
|
double |
calcPriceFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond price from Yield Spread to Maturity
|
double |
calcPriceFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond price from Yield Spread to Work-out
|
double |
calcPriceFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond price from yield to maturity
|
double |
calcPriceFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond price from Z Spread to Maturity
|
double |
calcPriceFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond price from Z Spread to Work-out
|
double |
calcTSYSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond spread to treasury from Bond Basis to maturity
|
double |
calcTSYSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond spread to treasury from Bond Basis to Work-out
|
double |
calcTSYSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Spread to Treasury from credit basis to Maturity
|
double |
calcTSYSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond Spread to Treasury from credit basis to Work-out
|
double |
calcTSYSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblDiscountMargin)
Calculate the bond Spread to Treasury from Discount Margin to Maturity
|
double |
calcTSYSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond Spread to Treasury from Discount Margin to Work-out
|
double |
calcTSYSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond Spread to Treasury from G Spread to Maturity
|
double |
calcTSYSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Spread to Treasury from G Spread to Work-out
|
double |
calcTSYSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond Spread to Treasury from I Spread to Maturity
|
double |
calcTSYSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Spread to Treasury from I Spread to Work-out
|
double |
calcTSYSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond spread to treasury from Option Adjusted Spread to maturity
|
double |
calcTSYSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond spread to treasury from Option Adjusted Spread to Work-out
|
double |
calcTSYSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Spread to Treasury Benchmark from Par ASW to Maturity
|
double |
calcTSYSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Spread to Treasury Benchmark from Par ASW to Work-out
|
double |
calcTSYSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Spread to Treasury from PECS to Maturity
|
double |
calcTSYSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Spread to Treasury from PECS to Work-out
|
double |
calcTSYSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond spread to treasury to maturity from price
|
double |
calcTSYSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond spread to treasury to Work-out from price
|
double |
calcTSYSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond spread to treasury from Yield to maturity
|
double |
calcTSYSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond spread to treasury from Work-out Yield
|
double |
calcTSYSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond spread to treasury from Yield Spread to maturity
|
double |
calcTSYSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond spread to treasury from Yield Spread to Work-out
|
double |
calcTSYSpreadFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond spread to treasury from Yield to maturity
|
double |
calcTSYSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond spread to treasury from Z Spread to maturity
|
double |
calcTSYSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond spread to treasury from Z Spread to Work-out
|
double |
calcYieldFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond yield from Bond Basis to Maturity
|
double |
calcYieldFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond yield from Bond Basis to Work-out
|
double |
calcYieldFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond yield from credit basis to Maturity
|
double |
calcYieldFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond yield from credit basis to Work-out
|
double |
calcYieldFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblDiscountMargin)
Calculate the bond yield from Discount Margin to Maturity
|
double |
calcYieldFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond yield from Discount Margin to Work-out
|
double |
calcYieldFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond yield from G Spread to Maturity
|
double |
calcYieldFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond yield from G Spread to Work-out
|
double |
calcYieldFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond yield from I Spread to Maturity
|
double |
calcYieldFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond yield from I Spread to Work-out
|
double |
calcYieldFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond yield from Option Adjusted Spread to Maturity
|
double |
calcYieldFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond yield from Option Adjusted Spread to Work-out
|
double |
calcYieldFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond yield from Par ASW to Maturity
|
double |
calcYieldFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond yield from Par ASW to Work-out
|
double |
calcYieldFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Yield from PECS to Maturity
|
double |
calcYieldFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Yield from PECS to Work-out
|
double |
calcYieldFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond yield to maturity from price
|
double |
calcYieldFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond yield to Work-out from price
|
double |
calcYieldFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond yield from spread treasury benchmark to Maturity
|
double |
calcYieldFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond yield from spread treasury benchmark to Work-out
|
double |
calcYieldFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond yield from Yield Spread to Maturity
|
double |
calcYieldFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond yield from Yield Spread to Work-out
|
double |
calcYieldFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond yield from Z Spread to Maturity
|
double |
calcYieldFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond yield from Z Spread to Work-out
|
double |
calcYieldSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Yield Spread from Bond Basis to Maturity
|
double |
calcYieldSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond Yield Spread from Bond Basis to Work-out
|
double |
calcYieldSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the Yield Spread from credit basis to Maturity
|
double |
calcYieldSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the Yield Spread from credit basis to Work-out
|
double |
calcYieldSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the Yield Spread from Discount Margin to Maturity
|
double |
calcYieldSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the Yield Spread from Discount Margin to Work-out
|
double |
calcYieldSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Yield Spread from G Spread to Maturity
|
double |
calcYieldSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the Yield Spread from G Spread to Work-out
|
double |
calcYieldSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Yield Spread from I Spread to Maturity
|
double |
calcYieldSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the Yield Spread from I Spread to Work-out
|
double |
calcYieldSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the Yield Spread from Option Adjusted Spread to Maturity
|
double |
calcYieldSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the Yield Spread from Option Adjusted Spread to Work-out
|
double |
calcYieldSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Yield Spread from Par ASW to Maturity
|
double |
calcYieldSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the Yield Spread from Par ASW to Work-out
|
double |
calcYieldSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Yield Spread from PECS to Maturity
|
double |
calcYieldSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Yield Spread from PECS to Work-out
|
double |
calcYieldSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Yield Spread to maturity from price
|
double |
calcYieldSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the Yield Spread to Work-out from price
|
double |
calcYieldSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Yield Spread from spread treasury benchmark to Maturity
|
double |
calcYieldSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the Yield Spread from spread treasury benchmark to Work-out
|
double |
calcYieldSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the Yield Spread from yield to maturity
|
double |
calcYieldSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the Yield Spread from Yield to work-out
|
double |
calcYieldSpreadFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the Yield Spread from yield to maturity
|
double |
calcYieldSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Yield Spread from Z Spread to Maturity
|
double |
calcYieldSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the Yield Spread from Z Spread to Work-out
|
double |
calcYTMFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond yield to maturity from price
|
double |
calcZSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Z Spread from Bond Basis to maturity
|
double |
calcZSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond Z Spread from Bond Basis to work-out
|
double |
calcZSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Z Spread from credit basis to Maturity
|
double |
calcZSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond Z Spread from credit basis to Work-out
|
double |
calcZSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Z Spread from Discount Margin to Maturity
|
double |
calcZSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond Z Spread from Discount Margin to Work-out
|
double |
calcZSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Z Spread from G Spread to Maturity
|
double |
calcZSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Z Spread from G Spread to Work-out
|
double |
calcZSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Z Spread from I Spread to Maturity
|
double |
calcZSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Z Spread from I Spread to Work-out
|
double |
calcZSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond z spread to maturity from OAS
|
double |
calcZSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond z spread to Work-out from OAS
|
double |
calcZSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Z Spread from Par ASW to Maturity
|
double |
calcZSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Z Spread from Par ASW to Work-out
|
double |
calcZSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Z Spread from PECS to Maturity
|
double |
calcZSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Z Spread from PECS to Work-out
|
double |
calcZSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond z spread to maturity from price
|
double |
calcZSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond z spread to Work-out from price
|
double |
calcZSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Z Spread from spread treasury benchmark to Maturity
|
double |
calcZSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond Z Spread from spread treasury benchmark to Work-out
|
double |
calcZSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Z Spread from yield to maturity
|
double |
calcZSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond Z Spread from Yield to work-out
|
double |
calcZSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond Z Spread from Yield Spread to maturity
|
double |
calcZSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond Z Spread from Yield Spread to work-out
|
double |
calcZSpreadFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Z Spread from yield to maturity
|
Serializer |
deserialize(byte[] ab)
De-serialize from a byte array.
|
java.lang.String |
getAccrualDC()
Return the bond's accrual day count
|
java.lang.String |
getCalculationType()
Return the bond's calculation type
|
CashSettleParams |
getCashSettleParams()
Gets the component cash settlement parameters
|
java.lang.String |
getComponentName()
Gets the component name
|
double |
getCoupon(double dblValue,
ComponentMarketParams mktParams)
Gets the component's coupon at the given date
|
java.lang.String |
getCouponCurrency()
Return the bond's coupon currency
|
java.lang.String |
getCouponDC()
Return the bond's coupon day count
|
java.util.List<CouponPeriodCurveFactors> |
getCouponFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams)
Gets the coupon flow for the credit component
|
int |
getCouponFreq()
Return the bond's coupon frequency
|
java.util.List<Period> |
getCouponPeriod()
Gets the component's coupon periods
|
CouponSetting |
getCouponSetting()
Retrieves the bond coupon setting
|
java.lang.String |
getCouponType()
Return the bond's coupon type
|
java.lang.String |
getCreditCurveName()
Gets the credit curve name
|
CreditSetting |
getCreditSetting()
Retrieves the bond credit Setting
|
CreditSetting |
getCRValParams()
Get the credit component's Credit Valuation Parameters
|
CurrencySet |
getCurrencyParams()
Retrieves the bond currency set
|
double |
getCurrentCoupon()
Returns the current bond coupon
|
java.lang.String |
getCUSIP()
Gets the CUSIP
|
java.lang.String |
getEDSFCurveName()
Gets the EDSF curve name
|
JulianDate |
getEffectiveDate()
Get the Effective Date
|
double |
getEffectiveTsyBmkYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Retrieves the effective treasury benchmark yield from the valuation, the component market parameters,
and the market price
|
EmbeddedOptionSchedule |
getEmbeddedCallSchedule()
Return the bond's embedded call schedule
|
EmbeddedOptionSchedule |
getEmbeddedPutSchedule()
Return the bond's embedded put schedule
|
java.lang.String |
getFieldDelimiter()
Returns the Field Delimiter String
|
JulianDate |
getFinalMaturity()
Return the bond's final maturity
|
JulianDate |
getFirstCouponDate()
Get the First Coupon Date
|
java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> |
getFixings()
Retrieves the bond fixings
|
java.lang.String |
getFloatCouponConvention()
Return the bond's floating coupon convention
|
FloaterSetting |
getFloaterSetting()
Retrieves the bond floater setting
|
double |
getFloatSpread()
Returns the floating spread of the bond
|
IdentifierSet |
getIdentifierSet()
Retrieves the bond identifier set
|
double |
getInitialNotional()
Gets the Initial Notional for the Component
|
java.lang.String |
getIRCurveName()
Gets the IR curve name
|
java.lang.String |
getISIN()
Gets the ISIN
|
java.util.List<LossPeriodCurveFactors> |
getLossFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams)
Generates the loss flow for the credit component based on the pricer parameters
|
java.util.List<LossPeriodCurveFactors> |
getLossFlowFromPrice(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Gets the bond's loss flow from price
|
QuoteConvention |
getMarketConvention()
Retrieves the Bond's Market Convention
|
JulianDate |
getMaturityDate()
Get the Maturity Date
|
java.lang.String |
getMaturityType()
Return the bond's maturity type
|
double |
getNotional(double dblDate)
Gets the Notional for the Component at the given date
|
double |
getNotional(double dblDateStart,
double dblDateEnd)
Gets the time-weighted Notional for the Component between 2 dates
|
NotionalSetting |
getNotionalSetting()
Retrieves the bond notional Setting
|
java.lang.String |
getObjectTrailer()
Returns the Object Trailer String
|
JulianDate |
getPeriodResetDate(double dblValue)
Get the bond's reset date for the period identified by the valuation date
|
PeriodSet |
getPeriodSet()
Retrieves the bond period Set
|
java.lang.String |
getPrimaryCode()
Return the primary code
|
java.lang.String |
getRateIndex()
Returns the rate index of the bond
|
double |
getRecovery(double dblDate,
CreditCurve cc)
Get the recovery of the credit component for the given date
|
double |
getRecovery(double dblDateStart,
double dblDateEnd,
CreditCurve cc)
Get the time-weighted recovery of the credit component between the given dates
|
java.lang.String |
getRedemptionCurrency()
Return the bond's redemption currency
|
double |
getRedemptionValue()
Return the bond's redemption value
|
java.lang.String[] |
getSecondaryCode()
Gets the component's secondary codes
|
double[] |
getSecTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams)
Retrieves the array of double for the bond's secondary treasury spreads from the Valuation
Parameters and the component market parameters
|
TerminationSetting |
getTerminationSetting()
Retrieves the bond termination setting
|
java.lang.String |
getTicker()
Returns the bond ticker
|
java.lang.String |
getTradeCurrency()
Return the bond's trade currency
|
TreasuryBenchmark |
getTreasuryBenchmark()
Retrieves the bond treasury benchmark
|
java.lang.String |
getTreasuryCurveName()
Gets the treasury curve name
|
boolean |
hasBeenExercised()
Indicates if the bond has been exercised
|
boolean |
hasDefaulted()
Indicates if the bond has defaulted
|
boolean |
hasVariableCoupon()
Indicates if the bond has variable coupon
|
boolean |
inFirstCouponPeriod(double dblDate)
Indicates whether the given date is in the first coupon period
|
boolean |
inLastCouponPeriod(double dblDate)
Indicates whether the given date is in the final coupon period
|
boolean |
isCallable()
Indicates if the bond is callable
|
boolean |
isFloater()
Returns whether the bond is a floater
|
boolean |
isPerpetual()
Indicates if the bond is perpetual
|
boolean |
isPutable()
Indicates if the bond is putable
|
boolean |
isSinkable()
Indicates if the bond is sinkable
|
boolean |
isTradeable(ValuationParams valParams)
Calculates if the bond is tradeable on the given date
|
static void |
main(java.lang.String[] astrArgs) |
byte[] |
serialize()
Serialize into a byte array.
|
boolean |
setCouponSetting(CouponSetting cpnParams)
Sets the bond coupon setting
|
boolean |
setCreditSetting(CreditSetting crValParams)
Sets the bond Credit Setting
|
boolean |
setCurrencySet(CurrencySet ccyParams)
Sets the bond currency set
|
boolean |
setCurves(java.lang.String strIR,
java.lang.String strIRTSY,
java.lang.String strCC)
Sets the component's IR, treasury, and credit curve names
|
void |
setEmbeddedCallSchedule(EmbeddedOptionSchedule eos)
Sets the bond's embedded call schedule
|
void |
setEmbeddedPutSchedule(EmbeddedOptionSchedule eos)
Sets the bond's embedded put schedule
|
boolean |
setFixings(java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> mmFixings)
Sets the bond fixings
|
boolean |
setFloaterSetting(FloaterSetting fltParams)
Sets the bond floater setting
|
boolean |
setIdentifierSet(IdentifierSet idParams)
Sets the bond identifier set
|
boolean |
setMarketConvention(QuoteConvention mktConv)
Sets the Bond's Market Convention
|
boolean |
setNotionalSetting(NotionalSetting notlParams)
Sets the bond notional Setting
|
boolean |
setPeriodSet(PeriodSet periodParams)
Sets the bond Period Set
|
void |
setPrimaryCode(java.lang.String strCode)
Sets the component's primary code
|
RatesSetting |
setRatesSetting()
Retrieves the Bond Rates Setting
|
boolean |
setRatesSetting(RatesSetting irValParams)
Sets the Bond Rates Setting
|
boolean |
setTerminationSetting(TerminationSetting cfteParams)
Sets the bond termination setting
|
boolean |
setTreasuryBenchmark(TreasuryBenchmark tsyParams)
Sets the bond treasury benchmark
|
void |
showPeriods()
Displays all the coupon periods onto stdout
|
BondRVMeasures |
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
|
java.util.Map<java.lang.String,java.lang.Double> |
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> |
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
|
calcCustomScenarioMeasures, calcMeasures, calcMeasureValue
getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter
public BondComponent()
public BondComponent(byte[] ab) throws java.lang.Exception
ab
- Byte Arrayjava.lang.Exception
- Thrown if Bond cannot be properly de-serializedpublic java.util.Map<java.lang.String,java.lang.Double> standardRVMeasureMap(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams, WorkoutInfo wi, double dblPrice, java.lang.String strPrefix)
public double[] getSecTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams)
Bond
getSecTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- ComponentMarketParamspublic double getEffectiveTsyBmkYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
getEffectiveTsyBmkYield
in class Bond
valParams
- ValuationParamsmktParams
- ComponentMarketParamsquotingParams
- Bond Quoting parametersdblPrice
- Market pricejava.lang.Exception
- Thrown if the effective benchmark cannot be calculatedpublic boolean setTreasuryBenchmark(TreasuryBenchmark tsyParams)
BondProduct
setTreasuryBenchmark
in interface BondProduct
tsyParams
- Bond treasury benchmarkpublic TreasuryBenchmark getTreasuryBenchmark()
BondProduct
getTreasuryBenchmark
in interface BondProduct
public boolean setIdentifierSet(IdentifierSet idParams)
BondProduct
setIdentifierSet
in interface BondProduct
idParams
- Bond identifier setpublic IdentifierSet getIdentifierSet()
BondProduct
getIdentifierSet
in interface BondProduct
public boolean setCouponSetting(CouponSetting cpnParams)
BondProduct
setCouponSetting
in interface BondProduct
cpnParams
- Bond coupon settingpublic CouponSetting getCouponSetting()
BondProduct
getCouponSetting
in interface BondProduct
public boolean setCurrencySet(CurrencySet ccyParams)
BondProduct
setCurrencySet
in interface BondProduct
ccyParams
- Bond currency setpublic CurrencySet getCurrencyParams()
BondProduct
getCurrencyParams
in interface BondProduct
public boolean setFloaterSetting(FloaterSetting fltParams)
BondProduct
setFloaterSetting
in interface BondProduct
fltParams
- Bond floater settingpublic FloaterSetting getFloaterSetting()
BondProduct
getFloaterSetting
in interface BondProduct
public boolean setFixings(java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> mmFixings)
BondProduct
setFixings
in interface BondProduct
mmFixings
- Bond fixingspublic java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> getFixings()
BondProduct
getFixings
in interface BondProduct
public boolean setMarketConvention(QuoteConvention mktConv)
BondProduct
setMarketConvention
in interface BondProduct
mktConv
- Bond's Market Conventionpublic QuoteConvention getMarketConvention()
BondProduct
getMarketConvention
in interface BondProduct
public boolean setRatesSetting(RatesSetting irValParams)
BondProduct
setRatesSetting
in interface BondProduct
irValParams
- Bond Rates Settingpublic RatesSetting setRatesSetting()
BondProduct
setRatesSetting
in interface BondProduct
public boolean setCreditSetting(CreditSetting crValParams)
BondProduct
setCreditSetting
in interface BondProduct
crValParams
- Bond credit Settingpublic CreditSetting getCreditSetting()
BondProduct
getCreditSetting
in interface BondProduct
public boolean setTerminationSetting(TerminationSetting cfteParams)
BondProduct
setTerminationSetting
in interface BondProduct
cfteParams
- Bond termination settingpublic TerminationSetting getTerminationSetting()
BondProduct
getTerminationSetting
in interface BondProduct
public boolean setPeriodSet(PeriodSet periodParams)
BondProduct
setPeriodSet
in interface BondProduct
periodParams
- Bond Period Setpublic PeriodSet getPeriodSet()
BondProduct
getPeriodSet
in interface BondProduct
public boolean setNotionalSetting(NotionalSetting notlParams)
BondProduct
setNotionalSetting
in interface BondProduct
notlParams
- Bond Notional Settingpublic NotionalSetting getNotionalSetting()
BondProduct
getNotionalSetting
in interface BondProduct
public java.lang.String getPrimaryCode()
CalibratableComponent
getPrimaryCode
in class CalibratableComponent
public void setPrimaryCode(java.lang.String strCode)
CalibratableComponent
setPrimaryCode
in class CalibratableComponent
strCode
- Primary Codepublic java.lang.String[] getSecondaryCode()
CalibratableComponent
getSecondaryCode
in class CalibratableComponent
public java.lang.String getISIN()
Bond
public java.lang.String getCUSIP()
Bond
public java.lang.String getComponentName()
ComponentMarketParamRef
getComponentName
in interface ComponentMarketParamRef
public double getNotional(double dblDate) throws java.lang.Exception
Component
getNotional
in class Component
dblDate
- Double date inputjava.lang.Exception
- Thrown if Notional cannot be computedpublic double getNotional(double dblDateStart, double dblDateEnd) throws java.lang.Exception
Component
getNotional
in class Component
dblDateStart
- Double date firstdblDateEnd
- Double date secondjava.lang.Exception
- Thrown if Notional cannot be computedpublic double getInitialNotional() throws java.lang.Exception
Component
getInitialNotional
in class Component
java.lang.Exception
- Thrown if Initial Notional cannot be computedpublic double getRecovery(double dblDate, CreditCurve cc) throws java.lang.Exception
CreditComponent
getRecovery
in class CreditComponent
dblDate
- Double JulianDatecc
- Credit Curvejava.lang.Exception
- Thrown if recovery cannot be calculatedpublic double getRecovery(double dblDateStart, double dblDateEnd, CreditCurve cc) throws java.lang.Exception
CreditComponent
getRecovery
in class CreditComponent
dblDateStart
- Double JulianDatedblDateEnd
- Double JulianDatecc
- Credit Curvejava.lang.Exception
- Thrown if recovery cannot be calculatedpublic CreditSetting getCRValParams()
CreditComponent
getCRValParams
in class CreditComponent
public double getCoupon(double dblValue, ComponentMarketParams mktParams) throws java.lang.Exception
Component
public boolean setCurves(java.lang.String strIR, java.lang.String strIRTSY, java.lang.String strCC)
Component
public java.lang.String getIRCurveName()
ComponentMarketParamRef
getIRCurveName
in interface ComponentMarketParamRef
public java.lang.String getCreditCurveName()
ComponentMarketParamRef
getCreditCurveName
in interface ComponentMarketParamRef
public java.lang.String getTreasuryCurveName()
ComponentMarketParamRef
getTreasuryCurveName
in interface ComponentMarketParamRef
public java.lang.String getEDSFCurveName()
ComponentMarketParamRef
getEDSFCurveName
in interface ComponentMarketParamRef
public JulianDate getEffectiveDate()
Component
getEffectiveDate
in class Component
public JulianDate getMaturityDate()
Component
getMaturityDate
in class Component
public JulianDate getFirstCouponDate()
Component
getFirstCouponDate
in class Component
public java.util.List<Period> getCouponPeriod()
Component
getCouponPeriod
in class Component
public CashSettleParams getCashSettleParams()
Component
getCashSettleParams
in class Component
public java.util.List<CouponPeriodCurveFactors> getCouponFlow(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams)
CreditComponent
getCouponFlow
in class CreditComponent
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- Component Market Paramspublic java.util.List<LossPeriodCurveFactors> getLossFlow(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams)
CreditComponent
getLossFlow
in class CreditComponent
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- ComponentMarketParamspublic java.util.List<LossPeriodCurveFactors> getLossFlowFromPrice(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice)
Bond
getLossFlowFromPrice
in class Bond
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- ComponentMarketParamsquotingParams
- Bond Quoting parametersdblPrice
- Input pricepublic boolean isFloater()
Bond
public java.lang.String getRateIndex()
Bond
getRateIndex
in class Bond
public double getCurrentCoupon()
Bond
getCurrentCoupon
in class Bond
public double getFloatSpread()
Bond
getFloatSpread
in class Bond
public java.lang.String getTicker()
Bond
public void setEmbeddedCallSchedule(EmbeddedOptionSchedule eos)
BondProduct
setEmbeddedCallSchedule
in interface BondProduct
eos
- Bond's embedded call schedulepublic void setEmbeddedPutSchedule(EmbeddedOptionSchedule eos)
BondProduct
setEmbeddedPutSchedule
in interface BondProduct
eos
- Bond's embedded put schedulepublic boolean isCallable()
Bond
isCallable
in class Bond
public boolean isPutable()
Bond
public boolean isSinkable()
Bond
isSinkable
in class Bond
public boolean hasVariableCoupon()
Bond
hasVariableCoupon
in class Bond
public boolean hasBeenExercised()
Bond
hasBeenExercised
in class Bond
public boolean hasDefaulted()
Bond
hasDefaulted
in class Bond
public boolean isPerpetual()
Bond
isPerpetual
in class Bond
public boolean isTradeable(ValuationParams valParams) throws java.lang.Exception
Bond
isTradeable
in class Bond
valParams
- Valuation Parametersjava.lang.Exception
- Thrown if inputs are invalidpublic EmbeddedOptionSchedule getEmbeddedCallSchedule()
Bond
getEmbeddedCallSchedule
in interface BondProduct
getEmbeddedCallSchedule
in class Bond
public EmbeddedOptionSchedule getEmbeddedPutSchedule()
Bond
getEmbeddedPutSchedule
in interface BondProduct
getEmbeddedPutSchedule
in class Bond
public java.lang.String getCouponType()
Bond
getCouponType
in class Bond
public java.lang.String getCouponDC()
Bond
getCouponDC
in class Bond
public java.lang.String getAccrualDC()
Bond
getAccrualDC
in class Bond
public java.lang.String getMaturityType()
Bond
getMaturityType
in class Bond
public int getCouponFreq()
Bond
getCouponFreq
in class Bond
public JulianDate getFinalMaturity()
Bond
getFinalMaturity
in class Bond
public java.lang.String getCalculationType()
Bond
getCalculationType
in class Bond
public double getRedemptionValue()
Bond
getRedemptionValue
in class Bond
public java.lang.String getCouponCurrency()
Bond
getCouponCurrency
in class Bond
public java.lang.String getRedemptionCurrency()
Bond
getRedemptionCurrency
in class Bond
public boolean inFirstCouponPeriod(double dblDate) throws java.lang.Exception
Bond
inFirstCouponPeriod
in class Bond
dblDate
- Valuation Datejava.lang.Exception
- Thrown if inputs are invalidpublic boolean inLastCouponPeriod(double dblDate) throws java.lang.Exception
Bond
inLastCouponPeriod
in class Bond
dblDate
- Valuation Datejava.lang.Exception
- Thrown if inputs are invalidpublic java.lang.String getTradeCurrency()
Bond
getTradeCurrency
in class Bond
public java.lang.String getFloatCouponConvention()
Bond
getFloatCouponConvention
in class Bond
public JulianDate getPeriodResetDate(double dblValue)
Bond
getPeriodResetDate
in class Bond
dblValue
- Valuation Datepublic JulianDate calcPreviousCouponDate(JulianDate dt)
Bond
calcPreviousCouponDate
in class Bond
dt
- Valuation Datepublic double calcPreviousCouponRate(JulianDate dt, ComponentMarketParams mktParams) throws java.lang.Exception
Bond
calcPreviousCouponRate
in class Bond
dt
- Valuation DatemktParams
- Component Market Paramsjava.lang.Exception
- Thrown if the previous coupon rate cannot be calculatedpublic JulianDate calcCurrentCouponDate(JulianDate dt)
Bond
calcCurrentCouponDate
in class Bond
dt
- Valuation Datepublic JulianDate calcNextCouponDate(JulianDate dt)
Bond
calcNextCouponDate
in class Bond
dt
- Valuation Datepublic ExerciseInfo calcNextValidExerciseDateOfType(JulianDate dt, boolean bGetPut)
Bond
calcNextValidExerciseDateOfType
in class Bond
dt
- Valuation DatebGetPut
- TRUE => Gets the next put datepublic ExerciseInfo calcNextValidExerciseInfo(JulianDate dt)
Bond
calcNextValidExerciseInfo
in class Bond
dt
- Valuation Datepublic double calcCurrentCouponRate(JulianDate dt, ComponentMarketParams mktParams) throws java.lang.Exception
Bond
calcCurrentCouponRate
in class Bond
dt
- Valuation DatemktParams
- Component Market Paramsjava.lang.Exception
- Thrown if the current period coupon rate cannot be calculatedpublic double calcNextCouponRate(JulianDate dt, ComponentMarketParams mktParams) throws java.lang.Exception
Bond
calcNextCouponRate
in class Bond
dt
- Valuation DatemktParams
- Component Market Paramsjava.lang.Exception
- Thrown if the subsequent coupon rate cannot be calculatedpublic double calcAccrued(double dblDate, ComponentMarketParams mktParams) throws java.lang.Exception
Bond
calcAccrued
in class Bond
dblDate
- Valuation DatemktParams
- Bond market parametersjava.lang.Exception
- Thrown if accrual cannot be calculatedpublic double calcPriceFromBumpedZC(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZCBump) throws java.lang.Exception
Bond
calcPriceFromBumpedZC
in class Bond
valParams
- ValuationParamsmktParams
- ComponentMarketParamsquotingParams
- Quoting ParametersdblWorkoutDate
- Double Work-out datedblWorkoutFactor
- Double Work-out factordblZCBump
- Bump to be applied to the zero curvejava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromBumpedDC(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDCBump) throws java.lang.Exception
Bond
calcPriceFromBumpedDC
in class Bond
valParams
- ValuationParamsmktParams
- ComponentMarketParamsdblWorkoutDate
- Double Work-out datedblWorkoutFactor
- Double Work-out factordblDCBump
- Bump to be applied to the DCjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromBumpedCC(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis, boolean bFlat) throws java.lang.Exception
Bond
calcPriceFromBumpedCC
in class Bond
valParams
- ValuationParamsmktParams
- ComponentMarketParamsdblWorkoutDate
- Double Work-out datedblWorkoutFactor
- Double Work-out factordblCreditBasis
- Bump to be applied to the credit curvebFlat
- Is the CDS Curve flat (for PECS)java.lang.Exception
- Thrown if the bond's credit risky theoretical price cannot be calculatedpublic double calcPriceFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
Bond
calcPriceFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcPriceFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcPriceFromYTM
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcExercisePriceFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Exercise Yield inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcZSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
Bond
calcZSpreadFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcZSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcZSpreadFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcZSpreadFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcZSpreadFromYTM
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcExerciseZSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcExerciseZSpreadFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcOASFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
Bond
calcOASFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcOASFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcOASFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcOASFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcOASFromYTM
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcExerciseOASFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcExerciseOASFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcBondBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
Bond
calcBondBasisFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcBondBasisFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcBondBasisFromYTM
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcExerciseBondBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcExerciseBondBasisFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcYieldSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
Bond
calcYieldSpreadFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcYieldSpreadFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldSpreadFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcYieldSpreadFromYTM
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcExerciseYieldSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcExerciseYieldSpreadFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcCreditBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
Bond
calcCreditBasisFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcCreditBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcCreditBasisFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcCreditBasisFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcCreditBasisFromYTM
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcExerciseCreditBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcExerciseCreditBasisFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcPECSFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
Bond
calcPECSFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcPECSFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcPECSFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcPECSFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcPECSFromYTM
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcExercisePECSFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcExercisePECSFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcTSYSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
Bond
calcTSYSpreadFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcTSYSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcTSYSpreadFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcTSYSpreadFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcTSYSpreadFromYTM
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcExerciseTSYSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcExerciseTSYSpreadFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcGSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
Bond
calcGSpreadFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the G spread cannot be calculatedpublic double calcGSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
Bond
calcGSpreadFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the G spread cannot be calculatedpublic double calcGSpreadFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
Bond
calcGSpreadFromYTM
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the G spread cannot be calculatedpublic double calcExerciseGSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
Bond
calcExerciseGSpreadFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the G spread cannot be calculatedpublic double calcISpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
Bond
calcISpreadFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the I spread cannot be calculatedpublic double calcISpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
Bond
calcISpreadFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the I spread cannot be calculatedpublic double calcISpreadFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
Bond
calcISpreadFromYTM
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the I spread cannot be calculatedpublic double calcExerciseISpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
Bond
calcExerciseISpreadFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the I spread cannot be calculatedpublic double calcDiscountMarginFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
Bond
calcDiscountMarginFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDiscountMarginFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
Bond
calcDiscountMarginFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDiscountMarginFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
Bond
calcDiscountMarginFromYTM
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcExerciseDiscountMarginFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
Bond
calcExerciseDiscountMarginFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDurationFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
Bond
calcDurationFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcDurationFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcDurationFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcDurationFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcDurationFromYTM
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcExerciseDurationFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcExerciseDurationFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcParASWFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
Bond
calcParASWFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcParASWFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcParASWFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcParASWFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcParASWFromYTM
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcExerciseParASWFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcExerciseParASWFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcConvexityFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
Bond
calcConvexityFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcConvexityFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcConvexityFromYTM
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcExerciseConvexityFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
Bond
calcExerciseConvexityFromYield
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcYieldFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
Bond
calcYieldFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the yield to Work-out cannot be calculatedpublic double calcYieldFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcYieldFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the yield to maturity cannot be calculatedpublic double calcYTMFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcYTMFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the yield to maturity cannot be calculatedpublic WorkoutInfo calcExerciseYieldFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice)
Bond
calcExerciseYieldFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputpublic double calcZSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
Bond
calcZSpreadFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the z spread to Work-out cannot be calculatedpublic double calcZSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcZSpreadFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the z spread to maturity cannot be calculatedpublic double calcExerciseZSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcExerciseZSpreadFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the z spread to exercise cannot be calculatedpublic double calcOASFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
Bond
calcOASFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the Option Adjusted spread to Work-out cannot be calculatedpublic double calcOASFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcOASFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Option Adjusted spread to maturity cannot be calculatedpublic double calcExerciseOASFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcExerciseOASFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Option Adjusted spread to exercise cannot be calculatedpublic double calcBondBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
Bond
calcBondBasisFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the Bond Basis to Work-out cannot be calculatedpublic double calcBondBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcBondBasisFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Bond Basis to maturity cannot be calculatedpublic double calcExerciseBondBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcExerciseBondBasisFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Bond Basis to exercise cannot be calculatedpublic double calcYieldSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
Bond
calcYieldSpreadFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the Yield Spread to Work-out cannot be calculatedpublic double calcYieldSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcYieldSpreadFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Yield Spread to maturity cannot be calculatedpublic double calcExerciseYieldSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcExerciseYieldSpreadFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Yield Spread to exercise cannot be calculatedpublic double calcCreditBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
Bond
calcCreditBasisFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the credit basis to Work-out cannot be calculatedpublic double calcCreditBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcCreditBasisFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the credit basis to maturity cannot be calculatedpublic double calcExerciseCreditBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcExerciseCreditBasisFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the credit basis to exercise cannot be calculatedpublic double calcPECSFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
Bond
calcPECSFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the PECS to Work-out cannot be calculatedpublic double calcPECSFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcPECSFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the PECS to maturity cannot be calculatedpublic double calcExercisePECSFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcExercisePECSFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the PECS to exercise cannot be calculatedpublic double calcTSYSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
Bond
calcTSYSpreadFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the spread to treasury to Work-out cannot be calculatedpublic double calcTSYSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcTSYSpreadFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the spread to treasury to maturity cannot be calculatedpublic double calcExerciseTSYSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcExerciseTSYSpreadFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the spread to treasury to exercise cannot be calculatedpublic double calcGSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
Bond
calcGSpreadFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the G spread to Work-out cannot be calculatedpublic double calcGSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcGSpreadFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the G spread to maturity cannot be calculatedpublic double calcExerciseGSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcExerciseGSpreadFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the G spread to exercise cannot be calculatedpublic double calcISpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
Bond
calcISpreadFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the I spread to Work-out cannot be calculatedpublic double calcISpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcISpreadFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the I spread to maturity cannot be calculatedpublic double calcExerciseISpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcExerciseISpreadFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the I spread to exercise cannot be calculatedpublic double calcDiscountMarginFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
Bond
calcDiscountMarginFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the Discount Margin to Work-out cannot be calculatedpublic double calcDiscountMarginFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcDiscountMarginFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Discount Margin to maturity cannot be calculatedpublic double calcExerciseDiscountMarginFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcExerciseDiscountMarginFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Discount Margin to exercise cannot be calculatedpublic double calcDurationFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
Bond
calcDurationFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the duration to Work-out cannot be calculatedpublic double calcDurationFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcDurationFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the duration to maturity cannot be calculatedpublic double calcExerciseDurationFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcExerciseDurationFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the duration to exercise cannot be calculatedpublic double calcParASWFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
Bond
calcParASWFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the par ASW to Work-out cannot be calculatedpublic double calcParASWFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcParASWFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the par ASW to maturity cannot be calculatedpublic double calcExerciseParASWFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcExerciseParASWFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the par ASW to exercise cannot be calculatedpublic double calcConvexityFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
Bond
calcConvexityFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the convexity to Work-out cannot be calculatedpublic double calcConvexityFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcConvexityFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the convexity to maturity cannot be calculatedpublic double calcExerciseConvexityFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
Bond
calcExerciseConvexityFromPrice
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the convexity to exercise cannot be calculatedpublic double calcPriceFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
Bond
calcPriceFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcPriceFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcExercisePriceFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcBondBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
Bond
calcBondBasisFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcBondBasisFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcExerciseBondBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcExerciseBondBasisFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcYieldSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
Bond
calcYieldSpreadFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcYieldSpreadFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcExerciseYieldSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcExerciseYieldSpreadFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
Bond
calcYieldFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcYieldFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcYieldFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcExerciseYieldFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcExerciseYieldFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcOASFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
Bond
calcOASFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcOASFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcOASFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExerciseOASFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcExerciseOASFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcCreditBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
Bond
calcCreditBasisFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcCreditBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcCreditBasisFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcExerciseCreditBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcExerciseCreditBasisFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcPECSFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
Bond
calcPECSFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcPECSFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcPECSFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcExercisePECSFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcExercisePECSFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcTSYSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
Bond
calcTSYSpreadFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcTSYSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcTSYSpreadFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcExerciseTSYSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcExerciseTSYSpreadFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcGSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
Bond
calcGSpreadFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcGSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcGSpreadFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcExerciseGSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcExerciseGSpreadFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcISpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
Bond
calcISpreadFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcISpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcISpreadFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcExerciseISpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcExerciseISpreadFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcDiscountMarginFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
Bond
calcDiscountMarginFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDiscountMarginFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcDiscountMarginFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcExerciseDiscountMarginFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcExerciseDiscountMarginFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcDurationFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
Bond
calcDurationFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcDurationFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcDurationFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcExerciseDurationFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcExerciseDurationFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcParASWFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
Bond
calcParASWFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcParASWFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcParASWFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcExerciseParASWFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcExerciseParASWFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcConvexityFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
Bond
calcConvexityFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcConvexityFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcExerciseConvexityFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
Bond
calcExerciseConvexityFromZSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcPriceFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
Bond
calcPriceFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcPriceFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcExercisePriceFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcZSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
Bond
calcZSpreadFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Bond OASjava.lang.Exception
- Thrown if the z spread to Work-out cannot be calculatedpublic double calcZSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcZSpreadFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Bond OAS inputjava.lang.Exception
- Thrown if the z spread to maturity cannot be calculatedpublic double calcExerciseZSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcExerciseZSpreadFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Bond OAS Inputjava.lang.Exception
- Thrown if the z spread to exercise cannot be calculatedpublic double calcBondBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
Bond
calcBondBasisFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcBondBasisFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcExerciseBondBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcExerciseBondBasisFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcYieldSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
Bond
calcYieldSpreadFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcYieldSpreadFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcExerciseYieldSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcExerciseYieldSpreadFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
Bond
calcYieldFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- OAS to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcYieldFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcYieldFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcExerciseYieldFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcExerciseYieldFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcCreditBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
Bond
calcCreditBasisFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcCreditBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcCreditBasisFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcExerciseCreditBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcExerciseCreditBasisFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcPECSFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
Bond
calcPECSFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcPECSFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcPECSFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcExercisePECSFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcExercisePECSFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcTSYSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
Bond
calcTSYSpreadFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcTSYSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcTSYSpreadFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcExerciseTSYSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcExerciseTSYSpreadFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcGSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
Bond
calcGSpreadFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcGSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcGSpreadFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcExerciseGSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcExerciseGSpreadFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcISpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
Bond
calcISpreadFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcISpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcISpreadFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcExerciseISpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcExerciseISpreadFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcDiscountMarginFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
Bond
calcDiscountMarginFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDiscountMarginFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcDiscountMarginFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcExerciseDiscountMarginFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcExerciseDiscountMarginFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDurationFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
Bond
calcDurationFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcDurationFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcDurationFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcExerciseDurationFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcExerciseDurationFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcParASWFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
Bond
calcParASWFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcParASWFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcParASWFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcExerciseParASWFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcExerciseParASWFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcConvexityFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
Bond
calcConvexityFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcConvexityFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcExerciseConvexityFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
Bond
calcExerciseConvexityFromOAS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcPriceFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
Bond
calcPriceFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcPriceFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcExercisePriceFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcZSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
Bond
calcZSpreadFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcZSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcZSpreadFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcExerciseZSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcExerciseZSpreadFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcOASFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
Bond
calcOASFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcOASFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcOASFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcExerciseOASFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcExerciseOASFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcYieldFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
Bond
calcYieldFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcYieldFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcYieldFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcExerciseYieldFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcExerciseYieldFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcYieldSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
Bond
calcYieldSpreadFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcYieldSpreadFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcExerciseYieldSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcExerciseYieldSpreadFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcCreditBasisFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
Bond
calcCreditBasisFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcCreditBasisFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcCreditBasisFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcExerciseCreditBasisFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcExerciseCreditBasisFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcPECSFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
Bond
calcPECSFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcPECSFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcPECSFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcExercisePECSFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcExercisePECSFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcTSYSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
Bond
calcTSYSpreadFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcTSYSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcTSYSpreadFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcExerciseTSYSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcExerciseTSYSpreadFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcGSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
Bond
calcGSpreadFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcGSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcGSpreadFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcExerciseGSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcExerciseGSpreadFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcISpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
Bond
calcISpreadFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcISpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcISpreadFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcExerciseISpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcExerciseISpreadFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcDiscountMarginFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
Bond
calcDiscountMarginFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDiscountMarginFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcDiscountMarginFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcExerciseDiscountMarginFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcExerciseDiscountMarginFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDurationFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
Bond
calcDurationFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcDurationFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcDurationFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcExerciseDurationFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcExerciseDurationFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcParASWFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
Bond
calcParASWFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic double calcParASWFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcParASWFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic double calcExerciseParASWFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcExerciseParASWFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcConvexityFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
Bond
calcConvexityFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcConvexityFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcExerciseConvexityFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
Bond
calcExerciseConvexityFromBondBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic double calcPriceFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
Bond
calcPriceFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcPriceFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcExercisePriceFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcZSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
Bond
calcZSpreadFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- YieldSpread to work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcZSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcZSpreadFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcExerciseZSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcExerciseZSpreadFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcOASFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
Bond
calcOASFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcOASFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcOASFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcExerciseOASFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcExerciseOASFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcYieldFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
Bond
calcYieldFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcYieldFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcYieldFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcExerciseYieldFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcExerciseYieldFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcBondBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
Bond
calcBondBasisFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcBondBasisFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcExerciseBondBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcExerciseBondBasisFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcCreditBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
Bond
calcCreditBasisFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcCreditBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcCreditBasisFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcExerciseCreditBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcExerciseCreditBasisFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcPECSFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
Bond
calcPECSFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcPECSFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcPECSFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcExercisePECSFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcExercisePECSFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcTSYSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
Bond
calcTSYSpreadFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcTSYSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcTSYSpreadFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcExerciseTSYSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcExerciseTSYSpreadFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcGSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
Bond
calcGSpreadFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcGSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcGSpreadFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcExerciseGSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcExerciseGSpreadFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcISpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
Bond
calcISpreadFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcISpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcISpreadFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcExerciseISpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcExerciseISpreadFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcDiscountMarginFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
Bond
calcDiscountMarginFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDiscountMarginFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcDiscountMarginFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcExerciseDiscountMarginFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcExerciseDiscountMarginFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDurationFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
Bond
calcDurationFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcDurationFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcDurationFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcExerciseDurationFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcExerciseDurationFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcParASWFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
Bond
calcParASWFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic double calcParASWFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcParASWFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic double calcExerciseParASWFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcExerciseParASWFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcConvexityFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
Bond
calcConvexityFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcConvexityFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcExerciseConvexityFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
Bond
calcExerciseConvexityFromYieldSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic double calcPriceFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
Bond
calcPriceFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcPriceFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcExercisePriceFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcYieldFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
Bond
calcYieldFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcYieldFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcYieldFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcExerciseYieldFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcExerciseYieldFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcZSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
Bond
calcZSpreadFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcZSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcZSpreadFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcExerciseZSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcExerciseZSpreadFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcOASFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
Bond
calcOASFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcOASFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcOASFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcExerciseOASFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcExerciseOASFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcBondBasisFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
Bond
calcBondBasisFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcBondBasisFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcExerciseBondBasisFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcExerciseBondBasisFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcYieldSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
Bond
calcYieldSpreadFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcYieldSpreadFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcExerciseYieldSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcExerciseYieldSpreadFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcTSYSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
Bond
calcTSYSpreadFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic double calcTSYSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcTSYSpreadFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic double calcExerciseTSYSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcExerciseTSYSpreadFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic double calcGSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
Bond
calcGSpreadFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcGSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcGSpreadFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcExerciseGSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcExerciseGSpreadFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcISpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
Bond
calcISpreadFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcISpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcISpreadFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcExerciseISpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcExerciseISpreadFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcDiscountMarginFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
Bond
calcDiscountMarginFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDiscountMarginFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcDiscountMarginFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcExerciseDiscountMarginFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcExerciseDiscountMarginFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcPECSFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
Bond
calcPECSFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcPECSFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcPECSFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcExercisePECSFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcExercisePECSFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcDurationFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
Bond
calcDurationFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic double calcDurationFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcDurationFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic double calcExerciseDurationFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcExerciseDurationFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic double calcParASWFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
Bond
calcParASWFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcParASWFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcParASWFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcExerciseParASWFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcExerciseParASWFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcConvexityFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
Bond
calcConvexityFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcConvexityFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcExerciseConvexityFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblCreditBasis) throws java.lang.Exception
Bond
calcExerciseConvexityFromCreditBasis
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcPriceFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
Bond
calcPriceFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Price cannot be calculatedpublic double calcPriceFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcPriceFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Price cannot be calculatedpublic double calcExercisePriceFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcExercisePriceFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Price cannot be calculatedpublic double calcYieldFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
Bond
calcYieldFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Yield cannot be calculatedpublic double calcYieldFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcYieldFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Yield cannot be calculatedpublic double calcExerciseYieldFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcExerciseYieldFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Yield cannot be calculatedpublic double calcZSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
Bond
calcZSpreadFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcZSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcZSpreadFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcExerciseZSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcExerciseZSpreadFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcOASFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
Bond
calcOASFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcOASFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcOASFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcExerciseOASFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcExerciseOASFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcBondBasisFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
Bond
calcBondBasisFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcBondBasisFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcExerciseBondBasisFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcExerciseBondBasisFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcYieldSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
Bond
calcYieldSpreadFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcYieldSpreadFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcExerciseYieldSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcExerciseYieldSpreadFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcTSYSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
Bond
calcTSYSpreadFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic double calcTSYSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcTSYSpreadFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic double calcExerciseTSYSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcExerciseTSYSpreadFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic double calcGSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
Bond
calcGSpreadFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcGSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcGSpreadFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcExerciseGSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcExerciseGSpreadFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcISpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
Bond
calcISpreadFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcISpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcISpreadFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcExerciseISpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcExerciseISpreadFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcDiscountMarginFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
Bond
calcDiscountMarginFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDiscountMarginFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcDiscountMarginFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcExerciseDiscountMarginFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
Bond
calcExerciseDiscountMarginFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcCreditBasisFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
Bond
calcCreditBasisFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcCreditBasisFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblPECS) throws java.lang.Exception
Bond
calcCreditBasisFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcExerciseCreditBasisFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblPECS) throws java.lang.Exception
Bond
calcExerciseCreditBasisFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcDurationFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
Bond
calcDurationFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic double calcDurationFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblPECS) throws java.lang.Exception
Bond
calcDurationFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic double calcExerciseDurationFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblPECS) throws java.lang.Exception
Bond
calcExerciseDurationFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic double calcParASWFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
Bond
calcParASWFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcParASWFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblPECS) throws java.lang.Exception
Bond
calcParASWFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic double calcExerciseParASWFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblPECS) throws java.lang.Exception
Bond
calcExerciseParASWFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic double calcConvexityFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
Bond
calcConvexityFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic double calcConvexityFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblPECS) throws java.lang.Exception
Bond
calcConvexityFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic double calcExerciseConvexityFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblPECS) throws java.lang.Exception
Bond
calcExerciseConvexityFromPECS
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic double calcPriceFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
Bond
calcPriceFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcPriceFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcExercisePriceFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcYieldFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
Bond
calcYieldFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcYieldFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcYieldFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcExerciseYieldFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcExerciseYieldFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcZSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
Bond
calcZSpreadFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcZSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcZSpreadFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcExerciseZSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcExerciseZSpreadFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcOASFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
Bond
calcOASFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcOASFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcOASFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcExerciseOASFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcExerciseOASFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcBondBasisFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
Bond
calcBondBasisFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcBondBasisFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcExerciseBondBasisFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcExerciseBondBasisFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcYieldSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
Bond
calcYieldSpreadFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcYieldSpreadFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcExerciseYieldSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcExerciseYieldSpreadFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcCreditBasisFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
Bond
calcCreditBasisFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcCreditBasisFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcCreditBasisFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcExerciseCreditBasisFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcExerciseCreditBasisFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcPECSFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
Bond
calcPECSFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcPECSFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcPECSFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcExercisePECSFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcExercisePECSFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcGSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
Bond
calcGSpreadFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcGSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcGSpreadFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcExerciseGSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcExerciseGSpreadFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcISpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
Bond
calcISpreadFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcISpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcISpreadFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcExerciseISpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcExerciseISpreadFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcDiscountMarginFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
Bond
calcDiscountMarginFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDiscountMarginFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcDiscountMarginFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcExerciseDiscountMarginFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcExerciseDiscountMarginFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDurationFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
Bond
calcDurationFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcDurationFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcDurationFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcExerciseDurationFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcExerciseDurationFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcParASWFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
Bond
calcParASWFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcParASWFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcParASWFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcExerciseParASWFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcExerciseParASWFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcConvexityFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
Bond
calcConvexityFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcConvexityFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcExerciseConvexityFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
Bond
calcExerciseConvexityFromTSYSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcPriceFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
Bond
calcPriceFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The G Spread to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcPriceFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcExercisePriceFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcYieldFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
Bond
calcYieldFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The G Spread to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcYieldFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblGSpread) throws java.lang.Exception
Bond
calcYieldFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblGSpread
- The G Spread to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcExerciseYieldFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblGSpread) throws java.lang.Exception
Bond
calcExerciseYieldFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblGSpread
- The G Spread to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcZSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
Bond
calcZSpreadFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The G Spread to Work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcZSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcZSpreadFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcExerciseZSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcExerciseZSpreadFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcOASFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
Bond
calcOASFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The G Spread to Work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcOASFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcOASFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcExerciseOASFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcExerciseOASFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcBondBasisFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
Bond
calcBondBasisFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The G Spread to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcBondBasisFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcExerciseBondBasisFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcExerciseBondBasisFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcYieldSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
Bond
calcYieldSpreadFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The G Spread to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcYieldSpreadFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcExerciseYieldSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcExerciseYieldSpreadFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcCreditBasisFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
Bond
calcCreditBasisFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The Credit Basis to Work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcCreditBasisFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcCreditBasisFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The Credit Basis to Maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcExerciseCreditBasisFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcExerciseCreditBasisFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The Credit Basis to Exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcPECSFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
Bond
calcPECSFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The PECS to Work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcPECSFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcPECSFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcExercisePECSFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcExercisePECSFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcTSYSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
Bond
calcTSYSpreadFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The Credit Basis to Work-out inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic double calcTSYSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblGSpread) throws java.lang.Exception
Bond
calcTSYSpreadFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblGSpread
- The Credit Basis to Maturity inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic double calcExerciseTSYSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblGSpread) throws java.lang.Exception
Bond
calcExerciseTSYSpreadFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblGSpread
- The Credit Basis to Exercise inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic double calcISpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
Bond
calcISpreadFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The Credit Basis to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcISpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblGSpread) throws java.lang.Exception
Bond
calcISpreadFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblGSpread
- The Credit Basis to Maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcExerciseISpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblGSpread) throws java.lang.Exception
Bond
calcExerciseISpreadFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblGSpread
- The Credit Basis to Exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcDiscountMarginFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
Bond
calcDiscountMarginFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The Credit Basis to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDiscountMarginFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblGSpread) throws java.lang.Exception
Bond
calcDiscountMarginFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblGSpread
- The Credit Basis to Maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcExerciseDiscountMarginFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblGSpread) throws java.lang.Exception
Bond
calcExerciseDiscountMarginFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblGSpread
- The Credit Basis to Exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDurationFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
Bond
calcDurationFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The Credit Basis to Work-out inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic double calcDurationFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcDurationFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The Credit Basis to Maturity inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic double calcExerciseDurationFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcExerciseDurationFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The Credit Basis to Exercise inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic double calcParASWFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
Bond
calcParASWFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The Credit Basis to Work-out inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic double calcParASWFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcParASWFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The Credit Basis to Maturity inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic double calcExerciseParASWFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcExerciseParASWFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The Credit Basis to Exercise inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic double calcConvexityFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
Bond
calcConvexityFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The Credit Basis to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcConvexityFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The Credit Basis to Maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcExerciseConvexityFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
Bond
calcExerciseConvexityFromGSpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The Credit Basis to Exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcPriceFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
Bond
calcPriceFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcPriceFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcExercisePriceFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcYieldFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
Bond
calcYieldFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcYieldFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblISpread) throws java.lang.Exception
Bond
calcYieldFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcExerciseYieldFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblISpread) throws java.lang.Exception
Bond
calcExerciseYieldFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcZSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
Bond
calcZSpreadFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcZSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcZSpreadFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcExerciseZSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcExerciseZSpreadFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcOASFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
Bond
calcOASFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcOASFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcOASFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcExerciseOASFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcExerciseOASFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcBondBasisFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
Bond
calcBondBasisFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcBondBasisFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcExerciseBondBasisFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcExerciseBondBasisFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcYieldSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
Bond
calcYieldSpreadFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcYieldSpreadFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcExerciseYieldSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcExerciseYieldSpreadFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcCreditBasisFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
Bond
calcCreditBasisFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcCreditBasisFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcCreditBasisFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcExerciseCreditBasisFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcExerciseCreditBasisFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcPECSFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
Bond
calcPECSFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcPECSFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcPECSFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcExercisePECSFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcExercisePECSFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcTSYSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
Bond
calcTSYSpreadFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic double calcTSYSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblISpread) throws java.lang.Exception
Bond
calcTSYSpreadFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic double calcExerciseTSYSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblISpread) throws java.lang.Exception
Bond
calcExerciseTSYSpreadFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic double calcGSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
Bond
calcGSpreadFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcGSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblISpread) throws java.lang.Exception
Bond
calcGSpreadFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcExerciseGSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblISpread) throws java.lang.Exception
Bond
calcExerciseGSpreadFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcDurationFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
Bond
calcDurationFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic double calcDurationFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcDurationFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic double calcExerciseDurationFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcExerciseDurationFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic double calcParASWFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
Bond
calcParASWFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic double calcParASWFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcParASWFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic double calcExerciseParASWFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcExerciseParASWFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic double calcConvexityFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
Bond
calcConvexityFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcConvexityFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcExerciseConvexityFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
Bond
calcExerciseConvexityFromISpread
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcPriceFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
Bond
calcPriceFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcPriceFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcExercisePriceFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcYieldFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
Bond
calcYieldFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcYieldFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcYieldFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcExerciseYieldFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcExerciseYieldFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcZSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
Bond
calcZSpreadFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcZSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcZSpreadFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcExerciseZSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcExerciseZSpreadFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcOASFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
Bond
calcOASFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcOASFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcOASFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcExerciseOASFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcExerciseOASFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcBondBasisFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
Bond
calcBondBasisFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcBondBasisFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcExerciseBondBasisFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcExerciseBondBasisFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcYieldSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
Bond
calcYieldSpreadFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcYieldSpreadFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcExerciseYieldSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcExerciseYieldSpreadFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcCreditBasisFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
Bond
calcCreditBasisFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcCreditBasisFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcCreditBasisFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcExerciseCreditBasisFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcExerciseCreditBasisFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcPECSFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
Bond
calcPECSFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcPECSFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcPECSFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcExercisePECSFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcExercisePECSFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcTSYSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
Bond
calcTSYSpreadFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic double calcTSYSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcTSYSpreadFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic double calcExerciseTSYSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcExerciseTSYSpreadFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic double calcGSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
Bond
calcGSpreadFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcGSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcGSpreadFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcExerciseGSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcExerciseGSpreadFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcDurationFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
Bond
calcDurationFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic double calcDurationFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcDurationFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic double calcExerciseDurationFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcExerciseDurationFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic double calcParASWFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
Bond
calcParASWFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic double calcParASWFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcParASWFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic double calcExerciseParASWFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcExerciseParASWFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic double calcConvexityFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
Bond
calcConvexityFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcConvexityFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcExerciseConvexityFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
Bond
calcExerciseConvexityFromDiscountMargin
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcPriceFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
Bond
calcPriceFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcPriceFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcExercisePriceFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcYieldFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
Bond
calcYieldFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcYieldFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblParASW) throws java.lang.Exception
Bond
calcYieldFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcExerciseYieldFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblParASW) throws java.lang.Exception
Bond
calcExerciseYieldFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcZSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
Bond
calcZSpreadFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcZSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcZSpreadFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcExerciseZSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcExerciseZSpreadFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcOASFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
Bond
calcOASFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcOASFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcOASFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcExerciseOASFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcExerciseOASFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcBondBasisFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
Bond
calcBondBasisFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcBondBasisFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcExerciseBondBasisFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcExerciseBondBasisFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcYieldSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
Bond
calcYieldSpreadFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcYieldSpreadFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcExerciseYieldSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcExerciseYieldSpreadFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcCreditBasisFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
Bond
calcCreditBasisFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcCreditBasisFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcCreditBasisFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcExerciseCreditBasisFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcExerciseCreditBasisFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcPECSFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
Bond
calcPECSFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcPECSFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcPECSFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcExercisePECSFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcExercisePECSFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcTSYSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
Bond
calcTSYSpreadFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the Spread to Treasury Benchmark cannot be calculatedpublic double calcTSYSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcTSYSpreadFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the Spread to Treasury Benchmark cannot be calculatedpublic double calcExerciseTSYSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcExerciseTSYSpreadFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the Spread to Treasury Benchmark cannot be calculatedpublic double calcGSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
Bond
calcGSpreadFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcGSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblParASW) throws java.lang.Exception
Bond
calcGSpreadFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcExerciseGSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblParASW) throws java.lang.Exception
Bond
calcExerciseGSpreadFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcISpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
Bond
calcISpreadFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcISpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblParASW) throws java.lang.Exception
Bond
calcISpreadFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcExerciseISpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblParASW) throws java.lang.Exception
Bond
calcExerciseISpreadFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcDiscountMarginFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
Bond
calcDiscountMarginFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDiscountMarginFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblParASW) throws java.lang.Exception
Bond
calcDiscountMarginFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcExerciseDiscountMarginFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblParASW) throws java.lang.Exception
Bond
calcExerciseDiscountMarginFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDurationFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
Bond
calcDurationFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic double calcDurationFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcDurationFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic double calcExerciseDurationFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcExerciseDurationFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic double calcConvexityFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
Bond
calcConvexityFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcConvexityFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcExerciseConvexityFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
Bond
calcExerciseConvexityFromParASW
in class Bond
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic BondRVMeasures standardMeasures(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams, WorkoutInfo wi, double dblPrice)
Bond
standardMeasures
in class Bond
valParams
- ValuationParamspricerParams
- Pricing ParametersmktParams
- Bond market parametersquotingParams
- Bond Quoting parameterswi
- Work out InformationdblPrice
- Input Pricepublic java.util.Map<java.lang.String,java.lang.Double> value(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams)
Component
public void showPeriods() throws java.lang.Exception
Bond
showPeriods
in class Bond
java.lang.Exception
- Thrown if the coupon periods cannot be displayed onto stdoutpublic java.lang.String getFieldDelimiter()
Serializer
getFieldDelimiter
in class Serializer
public java.lang.String getObjectTrailer()
Serializer
getObjectTrailer
in class Serializer
public byte[] serialize()
Serializer
serialize
in class Serializer
public Serializer deserialize(byte[] ab)
Serializer
deserialize
in class Serializer
public static final void main(java.lang.String[] astrArgs) throws java.lang.Exception
java.lang.Exception