Package | Description |
---|---|
org.drip.param.definition | |
org.drip.param.market | |
org.drip.product.creator | |
org.drip.product.credit | |
org.drip.product.rates | |
org.drip.service.api | |
org.drip.service.env |
Modifier and Type | Method and Description |
---|---|
abstract CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParams.getCreditBumpBMP(BasketProduct bp,
boolean bBump)
Get the map of credit Tenor bumped curves for the given BasketProduct
|
abstract CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<BasketMarketParams>> |
MarketParams.getCreditTenorBumpBMP(BasketProduct bp,
boolean bBump)
Get the double map of credit Tenor bumped curves for each credit curve for the given BasketProduct
|
abstract CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParams.getIRBumpBMP(BasketProduct bp,
boolean bBump)
Get the map of IR Tenor bumped curves for the given BasketProduct
|
abstract CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<BasketMarketParams>> |
MarketParams.getIRTenorBumpBMP(BasketProduct bp,
boolean bBump)
Get the double map of IR Tenor bumped curves for each IR curve for the given BasketProduct
|
abstract CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParams.getRecoveryBumpBMP(BasketProduct bp,
boolean bBump)
Get the map of Recovery Tenor bumped curves for the given BasketProduct
|
abstract BasketMarketParams |
MarketParams.getScenBMP(BasketProduct bp,
java.lang.String strScen)
Get the BasketMarketParams for the given basket product and the scenario
|
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParamsContainer.getCreditBumpBMP(BasketProduct bp,
boolean bBump) |
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<BasketMarketParams>> |
MarketParamsContainer.getCreditTenorBumpBMP(BasketProduct bp,
boolean bBump) |
CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParamsContainer.getIRBumpBMP(BasketProduct bp,
boolean bBump) |
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<BasketMarketParams>> |
MarketParamsContainer.getIRTenorBumpBMP(BasketProduct bp,
boolean bBump) |
CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParamsContainer.getRecoveryBumpBMP(BasketProduct bp,
boolean bBump) |
BasketMarketParams |
MarketParamsContainer.getScenBMP(BasketProduct bp,
java.lang.String strScen) |
Modifier and Type | Method and Description |
---|---|
static BasketProduct |
BondBasketBuilder.CreateBondBasket(java.lang.String strName,
Bond[] aBond,
double[] adblWeights,
JulianDate dtEffective,
double dblNotional)
BondBasket constructor
|
static BasketProduct |
CDSBasketBuilder.FromByteArray(byte[] ab)
Create a CDSBasket Instance from the byte array
|
static BasketProduct |
BondBasketBuilder.FromByteArray(byte[] ab)
Create a BondBasket Instance from the byte array
|
static BasketProduct |
CDSBasketBuilder.MakeBasketDefaultSwap(JulianDate dtEffective,
JulianDate dtMaturity,
Component[] aComp)
Creates the basket default swap from effective, maturity, and an array of the credit components.
|
static BasketProduct |
CDSBasketBuilder.MakeCDX(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
java.lang.String strIR,
java.lang.String[] astrCC,
double[] adblWeight,
java.lang.String strName)
Creates the named CDX from effective, maturity, coupon, IR curve name, credit curve name set, and
their weights.
|
static BasketProduct |
CDSBasketBuilder.MakeCDX(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
java.lang.String strIR,
java.lang.String[] astrCC,
java.lang.String strName)
Creates the named CDX from effective, maturity, coupon, IR curve name, credit curve name set.
|
Modifier and Type | Class and Description |
---|---|
class |
BondBasket
BondBasket implements the bond basket product contract details.
|
class |
CDSBasket
CDSBasket implements the basket default swap product contract details.
|
Modifier and Type | Class and Description |
---|---|
class |
RatesBasket
RatesBasket contains the implementation of the Basket of Rates Component legs.
|
Modifier and Type | Method and Description |
---|---|
static BasketProduct |
CreditAnalytics.MakeBondBasket(java.lang.String strName,
java.lang.String[] astrBondId,
double[] adblWeights,
JulianDate dtEffective,
double dblNotional) |
static BasketProduct |
CreditAnalytics.MakeCDX(java.lang.String strIndex,
int iSeries,
java.lang.String strTenor)
Makes an on-the-run CDX product for the given index, the series, and the tenor
|
static BasketProduct |
CreditAnalytics.MakeCDX(java.lang.String strIndex,
JulianDate dt,
java.lang.String strTenor)
Makes an on-the-run CDX product for the given index, the date, and the tenor
|
Modifier and Type | Method and Description |
---|---|
static BasketProduct |
StandardCDXManager.GetOnTheRun(java.lang.String strIndex,
JulianDate dt,
java.lang.String strTenor)
Retrieves the on-the-run for the index and tenor corresponding to the specified date
|
static BasketProduct |
StandardCDXManager.MakeStandardCDX(java.lang.String strIndex,
int iSeries,
java.lang.String strTenor)
Creates a standard CDX from the index code, the index series, and the tenor.
|