Modifier and Type | Method and Description |
---|---|
WengertJacobian |
PolynomialSplineDF.getDFJacobian(double dblDate) |
WengertJacobian |
PolynomialForwardRate.getDFJacobian(double dblDate) |
WengertJacobian |
HyperbolicTensionForwardRate.getDFJacobian(double dblDate) |
WengertJacobian |
DerivedZeroRate.getDFJacobian(double dblDate) |
WengertJacobian |
ConstantForwardRate.getDFJacobian(double dblDate) |
Modifier and Type | Method and Description |
---|---|
WengertJacobian |
DiscountCurve.compPVDFJacobian(double dblDate)
Calculate the Jacobian of PV at the given date for each component in the calibration set to the DF
|
WengertJacobian |
DiscountCurve.compPVDFJacobian(JulianDate dt)
Calculate the Jacobian of PV at the given date for each component in the calibration set to the DF
|
WengertJacobian |
DiscountCurve.compPVQuoteJacobian(double dblDate)
Calculate the Jacobian of Component PV at the given date for each component in the calibration set to
the Component Quote
|
WengertJacobian |
DiscountCurve.compPVQuoteJacobian(JulianDate dt)
Calculate the Jacobian of Component PV at the given date for each component in the calibration set to
the Component Quote
|
WengertJacobian |
DiscountCurve.compQuoteDFJacobian(double dblDate)
Calculate the Jacobian of Component Quote at the given date for each component in the calibration set
to the DF
|
WengertJacobian |
DiscountCurve.compQuoteDFJacobian(JulianDate dt)
Calculate the Jacobian of Component Quote at the given date for each component in the calibration set
to the DF
|
WengertJacobian |
DiscountCurve.compQuoteZeroJacobian(double dblDate)
Calculate the Jacobian of Component Quote at the given date for each component in the calibration set
to the Zero Rate
|
WengertJacobian |
DiscountCurve.compQuoteZeroJacobian(JulianDate dt)
Calculate the Jacobian of Component Quote at the given date for each component in the calibration set
to the Zero Rate
|
abstract WengertJacobian |
DiscountCurve.getDFJacobian(double dblDate)
Retrieve the Jacobian for the DF to the given date
|
WengertJacobian |
DiscountCurve.getDFJacobian(JulianDate dt)
Retrieve the Jacobian for the DF for the given date
|
WengertJacobian |
DiscountCurve.getDFJacobian(java.lang.String strTenor)
Retrieve the Jacobian for the DF for the given tenor
|
WengertJacobian |
DiscountCurve.getForwardRateJacobian(double dblDate1,
double dblDate2)
Retrieve the Jacobian for the Forward Rate between the given dates
|
WengertJacobian |
DiscountCurve.getForwardRateJacobian(JulianDate dt1,
JulianDate dt2)
Retrieve the Jacobian for the Forward Rate between the given dates
|
WengertJacobian |
DiscountCurve.getZeroRateJacobian(double dblDate)
Retrieve the Jacobian for the Zero Rate to the given date
|
WengertJacobian |
DiscountCurve.getZeroRateJacobian(JulianDate dt)
Retrieve the Jacobian for the Zero Rate to the given date
|
Modifier and Type | Method and Description |
---|---|
boolean |
WengertJacobian.cumulativeMerge(WengertJacobian wjOther)
Accumulate and merge partial entries from the other CurveWengertJacobian
|
Modifier and Type | Method and Description |
---|---|
abstract WengertJacobian |
Segment.calcJacobian()
Calculate the Jacobian for the segment
|
abstract WengertJacobian |
Segment.calcValueElasticJacobian(double dblPoint)
Calculate the Jacobian of the computed value to the segment elastics at the specified point
|
WengertJacobian |
Span.calcValueJacobian(double dblX)
Calculates the Jacobian to the inputs at the given input point
|
abstract WengertJacobian |
Segment.calcValueJacobian(double dblPoint)
Calculate the Jacobian of the interpolated value at the given input point
|
WengertJacobian |
Segment.calibrateJacobian(double dblLeftValue,
double[] adblLeftDeriv,
double dblRightValue)
Calibrate the base coefficients and their Jacobians
|
WengertJacobian |
Segment.calibrateJacobian(double dblLeftValue,
double dblLeftSlope,
double dblRightValue)
Calibrate the base coefficients and their Jacobians
|
WengertJacobian |
Segment.calibrateJacobian(Segment segmentPrev,
double dblRightValue)
Calibrate the base coefficients and their Jacobians
|
Modifier and Type | Method and Description |
---|---|
WengertJacobian |
SegmentCk.calcJacobian() |
WengertJacobian |
SegmentCk.calcValueElasticJacobian(double dblPoint) |
WengertJacobian |
SegmentCk.calcValueJacobian(double dblPoint) |
Modifier and Type | Method and Description |
---|---|
WengertJacobian |
CDSComponent.calcPVDFMicroJack(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
WengertJacobian |
BondComponent.calcPVDFMicroJack(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
WengertJacobian |
CDSComponent.calcQuoteDFMicroJack(java.lang.String strQuote,
ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
WengertJacobian |
BondComponent.calcQuoteDFMicroJack(java.lang.String strQuote,
ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
Modifier and Type | Method and Description |
---|---|
abstract WengertJacobian |
CalibratableComponent.calcPVDFMicroJack(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Compute the micro-Jacobian of the PV to the DF
|
abstract WengertJacobian |
CalibratableComponent.calcQuoteDFMicroJack(java.lang.String strQuote,
ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Compute the micro-Jacobian of the given measure to the DF
|