Package | Description |
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org.drip.param.creator | |
org.drip.param.definition | |
org.drip.param.market | |
org.drip.product.credit | |
org.drip.product.definition |
Modifier and Type | Method and Description |
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static BasketMarketParams |
BasketMarketParamsBuilder.CreateBasketMarketParams()
Constructs the empty BasketMarketParams object.
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static BasketMarketParams |
BasketMarketParamsBuilder.CreateBasketMarketParams(java.util.Map<java.lang.String,DiscountCurve> mapDC,
java.util.Map<java.lang.String,CreditCurve> mapCC,
java.util.Map<java.lang.String,ComponentQuote> mapCQComp,
java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> mmFixings)
Constructs the BasketMarketParams object from the map of discount curve, the map of credit curve, and
a double map of date/rate index and fixings.
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static BasketMarketParams |
BasketMarketParamsBuilder.FromByteArray(byte[] ab)
Create a Basket Market Parameter Instance from the byte array
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Modifier and Type | Method and Description |
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abstract BasketMarketParams |
MarketParams.getScenBMP(BasketProduct bp,
java.lang.String strScen)
Get the BasketMarketParams for the given basket product and the scenario
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abstract BasketMarketParams |
MarketParams.getScenBMP(java.lang.String strScenarioName)
Retrieves the Named Scenario BMP
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Modifier and Type | Method and Description |
---|---|
abstract java.util.Map<java.lang.String,BasketMarketParams> |
MarketParams.getCreditBumpBMP(BasketProduct bp,
boolean bBump)
Get the map of credit Tenor bumped curves for the given BasketProduct
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abstract java.util.Map<java.lang.String,java.util.Map<java.lang.String,BasketMarketParams>> |
MarketParams.getCreditTenorBumpBMP(BasketProduct bp,
boolean bBump)
Get the double map of credit Tenor bumped curves for each credit curve for the given BasketProduct
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abstract java.util.Map<java.lang.String,BasketMarketParams> |
MarketParams.getIRBumpBMP(BasketProduct bp,
boolean bBump)
Get the map of IR Tenor bumped curves for the given BasketProduct
|
abstract java.util.Map<java.lang.String,java.util.Map<java.lang.String,BasketMarketParams>> |
MarketParams.getIRTenorBumpBMP(BasketProduct bp,
boolean bBump)
Get the double map of IR Tenor bumped curves for each IR curve for the given BasketProduct
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abstract java.util.Map<java.lang.String,BasketMarketParams> |
MarketParams.getRecoveryBumpBMP(BasketProduct bp,
boolean bBump)
Get the map of Recovery Tenor bumped curves for the given BasketProduct
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Modifier and Type | Method and Description |
---|---|
abstract boolean |
MarketParams.addScenBMP(java.lang.String strScenarioName,
BasketMarketParams bmp)
Adds the named scenario BMP
|
Modifier and Type | Class and Description |
---|---|
class |
BasketMarketParamSet
This class provides an implementation of BasketMarketParamsRef for a specific scenario.
|
Modifier and Type | Method and Description |
---|---|
BasketMarketParams |
MarketParamsContainer.getScenBMP(BasketProduct bp,
java.lang.String strScen) |
BasketMarketParams |
MarketParamsContainer.getScenBMP(java.lang.String strScenarioName) |
Modifier and Type | Method and Description |
---|---|
java.util.Map<java.lang.String,BasketMarketParams> |
MarketParamsContainer.getCreditBumpBMP(BasketProduct bp,
boolean bBump) |
java.util.Map<java.lang.String,java.util.Map<java.lang.String,BasketMarketParams>> |
MarketParamsContainer.getCreditTenorBumpBMP(BasketProduct bp,
boolean bBump) |
java.util.Map<java.lang.String,BasketMarketParams> |
MarketParamsContainer.getIRBumpBMP(BasketProduct bp,
boolean bBump) |
java.util.Map<java.lang.String,java.util.Map<java.lang.String,BasketMarketParams>> |
MarketParamsContainer.getIRTenorBumpBMP(BasketProduct bp,
boolean bBump) |
java.util.Map<java.lang.String,BasketMarketParams> |
MarketParamsContainer.getRecoveryBumpBMP(BasketProduct bp,
boolean bBump) |
Modifier and Type | Method and Description |
---|---|
boolean |
MarketParamsContainer.addScenBMP(java.lang.String strScenarioName,
BasketMarketParams bmp) |
Modifier and Type | Method and Description |
---|---|
double |
CDSBasket.getCoupon(double dblDate,
BasketMarketParams bmp) |
double |
BondBasket.getCoupon(double dblDate,
BasketMarketParams bmp) |
java.util.Map<java.lang.String,java.lang.Double> |
CDSBasket.value(ValuationParams valParams,
PricerParams pricerParams,
BasketMarketParams bmp,
QuotingParams quotingParams) |
java.util.Map<java.lang.String,java.lang.Double> |
BondBasket.value(ValuationParams valParams,
PricerParams pricerParams,
BasketMarketParams bmp,
QuotingParams quotingParams) |
Modifier and Type | Method and Description |
---|---|
double |
BasketProduct.calcMeasureValue(ValuationParams valParams,
PricerParams pricerParams,
BasketMarketParams bmp,
QuotingParams quotingParams,
java.lang.String strMeasure)
Calculates the value of the given basket product measure
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abstract double |
BasketProduct.getCoupon(double dblDate,
BasketMarketParams bmp)
Retrieves the basket product's coupon amount at the given date
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abstract java.util.Map<java.lang.String,java.lang.Double> |
BasketProduct.value(ValuationParams valParams,
PricerParams pricerParams,
BasketMarketParams bmp,
QuotingParams quotingParams)
Generates a full list of the basket product measures for the full input set of market parameters
|