public abstract class CreditScenarioCurve
extends java.lang.Object
Modifier and Type | Field and Description |
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static int |
CC_BASE
CC Scenario Base
|
static int |
CC_FLAT_DN
CC Scenario Parallel Down
|
static int |
CC_FLAT_UP
CC Scenario Parallel Up
|
static int |
CC_RR_FLAT_DN
CC Scenario Recovery Parallel Down
|
static int |
CC_RR_FLAT_UP
CC Scenario Recovery Parallel Up
|
static int |
CC_TENOR_DN
CC Scenario Tenor Down
|
static int |
CC_TENOR_UP
CC Scenario Tenor Up
|
Constructor and Description |
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CreditScenarioCurve() |
Modifier and Type | Method and Description |
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abstract boolean |
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 |
cookScenarioCC(java.lang.String strName,
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,
int iCCScenario)
Cooks and saves the credit curves corresponding to the scenario specified
|
abstract CreditCurve |
getCCBase()
Return the base credit curve
|
abstract CreditCurve |
getCCBumpDn()
Return the bump down credit curve
|
abstract CreditCurve |
getCCBumpUp()
Return the bump up credit curve
|
abstract CreditCurve |
getCCRecoveryDn()
Return the recovery bump down credit curve
|
abstract CreditCurve |
getCCRecoveryUp()
Return the recovery bump up credit curve
|
abstract CaseInsensitiveTreeMap<CreditCurve> |
getTenorCCBumpDn()
Return the tenor bump down credit curve map
|
abstract CaseInsensitiveTreeMap<CreditCurve> |
getTenorCCBumpUp()
Return the tenor bump up credit curve map
|
public static final int CC_BASE
public static final int CC_FLAT_UP
public static final int CC_FLAT_DN
public static final int CC_TENOR_UP
public static final int CC_TENOR_DN
public static final int CC_RR_FLAT_UP
public static final int CC_RR_FLAT_DN
public abstract boolean cookScenarioCC(java.lang.String strName, 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, int iCCScenario)
strName
- Credit Curve NamevalParams
- ValuationParamsdc
- Base Discount CurvedcTSY
- Treasury Discount CurvedcEDSF
- EDSF Discount CurveadblQuotes
- Matched array of QuotesdblRecovery
- Curve RecoveryastrCalibMeasure
- Matched array of Calibration measuresmmFixings
- Double map of date/rate index and fixingsquotingParams
- Quoting ParametersbFlat
- Whether the calibration is to a flat curveiCCScenario
- One of the values in the CC_ enum listed above.public abstract boolean 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)
strName
- Scenario Credit Curve NamestrCustomName
- Scenario NamevalParams
- Valuation Parametersdc
- Discount CurvedcTSY
- TSY Discount CurvedcEDSF
- EDSF Discount CurveadblQuotes
- Double array of input quotesdblRecovery
- Recovery RateastrCalibMeasure
- Array of calibration measuresmmFixings
- Date/Index fixingsquotingParams
- Calibration quoting parametersbFlat
- Whether the calibration is flatntpDC
- Node Tweak Parameters for the Base Discount CurventpTSY
- Node Tweak Parameters for the TSY Discount CurventpEDSF
- Node Tweak Parameters for the EDSF Discount CurventpCC
- Node Tweak Parameters for the Credit Curvepublic abstract CreditCurve getCCBase()
public abstract CreditCurve getCCBumpUp()
public abstract CreditCurve getCCBumpDn()
public abstract CreditCurve getCCRecoveryUp()
public abstract CreditCurve getCCRecoveryDn()
public abstract CaseInsensitiveTreeMap<CreditCurve> getTenorCCBumpUp()
public abstract CaseInsensitiveTreeMap<CreditCurve> getTenorCCBumpDn()