Package | Description |
---|---|
org.drip.analytics.curve | |
org.drip.analytics.definition | |
org.drip.analytics.support | |
org.drip.param.definition | |
org.drip.param.market |
Modifier and Type | Method and Description |
---|---|
DiscountCurve |
PolynomialSplineDF.createTweakedCurve(NodeTweakParams ntp) |
DiscountCurve |
PolynomialForwardRate.createTweakedCurve(NodeTweakParams ntp) |
DiscountCurve |
HyperbolicTensionForwardRate.createTweakedCurve(NodeTweakParams ntp) |
Curve |
DerivedZeroRate.createTweakedCurve(NodeTweakParams ntp) |
Curve |
DerivedFXForward.createTweakedCurve(NodeTweakParams ntp) |
Curve |
DerivedFXBasis.createTweakedCurve(NodeTweakParams ntp) |
DiscountCurve |
ConstantForwardRate.createTweakedCurve(NodeTweakParams ntp) |
CreditCurve |
ConstantForwardHazard.createTweakedCurve(NodeTweakParams ntp) |
Modifier and Type | Method and Description |
---|---|
Curve |
Curve.createTweakedCurve(NodeTweakParams ntp)
Create the curve from the tweaked parameters
|
Modifier and Type | Method and Description |
---|---|
static double[] |
AnalyticsHelper.BumpNTPNode(double[] adblQuotesIn,
NodeTweakParams ntp)
Bump the node (or the given set of nodes) in accordance with the specified tweak parameters
|
Modifier and Type | Class and Description |
---|---|
class |
CreditNodeTweakParams
CreditNodeTweakParams contains the place holder for the credit curve scenario tweak parameters: the
measure, the curve node, and the nodal calibration type (entire curve/flat or a given tenor point).
|
Modifier and Type | Method and Description |
---|---|
abstract boolean |
CreditScenarioCurve.cookCustomCC(java.lang.String strName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblRecovery,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat,
NodeTweakParams ntpDC,
NodeTweakParams ntpTSY,
NodeTweakParams ntpEDSF,
NodeTweakParams ntpCC)
Cook the credit curve according to the desired tweak parameters
|
abstract boolean |
RatesScenarioCurve.cookCustomDC(java.lang.String strCurveName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
NodeTweakParams ntpTSY,
NodeTweakParams ntpEDSF,
NodeTweakParams ntpDC)
Cooks a custom discount curve according to the desired tweak parameters
|
Modifier and Type | Method and Description |
---|---|
boolean |
CreditCurveScenarioContainer.cookCustomCC(java.lang.String strName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblRecovery,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat,
NodeTweakParams ntpDC,
NodeTweakParams ntpTSY,
NodeTweakParams ntpEDSF,
NodeTweakParams ntpCC) |
boolean |
RatesCurveScenarioContainer.cookCustomDC(java.lang.String strCurveName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
NodeTweakParams ntpTSY,
NodeTweakParams ntpEDSF,
NodeTweakParams ntpDC) |