Package | Description |
---|---|
org.drip.analytics.output | |
org.drip.param.definition | |
org.drip.product.credit | |
org.drip.product.definition | |
org.drip.service.api |
Modifier and Type | Field and Description |
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WorkoutInfo |
BondRVMeasures._wi
Work-out info
|
Constructor and Description |
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BondRVMeasures(double dblPrice,
double dblBondBasis,
double dblZSpread,
double dblGSpread,
double dblISpread,
double dblOASpread,
double dblTSYSpread,
double dblDiscountMargin,
double dblAssetSwapSpread,
double dblCreditBasis,
double dblPECS,
double dblYield01,
double dblModifiedDuration,
double dblMacaulayDuration,
double dblConvexity,
WorkoutInfo wi)
BondRVMeasures ctr
|
Modifier and Type | Method and Description |
---|---|
WorkoutInfo |
CalibrationParams.workout()
Retrieve the Work-out Info
|
Constructor and Description |
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CalibrationParams(java.lang.String strMeasure,
int iType,
WorkoutInfo wi)
CalibrationParams constructor
|
Modifier and Type | Method and Description |
---|---|
WorkoutInfo |
BondComponent.calcExerciseYieldFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice) |
Modifier and Type | Method and Description |
---|---|
BondRVMeasures |
BondComponent.standardMeasures(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
WorkoutInfo wi,
double dblPrice) |
CaseInsensitiveTreeMap<java.lang.Double> |
BondComponent.standardRVMeasureMap(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
WorkoutInfo wi,
double dblPrice,
java.lang.String strPrefix) |
Modifier and Type | Method and Description |
---|---|
abstract WorkoutInfo |
Bond.calcExerciseYieldFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Retrieve the work-out information from price
|
Modifier and Type | Method and Description |
---|---|
abstract BondRVMeasures |
Bond.standardMeasures(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
WorkoutInfo wi,
double dblPrice)
Calculate the full set of Bond RV Measures from the Price Input
|
Modifier and Type | Method and Description |
---|---|
static WorkoutInfo |
CreditAnalytics.BondWorkoutInfoFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblPrice)
Calculates the bond work-out details from price (Simplified version)
|
static WorkoutInfo |
CreditAnalytics.BondWorkoutInfoFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
double dblPrice,
QuotingParams quotingParams)
Calculates the bond work-out details from price
|