Modifier and Type | Class and Description |
---|---|
class |
CalibratedCreditCurve
This class contains the baseline hazard curve holder object.
|
class |
CalibratedDiscountCurve
This class contains the baseline discount curve holder object.
|
class |
DerivedFXBasisCurve
This class implements the FXBasis curve representing term structure of FX basis.
|
class |
DerivedFXForwardCurve
This class contains the term structure of dates/times and FX forwards (PIP/outright), and Spot FX info for
the given currency pair.
|
class |
DerivedZeroCurve
This class contains the baseline zero discount curve holder object.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
DerivedZeroCurve.deserialize(byte[] ab) |
Serializer |
DerivedFXForwardCurve.deserialize(byte[] ab) |
Serializer |
DerivedFXBasisCurve.deserialize(byte[] ab) |
Serializer |
CalibratedDiscountCurve.deserialize(byte[] ab) |
Serializer |
CalibratedCreditCurve.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
DateTime
This class provides the representation of the instantiation-time date and time objects
|
Modifier and Type | Method and Description |
---|---|
Serializer |
DateTime.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
ActActDCParams
Class contains parameters to represent the Act/Act day count.
|
class |
DateAdjustParams
This class contains the parameters needed for adjusting dates – holiday calendar and adjustment type.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
DateAdjustParams.deserialize(byte[] ab) |
Serializer |
ActActDCParams.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
CreditCurve
This class contains the baseline abstract credit curve holder object.
|
class |
DiscountCurve
This class contains the baseline abstract discount curve holder object.
|
class |
FXBasisCurve
This abstract class exposes the FXBasis curve representing term structure of FX basis.
|
class |
FXForwardCurve
This abstract class contains the stub functionality for the term structure of dates/times and FX forwards
(PIP/outright), and Spot FX info for the given currency pair.
|
class |
ZeroCurve
This class contains the baseline abstract zero curve holder object.
|
Modifier and Type | Class and Description |
---|---|
class |
Base
This class is an abstraction around holiday and description.
|
class |
Fixed
This class contains the fixed holiday’s date and month.
|
class |
Static
This class a full date as a specific holiday
|
class |
Variable
This class contains the floating holiday’s month, day in week, and week in month.
|
class |
Weekend
Holds the left and the right weekend days
|
Modifier and Type | Method and Description |
---|---|
Serializer |
Weekend.deserialize(byte[] ab) |
Serializer |
Variable.deserialize(byte[] ab) |
Serializer |
Static.deserialize(byte[] ab) |
Serializer |
Fixed.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
BasketMeasures
This class has the place holder for the analytical basket measures, optionally across scenarios.
|
class |
BondCouponMeasures
This class encapsulates the parsimonius but complete set of the cash-flow oriented coupon measures
generated out of a full bond analytics run to a given work-out.
|
class |
BondRVMeasures
This class encapsulates the comprehensive set of RV measures calculated for the bond.
|
class |
BondWorkoutMeasures
This class encapsulates the parsimonius but complete set of measures generated out of a full bond
analytics run to a given work-out.
|
class |
ComponentMeasures
This class serves as a place holder for analytical single component output measures, optionally across
scenarios.
|
class |
ExerciseInfo
This class is a place-holder for the next-exercise information.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
ExerciseInfo.deserialize(byte[] ab) |
Serializer |
ComponentMeasures.deserialize(byte[] ab) |
Serializer |
BondWorkoutMeasures.deserialize(byte[] ab) |
Serializer |
BondRVMeasures.deserialize(byte[] ab) |
Serializer |
BondCouponMeasures.deserialize(byte[] ab) |
Serializer |
BasketMeasures.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
CouponPeriod
This class extends the period class with a few day-count specific parameters such as: frequency, reset
date, and accrual day-count convention.
|
class |
CouponPeriodCurveFactors
This class is an enhancement of the period class using the following period measures: start/end survival
probabilities, start/end notionals, and period start/end discount factor
|
class |
LossPeriodCurveFactors
This class is an implementation of the period class enhanced by the following period measures: start/end
survival probabilities, period effective notional/recovery/discount factor
|
class |
Period
This class serves as a holder for the period dates: period start/end, period accrual start/end, pay, and
full period day count fraction.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
Period.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
BasketMarketParams
This abstract class extends the BaketMarketParamsRef for a specific scenario.
|
class |
CalibrationParams
Class contains the calibration parameters - the measure to be calibrated, and the type/nature of the
calibration to be performed
|
class |
ComponentMarketParams
This abstract class provides stub for the ComponentMarketParamsRef interface.
|
class |
ComponentQuote
This abstract class holds the different types of quotes for a given component.
|
class |
CreditNodeTweakParams
This class contains the place holder for the credit curve scenario tweak parameters, for a given measure,
for either a specific curve node, or the entire curve (flat).
|
class |
NodeTweakParams
This class contains the place holder for the scenario tweak parameters, for either a specific curve node,
or the entire curve (flat).
|
class |
Quote
This interface contains the stubs corresponding to a product quote.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
NodeTweakParams.deserialize(byte[] ab) |
Serializer |
CalibrationParams.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
BasketMarketParamSet
This class provides an implementation of BasketMarketParamsRef for a specific scenario.
|
class |
ComponentMarketParamSet
This class provides implementation of the ComponentMarketParamsRef interface.
|
class |
ComponentMultiMeasureQuote
This class holds the different types of quotes for a given component.
|
class |
MultiSidedQuote
This class implements the Quote interface, and contains the details corresponding to a product quote.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
MultiSidedQuote.deserialize(byte[] ab) |
Serializer |
ComponentMultiMeasureQuote.deserialize(byte[] ab) |
Serializer |
ComponentMarketParamSet.deserialize(byte[] ab) |
Serializer |
BasketMarketParamSet.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
PricerParams
Class contains the pricer parameters - the discrete unit size, calibration mode on/off, survival to
pay/end date, and the discretization scheme
|
Modifier and Type | Method and Description |
---|---|
Serializer |
PricerParams.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
CashSettleParams
This implementation is the place-holder for the cash settlement parameters for a given product.
|
class |
QuotingParams
QuotingParams holds the parameters needed to interpret the input quotes
|
class |
ValuationParams
This implementation is the place-holder for the valuation parameters for a given product.
|
class |
WorkoutInfo
This class is a place-holder for the work-out parameters.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
WorkoutInfo.deserialize(byte[] ab) |
Serializer |
ValuationParams.deserialize(byte[] ab) |
Serializer |
QuotingParams.deserialize(byte[] ab) |
Serializer |
CashSettleParams.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
BondProductBuilder
This class contains the static parameters of the bond product needed for the full bond valuation.
|
class |
BondRefDataBuilder
This class contains the entire set of static parameters for the bond product.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
BondRefDataBuilder.deserialize(byte[] ab) |
Serializer |
BondProductBuilder.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
BondBasket
Class implements the bond basket product contract details.
|
class |
BondComponent
This is the base class that extends CreditComponent abstract class and implements the functionality behind
bonds of all kinds.
|
class |
CDSBasket
Class implements the basket default swap product contract details.
|
class |
CDSComponent
This class implements the credit default swap product contract details.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
CDSComponent.deserialize(byte[] ab) |
Serializer |
CDSBasket.deserialize(byte[] ab) |
Serializer |
BondComponent.deserialize(byte[] ab) |
Serializer |
BondBasket.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
BasketProduct
This abstract class extends BasketMarketParamRef.
|
class |
Bond
This base abstract class implements the pricing, the valuation, and the RV analytics functionality for the
bond product.
|
class |
CalibratableComponent
This abstract class providing implementation of Component interface.
|
class |
Component
This abstract class extends ComponentMarketParamRef.
|
class |
CreditComponent
Base abstract class that extends CalibratableComponent on top of which all credit components are
implemented.
|
class |
CreditDefaultSwap
This base abstract class implements the pricing, the valuation, and the RV analytics functionality for the
CDS product.
|
class |
FXForward
Base abstract class exposes the functionality behind the FXForward Contract.
|
class |
FXSpot
Base abstract class exposes the functionality behind the FXSpot Contract.
|
class |
RatesComponent
Base abstract class that extends CalibratableComponent on top of which all rates components are
implemented.
|
Modifier and Type | Class and Description |
---|---|
class |
FXForwardContract
Class contains the FX forward product contract details - the effective date, the maturity date, the
currency pair and the product code.
|
class |
FXSpotContract
Class contains the FX spot contract parameters - the spot date and the currency pair.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
FXSpotContract.deserialize(byte[] ab) |
Serializer |
FXForwardContract.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
CDXIdentifier
This class implements the creation and the static details of the all the NA, EU, SovX, EMEA, and ASIA
standardized CDS indicies.
|
class |
CouponSetting
Contains the coupon type, schedule, and the coupon amount for the component.
|
class |
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
|
class |
CurrencyPair
CurrencyPair class contains the numerator currency, the denominator currency, the quote currency, and the
PIP Factor
|
class |
CurrencySet
This class contains the component's trade, the coupon, and the redemption currencies.
|
class |
EmbeddedOptionSchedule
This class is a place holder for the embedded option schedule for the component.
|
class |
FactorSchedule
Contains array of dates and factors
|
class |
FloaterSetting
Contains the component's floating rate parameters.
|
class |
IdentifierSet
This class contains the component's identifier parameters - ISIN, CUSIP, ID, and ticker.
|
class |
NotionalSetting
This class contains the notional schedule and the amount.
|
class |
PeriodGenerator
Class the generates the component coupon periods from flexible inputs
|
class |
PeriodSet
This is the place-holder for the component’s period generation parameters.
|
class |
QuoteConvention
Contains the Component Market Convention Parameters - the quote convention, the calculation type, the
first settle date, and the redemption amount.
|
class |
RatesSetting
Component Rates Valuation Parameters contains the interest rates related valuation parameters - the
discount curves to be used for discounting the coupon, the redemption, the principal, and the settle
cash flows.
|
class |
TerminationSetting
This class contains the current "liveness" state of the component, and, if inactive, how it entered that
state.
|
class |
TreasuryBenchmark
Class contains component treasury benchmark parameters - the treasury benchmark set, and the names of the
treasury and the EDF IR curves.
|
class |
TsyBmkSet
Contains the treasury benchmark set - the primary treasury benchmark, and an array of secondary treasury
benchmarks
|
Modifier and Type | Method and Description |
---|---|
Serializer |
TsyBmkSet.deserialize(byte[] ab) |
Serializer |
TreasuryBenchmark.deserialize(byte[] ab) |
Serializer |
TerminationSetting.deserialize(byte[] ab) |
Serializer |
RatesSetting.deserialize(byte[] ab) |
Serializer |
QuoteConvention.deserialize(byte[] ab) |
Serializer |
PeriodSet.deserialize(byte[] ab) |
Serializer |
NotionalSetting.deserialize(byte[] ab) |
Serializer |
IdentifierSet.deserialize(byte[] ab) |
Serializer |
FloaterSetting.deserialize(byte[] ab) |
Serializer |
FactorSchedule.deserialize(byte[] ab) |
Serializer |
EmbeddedOptionSchedule.deserialize(byte[] ab) |
Serializer |
CurrencySet.deserialize(byte[] ab) |
Serializer |
CurrencyPair.deserialize(byte[] ab) |
Serializer |
CreditSetting.deserialize(byte[] ab) |
Serializer |
CouponSetting.deserialize(byte[] ab) |
Serializer |
CDXIdentifier.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
CashComponent
Implementation of the Cash IR product and its contract/valuation details.
|
class |
EDFComponent
Implementation of the Euro-dollar future contract/valuation (EDF)
|
class |
IRSComponent
Implements the InterestRateSwap product contract/valuation details.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
IRSComponent.deserialize(byte[] ab) |
Serializer |
EDFComponent.deserialize(byte[] ab) |
Serializer |
CashComponent.deserialize(byte[] ab) |
Modifier and Type | Method and Description |
---|---|
abstract Serializer |
Serializer.deserialize(byte[] ab)
De-serialize from a byte array.
|