Class and Description |
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CurrencyPair
CurrencyPair class contains the numerator currency, the denominator currency, the quote currency, and the
PIP Factor.
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Class and Description |
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FloatingRateIndex
FloatingRateIndex contains the Index Parameters corresponding to a Floating Stream.
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Class and Description |
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FloatingRateIndex
FloatingRateIndex contains the Index Parameters corresponding to a Floating Stream.
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Class and Description |
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CDXRefDataParams
CDXRefDataParams contains the complete set of reference data that corresponds to the contract of a
standard CDX.
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CouponSetting
CouponSetting contains the coupon type, schedule, and the coupon amount for the component.
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CreditSetting
CreditSetting contains the credit related valuation parameters - use default pay lag, use curve or the
component recovery, component recovery, credit curve name, and whether there is accrual on default.
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CurrencyPair
CurrencyPair class contains the numerator currency, the denominator currency, the quote currency, and the
PIP Factor.
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CurrencySet
CurrencySet contains the component's trade, the coupon, and the redemption currencies.
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FactorSchedule
FactorSchedule the contains array of dates and factors.
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FloaterSetting
FloaterSetting contains the component's floating rate parameters.
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IdentifierSet
IdentifierSet contains the component's identifier parameters - ISIN, CUSIP, ID, and ticker.
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NotionalSetting
NotionalSetting contains the product's notional schedule and the amount.
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PeriodGenerator
PeriodGenerator generates the component coupon periods from flexible inputs.
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PeriodSet
PeriodSet is the place-holder for the component’s period generation parameters.
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QuoteConvention
QuoteConvention contains the Component Market Convention Parameters - the quote convention, the
calculation type, the first settle date, and the redemption amount.
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RatesSetting
RatesSetting contains the rate related valuation parameters - the discount curves to be used for
discounting the coupon, the redemption, the principal, and the settle cash flows.
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TerminationSetting
TerminationSetting class contains the current "liveness" state of the component, and, if inactive, how it
entered that state.
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TreasuryBenchmark
TreasuryBenchmark contains component treasury benchmark parameters - the treasury benchmark set, and the
names of the treasury and the EDSF IR curves.
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Validatable
Validatable interface defines the validate function, which validates the current object state.
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Class and Description |
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CouponSetting
CouponSetting contains the coupon type, schedule, and the coupon amount for the component.
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CreditSetting
CreditSetting contains the credit related valuation parameters - use default pay lag, use curve or the
component recovery, component recovery, credit curve name, and whether there is accrual on default.
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CurrencySet
CurrencySet contains the component's trade, the coupon, and the redemption currencies.
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EmbeddedOptionSchedule
EmbeddedOptionSchedule is a place holder for the embedded option schedule for the component.
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FactorSchedule
FactorSchedule the contains array of dates and factors.
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FloaterSetting
FloaterSetting contains the component's floating rate parameters.
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IdentifierSet
IdentifierSet contains the component's identifier parameters - ISIN, CUSIP, ID, and ticker.
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NotionalSetting
NotionalSetting contains the product's notional schedule and the amount.
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PeriodSet
PeriodSet is the place-holder for the component’s period generation parameters.
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QuoteConvention
QuoteConvention contains the Component Market Convention Parameters - the quote convention, the
calculation type, the first settle date, and the redemption amount.
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RatesSetting
RatesSetting contains the rate related valuation parameters - the discount curves to be used for
discounting the coupon, the redemption, the principal, and the settle cash flows.
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TerminationSetting
TerminationSetting class contains the current "liveness" state of the component, and, if inactive, how it
entered that state.
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TreasuryBenchmark
TreasuryBenchmark contains component treasury benchmark parameters - the treasury benchmark set, and the
names of the treasury and the EDSF IR curves.
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Class and Description |
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CouponSetting
CouponSetting contains the coupon type, schedule, and the coupon amount for the component.
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CreditSetting
CreditSetting contains the credit related valuation parameters - use default pay lag, use curve or the
component recovery, component recovery, credit curve name, and whether there is accrual on default.
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CurrencyPair
CurrencyPair class contains the numerator currency, the denominator currency, the quote currency, and the
PIP Factor.
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CurrencySet
CurrencySet contains the component's trade, the coupon, and the redemption currencies.
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EmbeddedOptionSchedule
EmbeddedOptionSchedule is a place holder for the embedded option schedule for the component.
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FloaterSetting
FloaterSetting contains the component's floating rate parameters.
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IdentifierSet
IdentifierSet contains the component's identifier parameters - ISIN, CUSIP, ID, and ticker.
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NotionalSetting
NotionalSetting contains the product's notional schedule and the amount.
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PeriodSet
PeriodSet is the place-holder for the component’s period generation parameters.
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QuoteConvention
QuoteConvention contains the Component Market Convention Parameters - the quote convention, the
calculation type, the first settle date, and the redemption amount.
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RatesSetting
RatesSetting contains the rate related valuation parameters - the discount curves to be used for
discounting the coupon, the redemption, the principal, and the settle cash flows.
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TerminationSetting
TerminationSetting class contains the current "liveness" state of the component, and, if inactive, how it
entered that state.
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TreasuryBenchmark
TreasuryBenchmark contains component treasury benchmark parameters - the treasury benchmark set, and the
names of the treasury and the EDSF IR curves.
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Class and Description |
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CurrencyPair
CurrencyPair class contains the numerator currency, the denominator currency, the quote currency, and the
PIP Factor.
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Class and Description |
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CDXIdentifier
CDXIdentifier implements the creation and the static details of the all the NA, EU, SovX, EMEA, and ASIA
standardized CDS indexes.
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CDXRefDataParams
CDXRefDataParams contains the complete set of reference data that corresponds to the contract of a
standard CDX.
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EmbeddedOptionSchedule
EmbeddedOptionSchedule is a place holder for the embedded option schedule for the component.
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FactorSchedule
FactorSchedule the contains array of dates and factors.
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FloatingRateIndex
FloatingRateIndex contains the Index Parameters corresponding to a Floating Stream.
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PeriodSet
PeriodSet is the place-holder for the component’s period generation parameters.
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TsyBmkSet
TsyBmkSet contains the treasury benchmark set - the primary treasury benchmark, and an array of secondary
treasury benchmarks.
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Validatable
Validatable interface defines the validate function, which validates the current object state.
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Class and Description |
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FactorSchedule
FactorSchedule the contains array of dates and factors.
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FloatingRateIndex
FloatingRateIndex contains the Index Parameters corresponding to a Floating Stream.
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Class and Description |
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EmbeddedOptionSchedule
EmbeddedOptionSchedule is a place holder for the embedded option schedule for the component.
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Class and Description |
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CurrencyPair
CurrencyPair class contains the numerator currency, the denominator currency, the quote currency, and the
PIP Factor.
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Class and Description |
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CurrencyPair
CurrencyPair class contains the numerator currency, the denominator currency, the quote currency, and the
PIP Factor.
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FloatingRateIndex
FloatingRateIndex contains the Index Parameters corresponding to a Floating Stream.
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Class and Description |
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FloatingRateIndex
FloatingRateIndex contains the Index Parameters corresponding to a Floating Stream.
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