Package | Description |
---|---|
org.drip.analytics.rates | |
org.drip.analytics.support | |
org.drip.param.definition | |
org.drip.param.market | |
org.drip.state.curve | |
org.drip.state.representation |
Modifier and Type | Method and Description |
---|---|
LatentState |
ForwardCurve.customTweakManifestMeasure(ResponseValueTweakParams rvtp) |
LatentState |
ForwardCurve.customTweakQuantificationMetric(ResponseValueTweakParams rvtp) |
Modifier and Type | Method and Description |
---|---|
static double[] |
AnalyticsHelper.TweakManifestMeasure(double[] adblQuotesIn,
ResponseValueTweakParams ntp)
Tweak the Manifest Measures (gor the given set of nodes) in accordance with the specified tweak
parameters
|
Modifier and Type | Class and Description |
---|---|
class |
CreditManifestMeasureTweak
CreditManifestMeasureTweak contains the place holder for the credit curve scenario tweak parameters: in
addition to the ResponseValueTweakParams fields, this exposes the calibration manifest measure, the curve
node, and the nodal calibration type (entire curve/flat or a given tenor point).
|
Modifier and Type | Method and Description |
---|---|
abstract boolean |
ScenarioCreditCurve.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,
ResponseValueTweakParams ntpDC,
ResponseValueTweakParams ntpTSY,
ResponseValueTweakParams ntpEDSF,
ResponseValueTweakParams ntpCC)
Cook the credit curve according to the desired tweak parameters
|
abstract boolean |
ScenarioDiscountCurve.cookCustomDC(java.lang.String strCurveName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
ResponseValueTweakParams ntpTSY,
ResponseValueTweakParams ntpEDSF,
ResponseValueTweakParams ntpDC)
Cook a custom discount curve according to the desired tweak parameters
|
abstract boolean |
ScenarioForwardCurve.cookCustomDC(java.lang.String strCurveName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dc,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
ResponseValueTweakParams ntpDC,
ResponseValueTweakParams ntpFC)
Cook a custom Forward curve according to the desired tweak parameters
|
Modifier and Type | Method and Description |
---|---|
boolean |
CreditCurveScenarioContainer.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,
ResponseValueTweakParams mmtpDC,
ResponseValueTweakParams mmtpTSY,
ResponseValueTweakParams mmtpEDSF,
ResponseValueTweakParams mmtpCC) |
boolean |
RatesCurveScenarioContainer.cookCustomDC(java.lang.String strCurveName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
ResponseValueTweakParams mmtpTSY,
ResponseValueTweakParams mmtpEDSF,
ResponseValueTweakParams mmtpDC) |
Modifier and Type | Method and Description |
---|---|
LatentState |
LatentState.customTweakManifestMeasure(ResponseValueTweakParams rvtp)
Create a LatentState Instance from the Manifest Measure Tweak Parameters
|
LatentState |
LatentState.customTweakQuantificationMetric(ResponseValueTweakParams rvtp)
Create a LatentState Instance from the Quantification Metric Tweak Parameters
|