public abstract class Bond extends CreditComponent
NULL_SER_STRING, VERSION
Constructor and Description |
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Bond() |
Modifier and Type | Method and Description |
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abstract double |
calcAccrued(double dblDate,
ComponentMarketParams mktParams)
Calculate the bond's accrued for the period identified by the valuation date
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abstract double |
calcASWFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate ASW from Bond Basis to Maturity
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abstract double |
calcASWFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate ASW from Bond Basis to Work-out
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abstract double |
calcASWFromBondBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate ASW from Bond Basis to Optimal Exercise
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abstract double |
calcASWFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate ASW from Credit Basis to Maturity
|
abstract double |
calcASWFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate ASW from Credit Basis to Work-out
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abstract double |
calcASWFromCreditBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate ASW from Credit Basis to Optimal Exercise
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abstract double |
calcASWFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate ASW from Discount Margin to Maturity
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abstract double |
calcASWFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate ASW from Discount Margin to Work-out
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abstract double |
calcASWFromDiscountMarginToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate ASW from Discount Margin to Optimal Exercise
|
abstract double |
calcASWFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate ASW from G Spread to Maturity
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abstract double |
calcASWFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate ASW from G Spread to Work-out
|
abstract double |
calcASWFromGSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate ASW from G Spread to Optimal Exercise
|
abstract double |
calcASWFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate ASW from I Spread to Maturity
|
abstract double |
calcASWFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate ASW from I Spread to Work-out
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abstract double |
calcASWFromISpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate ASW from I Spread to Optimal Exercise
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abstract double |
calcASWFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate ASW from OAS to Maturity
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abstract double |
calcASWFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate ASW from OAS to Work-out
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abstract double |
calcASWFromOASToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate ASW from OAS to Optimal Exercise
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abstract double |
calcASWFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate ASW from PECS to Maturity
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abstract double |
calcASWFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate ASW from PECS to Work-out
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abstract double |
calcASWFromPECSToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate ASW from PECS to Optimal Exercise
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abstract double |
calcASWFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate ASW from Price to Maturity
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abstract double |
calcASWFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate ASW from Price to Work-out
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abstract double |
calcASWFromPriceToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate ASW from Price to Optimal Exercise
|
abstract double |
calcASWFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate ASW from TSY Spread to Maturity
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abstract double |
calcASWFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate ASW from TSY Spread to Work-out
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abstract double |
calcASWFromTSYSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate ASW from TSY Spread to Optimal Exercise
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abstract double |
calcASWFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate ASW from Yield to Maturity
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abstract double |
calcASWFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate ASW from Yield to Work-out
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abstract double |
calcASWFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate ASW from Yield Spread to Maturity
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abstract double |
calcASWFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate ASW from Yield Spread to Work-out
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abstract double |
calcASWFromYieldSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate ASW from Yield Spread to Optimal Exercise
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abstract double |
calcASWFromYieldToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate ASW from Yield to Optimal Exercise
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abstract double |
calcASWFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate ASW from Z Spread to Maturity
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abstract double |
calcASWFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate ASW from Z Spread to Work-out
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abstract double |
calcASWFromZSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate ASW from Z Spread to Optimal Exercise
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abstract double |
calcBondBasisFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Bond Basis from ASW to Maturity
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abstract double |
calcBondBasisFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Bond Basis from ASW to Work-out
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abstract double |
calcBondBasisFromASWToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Bond Basis from ASW to Optimal Exercise
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abstract double |
calcBondBasisFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Bond Basis from Credit Basis to Maturity
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abstract double |
calcBondBasisFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Bond Basis from Credit Basis to Work-out
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abstract double |
calcBondBasisFromCreditBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Bond Basis from Credit Basis to Optimal Exercise
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abstract double |
calcBondBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Bond Basis from Discount Margin to Maturity
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abstract double |
calcBondBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Bond Basis from Discount Margin to Work-out
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abstract double |
calcBondBasisFromDiscountMarginToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Bond Basis from Discount Margin to Optimal Exercise
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abstract double |
calcBondBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Bond Basis from G Spread to Maturity
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abstract double |
calcBondBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Bond Basis from G Spread to Work-out
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abstract double |
calcBondBasisFromGSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Bond Basis from G Spread to Optimal Exercise
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abstract double |
calcBondBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Bond Basis from I Spread to Maturity
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abstract double |
calcBondBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Bond Basis from I Spread to Work-out
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abstract double |
calcBondBasisFromISpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Bond Basis from I Spread to Optimal Exercise
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abstract double |
calcBondBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Bond Basis from OAS to Maturity
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abstract double |
calcBondBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Bond Basis from OAS to Work-out
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abstract double |
calcBondBasisFromOASToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Bond Basis from OAS to Optimal Exercise
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abstract double |
calcBondBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Bond Basis from PECS to Maturity
|
abstract double |
calcBondBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Bond Basis from PECS to Work-out
|
abstract double |
calcBondBasisFromPECSToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Bond Basis from PECS to Optimal Exercise
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abstract double |
calcBondBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Bond Basis from Price to Maturity
|
abstract double |
calcBondBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Bond Basis from Price to Work-out
|
abstract double |
calcBondBasisFromPriceToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Bond Basis from Price to Optimal Exercise
|
abstract double |
calcBondBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Bond Basis from TSY Spread to Maturity
|
abstract double |
calcBondBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Bond Basis from TSY Spread to Work-out
|
abstract double |
calcBondBasisFromTSYSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Bond Basis from TSY Spread to Optimal Exercise
|
abstract double |
calcBondBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Bond Basis from Yield to Maturity
|
abstract double |
calcBondBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Bond Basis from Yield to Work-out
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abstract double |
calcBondBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Bond Basis from Yield Spread to Maturity
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abstract double |
calcBondBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Bond Basis from Yield Spread to Work-out
|
abstract double |
calcBondBasisFromYieldSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Bond Basis from Yield Spread to Optimal Exercise
|
abstract double |
calcBondBasisFromYieldToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Bond Basis from Yield to Optimal Exercise
|
abstract double |
calcBondBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Bond Basis from Z Spread to Maturity
|
abstract double |
calcBondBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Bond Basis from Z Spread to Work-out
|
abstract double |
calcBondBasisFromZSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Bond Basis from Z Spread to Optimal Exercise
|
abstract double |
calcConvexityFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Convexity from ASW to Maturity
|
abstract double |
calcConvexityFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Convexity from ASW to Work-out
|
abstract double |
calcConvexityFromASWToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Convexity from ASW to Optimal Exercise
|
abstract double |
calcConvexityFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Convexity from Bond Basis to Maturity
|
abstract double |
calcConvexityFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Convexity from Bond Basis to Work-out
|
abstract double |
calcConvexityFromBondBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Convexity from Bond Basis to Optimal Exercise
|
abstract double |
calcConvexityFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Convexity from Credit Basis to Maturity
|
abstract double |
calcConvexityFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Convexity from Credit Basis to Work-out
|
abstract double |
calcConvexityFromCreditBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Convexity from Credit Basis to Optimal Exercise
|
abstract double |
calcConvexityFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Convexity from Discount Margin to Maturity
|
abstract double |
calcConvexityFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Convexity from Discount Margin to Work-out
|
abstract double |
calcConvexityFromDiscountMarginToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Convexity from Discount Margin to Optimal Exercise
|
abstract double |
calcConvexityFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Convexity from G Spread to Maturity
|
abstract double |
calcConvexityFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Convexity from G Spread to Work-out
|
abstract double |
calcConvexityFromGSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Convexity from G Spread to Optimal Exercise
|
abstract double |
calcConvexityFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Convexity from I Spread to Maturity
|
abstract double |
calcConvexityFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Convexity from I Spread to Work-out
|
abstract double |
calcConvexityFromISpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Convexity from I Spread to Optimal Exercise
|
abstract double |
calcConvexityFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Convexity from OAS to Maturity
|
abstract double |
calcConvexityFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Convexity from OAS to Work-out
|
abstract double |
calcConvexityFromOASToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Convexity from OAS to Optimal Exercise
|
abstract double |
calcConvexityFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Convexity from PECS to Maturity
|
abstract double |
calcConvexityFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Convexity from PECS to Work-out
|
abstract double |
calcConvexityFromPECSToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Convexity from PECS to Optimal Exercise
|
abstract double |
calcConvexityFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Convexity from Price to Maturity
|
abstract double |
calcConvexityFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Convexity from Price to Work-out
|
abstract double |
calcConvexityFromPriceToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Convexity from Price to Optimal Exercise
|
abstract double |
calcConvexityFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Convexity from TSY Spread to Maturity
|
abstract double |
calcConvexityFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Convexity from TSY Spread to Work-out
|
abstract double |
calcConvexityFromTSYSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Convexity from TSY Spread to Optimal Exercise
|
abstract double |
calcConvexityFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Convexity from Yield to Maturity
|
abstract double |
calcConvexityFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Convexity from Yield to Work-out
|
abstract double |
calcConvexityFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Convexity from Yield Spread to Maturity
|
abstract double |
calcConvexityFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Convexity from Yield Spread to Work-out
|
abstract double |
calcConvexityFromYieldSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Convexity from Yield Spread to Optimal Exercise
|
abstract double |
calcConvexityFromYieldToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Convexity from Yield to Optimal Exercise
|
abstract double |
calcConvexityFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Convexity from Z Spread to Maturity
|
abstract double |
calcConvexityFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Convexity from Z Spread to Work-out
|
abstract double |
calcConvexityFromZSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Convexity from Z Spread to Optimal Exercise
|
abstract double |
calcCreditBasisFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Credit Basis from ASW to Maturity
|
abstract double |
calcCreditBasisFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Credit Basis from ASW to Work-out
|
abstract double |
calcCreditBasisFromASWToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Credit Basis from ASW to Optimal Exercise
|
abstract double |
calcCreditBasisFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Credit Basis from Bond Basis to Maturity
|
abstract double |
calcCreditBasisFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Credit Basis from Bond Basis to Work-out
|
abstract double |
calcCreditBasisFromBondBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Credit Basis from Bond Basis to Optimal Exercise
|
abstract double |
calcCreditBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Credit Basis from Discount Margin to Maturity
|
abstract double |
calcCreditBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Credit Basis from Discount Margin to Work-out
|
abstract double |
calcCreditBasisFromDiscountMarginToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Credit Basis from Discount Margin to Optimal Exercise
|
abstract double |
calcCreditBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Credit Basis from G Spread to Maturity
|
abstract double |
calcCreditBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Credit Basis from G Spread to Work-out
|
abstract double |
calcCreditBasisFromGSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Credit Basis from G Spread to Optimal Exercise
|
abstract double |
calcCreditBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Credit Basis from I Spread to Maturity
|
abstract double |
calcCreditBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Credit Basis from I Spread to Work-out
|
abstract double |
calcCreditBasisFromISpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Credit Basis from I Spread to Optimal Exercise
|
abstract double |
calcCreditBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Credit Basis from OAS to Maturity
|
abstract double |
calcCreditBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Credit Basis from OAS to Work-out
|
abstract double |
calcCreditBasisFromOASToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Credit Basis from OAS to Optimal Exercise
|
abstract double |
calcCreditBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Credit Basis from PECS to Maturity
|
abstract double |
calcCreditBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Credit Basis from PECS to Work-out
|
abstract double |
calcCreditBasisFromPECSToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Credit Basis from PECS to Optimal Exercise
|
abstract double |
calcCreditBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Credit Basis from Price to Maturity
|
abstract double |
calcCreditBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Credit Basis from Price to Work-out
|
abstract double |
calcCreditBasisFromPriceToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Credit Basis from Price to Optimal Exercise
|
abstract double |
calcCreditBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Credit Basis from TSY Spread to Maturity
|
abstract double |
calcCreditBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Credit Basis from TSY Spread to Work-out
|
abstract double |
calcCreditBasisFromTSYSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Credit Basis from TSY Spread to Optimal Exercise
|
abstract double |
calcCreditBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Credit Basis from Yield to Maturity
|
abstract double |
calcCreditBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Credit Basis from Yield to Work-out
|
abstract double |
calcCreditBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Credit Basis from Yield Spread to Maturity
|
abstract double |
calcCreditBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Credit Basis from Yield Spread to Work-out
|
abstract double |
calcCreditBasisFromYieldSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Credit Basis from Yield Spread to Optimal Exercise
|
abstract double |
calcCreditBasisFromYieldToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Credit Basis from Yield to Optimal Exercise
|
abstract double |
calcCreditBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Credit Basis from Z Spread to Maturity
|
abstract double |
calcCreditBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Credit Basis from Z Spread to Work-out
|
abstract double |
calcCreditBasisFromZSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Credit Basis from Z Spread to Optimal Exercise
|
abstract JulianDate |
calcCurrentCouponDate(JulianDate dt)
Return the coupon date for the period containing the specified date
|
abstract double |
calcCurrentCouponRate(JulianDate dt,
ComponentMarketParams mktParams)
Return the coupon rate for the period corresponding to the specified date
|
abstract double |
calcDiscountMarginFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Discount Margin from ASW to Maturity
|
abstract double |
calcDiscountMarginFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Discount Margin from ASW to Work-out
|
abstract double |
calcDiscountMarginFromASWToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Discount Margin from ASW to Optimal Exercise
|
abstract double |
calcDiscountMarginFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Discount Margin from Bond Basis to Maturity
|
abstract double |
calcDiscountMarginFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Discount Margin from Bond Basis to Work-out
|
abstract double |
calcDiscountMarginFromBondBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Discount Margin from Bond Basis to Optimal Exercise
|
abstract double |
calcDiscountMarginFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Discount Margin from Credit Basis to Maturity
|
abstract double |
calcDiscountMarginFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Discount Margin from Credit Basis to Work-out
|
abstract double |
calcDiscountMarginFromCreditBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Discount Margin from Credit Basis to Optimal Exercise
|
abstract double |
calcDiscountMarginFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Discount Margin from G Spread to Maturity
|
abstract double |
calcDiscountMarginFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Discount Margin from G Spread to Work-out
|
abstract double |
calcDiscountMarginFromGSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Discount Margin from G Spread to Optimal Exercise
|
abstract double |
calcDiscountMarginFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Discount Margin from I Spread to Maturity
|
abstract double |
calcDiscountMarginFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Discount Margin from I Spread to Work-out
|
abstract double |
calcDiscountMarginFromISpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Discount Margin from I Spread to Optimal Exercise
|
abstract double |
calcDiscountMarginFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Discount Margin from OAS to Maturity
|
abstract double |
calcDiscountMarginFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Discount Margin from OAS to Work-out
|
abstract double |
calcDiscountMarginFromOASToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Discount Margin from OAS to Optimal Exercise
|
abstract double |
calcDiscountMarginFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Discount Margin from PECS to Maturity
|
abstract double |
calcDiscountMarginFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Discount Margin from PECS to Work-out
|
abstract double |
calcDiscountMarginFromPECSToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Discount Margin from PECS to Optimal Exercise
|
abstract double |
calcDiscountMarginFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Discount Margin from Price to Maturity
|
abstract double |
calcDiscountMarginFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Discount Margin from Price to Work-out
|
abstract double |
calcDiscountMarginFromPriceToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Discount Margin from Price to Optimal Exercise
|
abstract double |
calcDiscountMarginFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Discount Margin from TSY Spread to Maturity
|
abstract double |
calcDiscountMarginFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Discount Margin from TSY Spread to Work-out
|
abstract double |
calcDiscountMarginFromTSYSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Discount Margin from TSY Spread to Optimal Exercise
|
abstract double |
calcDiscountMarginFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Discount Margin from Yield to Maturity
|
abstract double |
calcDiscountMarginFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Discount Margin from Yield to Work-out
|
abstract double |
calcDiscountMarginFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Discount Margin from Yield Spread to Maturity
|
abstract double |
calcDiscountMarginFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Discount Margin from Yield Spread to Work-out
|
abstract double |
calcDiscountMarginFromYieldSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Discount Margin from Yield Spread to Optimal Exercise
|
abstract double |
calcDiscountMarginFromYieldToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Discount Margin from Yield to Optimal Exercise
|
abstract double |
calcDiscountMarginFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Discount Margin from Z Spread to Maturity
|
abstract double |
calcDiscountMarginFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Discount Margin from Z Spread to Work-out
|
abstract double |
calcDiscountMarginFromZSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Discount Margin from Z Spread to Optimal Exercise
|
abstract double |
calcDurationFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Duration from ASW to Maturity
|
abstract double |
calcDurationFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Duration from ASW to Work-out
|
abstract double |
calcDurationFromASWToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Duration from ASW to Optimal Exercise
|
abstract double |
calcDurationFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Duration from Bond Basis to Maturity
|
abstract double |
calcDurationFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Duration from Bond Basis to Work-out
|
abstract double |
calcDurationFromBondBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Duration from Bond Basis to Optimal Exercise
|
abstract double |
calcDurationFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Duration from Credit Basis to Maturity
|
abstract double |
calcDurationFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Duration from Credit Basis to Work-out
|
abstract double |
calcDurationFromCreditBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Duration from Credit Basis to Optimal Exercise
|
abstract double |
calcDurationFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Duration from Discount Margin to Maturity
|
abstract double |
calcDurationFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Duration from Discount Margin to Work-out
|
abstract double |
calcDurationFromDiscountMarginToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Duration from Discount Margin to Optimal Exercise
|
abstract double |
calcDurationFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Duration from G Spread to Maturity
|
abstract double |
calcDurationFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Duration from G Spread to Work-out
|
abstract double |
calcDurationFromGSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Duration from G Spread to Optimal Exercise
|
abstract double |
calcDurationFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Duration from I Spread to Maturity
|
abstract double |
calcDurationFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Duration from I Spread to Work-out
|
abstract double |
calcDurationFromISpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Duration from I Spread to Optimal Exercise
|
abstract double |
calcDurationFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Duration from OAS to Maturity
|
abstract double |
calcDurationFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Duration from OAS to Work-out
|
abstract double |
calcDurationFromOASToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Duration from OAS to Optimal Exercise
|
abstract double |
calcDurationFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Duration from PECS to Maturity
|
abstract double |
calcDurationFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Duration from PECS to Work-out
|
abstract double |
calcDurationFromPECSToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Duration from PECS to Optimal Exercise
|
abstract double |
calcDurationFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Duration from Price to Maturity
|
abstract double |
calcDurationFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Duration from Price to Work-out
|
abstract double |
calcDurationFromPriceToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Duration from Price to Optimal Exercise
|
abstract double |
calcDurationFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Duration from TSY Spread to Maturity
|
abstract double |
calcDurationFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Duration from TSY Spread to Work-out
|
abstract double |
calcDurationFromTSYSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Duration from TSY Spread to Optimal Exercise
|
abstract double |
calcDurationFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Duration from Yield to Maturity
|
abstract double |
calcDurationFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Duration from Yield to Work-out
|
abstract double |
calcDurationFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Duration from Yield Spread to Maturity
|
abstract double |
calcDurationFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Duration from Yield Spread to Work-out
|
abstract double |
calcDurationFromYieldSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Duration from Yield Spread to Optimal Exercise
|
abstract double |
calcDurationFromYieldToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Duration from Yield to Optimal Exercise
|
abstract double |
calcDurationFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Duration from Z Spread to Maturity
|
abstract double |
calcDurationFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Duration from Z Spread to Work-out
|
abstract double |
calcDurationFromZSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Duration from Z Spread to Optimal Exercise
|
abstract WorkoutInfo |
calcExerciseYieldFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Retrieve the work-out information from price
|
abstract double |
calcGSpreadFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate G Spread from ASW to Maturity
|
abstract double |
calcGSpreadFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate G Spread from ASW to Work-out
|
abstract double |
calcGSpreadFromASWToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate G Spread from ASW to Optimal Exercise
|
abstract double |
calcGSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate G Spread from Bond Basis to Maturity
|
abstract double |
calcGSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate G Spread from Bond Basis to Work-out
|
abstract double |
calcGSpreadFromBondBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate G Spread from Bond Basis to Optimal Exercise
|
abstract double |
calcGSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate G Spread from Credit Basis to Maturity
|
abstract double |
calcGSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate G Spread from Credit Basis to Work-out
|
abstract double |
calcGSpreadFromCreditBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate G Spread from Credit Basis to Optimal Exercise
|
abstract double |
calcGSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate G Spread from Discount Margin to Maturity
|
abstract double |
calcGSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate G Spread from Discount Margin to Work-out
|
abstract double |
calcGSpreadFromDiscountMarginToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate G Spread from Discount Margin to Optimal Exercise
|
abstract double |
calcGSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate G Spread from I Spread to Maturity
|
abstract double |
calcGSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate G Spread from I Spread to Work-out
|
abstract double |
calcGSpreadFromISpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate G Spread from I Spread to Optimal Exercise
|
abstract double |
calcGSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate G Spread from OAS to Maturity
|
abstract double |
calcGSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate G Spread from OAS to Work-out
|
abstract double |
calcGSpreadFromOASToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate G Spread from OAS to Optimal Exercise
|
abstract double |
calcGSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate G Spread from PECS to Maturity
|
abstract double |
calcGSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate G Spread from PECS to Work-out
|
abstract double |
calcGSpreadFromPECSToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate G Spread from PECS to Optimal Exercise
|
abstract double |
calcGSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate G Spread from Price to Maturity
|
abstract double |
calcGSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate G Spread from Price to Work-out
|
abstract double |
calcGSpreadFromPriceToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate G Spread from Price to Optimal Exercise
|
abstract double |
calcGSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate G Spread from TSY Spread to Maturity
|
abstract double |
calcGSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate G Spread from TSY Spread to Work-out
|
abstract double |
calcGSpreadFromTSYSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate G Spread from TSY Spread to Optimal Exercise
|
abstract double |
calcGSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate G Spread from Yield to Maturity
|
abstract double |
calcGSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate G Spread from Yield to Work-out
|
abstract double |
calcGSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate G Spread from Yield Spread to Maturity
|
abstract double |
calcGSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate G Spread from Yield Spread to Work-out
|
abstract double |
calcGSpreadFromYieldSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate G Spread from Yield Spread to Optimal Exercise
|
abstract double |
calcGSpreadFromYieldToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate G Spread from Yield to Optimal Exercise
|
abstract double |
calcGSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate G Spread from Z Spread to Maturity
|
abstract double |
calcGSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate G Spread from Z Spread to Work-out
|
abstract double |
calcGSpreadFromZSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate G Spread from Z Spread to Optimal Exercise
|
abstract double |
calcISpreadFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate I Spread from ASW to Maturity
|
abstract double |
calcISpreadFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate I Spread from ASW to Work-out
|
abstract double |
calcISpreadFromASWToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate I Spread from ASW to Optimal Exercise
|
abstract double |
calcISpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate I Spread from Bond Basis to Maturity
|
abstract double |
calcISpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate I Spread from Bond Basis to Work-out
|
abstract double |
calcISpreadFromBondBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate I Spread from Bond Basis to Optimal Exercise
|
abstract double |
calcISpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate I Spread from Credit Basis to Maturity
|
abstract double |
calcISpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate I Spread from Credit Basis to Work-out
|
abstract double |
calcISpreadFromCreditBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate I Spread from Credit Basis to Optimal Exercise
|
abstract double |
calcISpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate I Spread from Discount Margin to Maturity
|
abstract double |
calcISpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate I Spread from Discount Margin to Work-out
|
abstract double |
calcISpreadFromDiscountMarginToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate I Spread from Discount Margin to Optimal Exercise
|
abstract double |
calcISpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate I Spread from G Spread to Maturity
|
abstract double |
calcISpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate I Spread from G Spread to Work-out
|
abstract double |
calcISpreadFromGSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate I Spread from G Spread to Optimal Exercise
|
abstract double |
calcISpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate I Spread from OAS to Maturity
|
abstract double |
calcISpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate I Spread from OAS to Work-out
|
abstract double |
calcISpreadFromOASToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate I Spread from OAS to Optimal Exercise
|
abstract double |
calcISpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate I Spread from PECS to Maturity
|
abstract double |
calcISpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate I Spread from PECS to Work-out
|
abstract double |
calcISpreadFromPECSToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate I Spread from PECS to Optimal Exercise
|
abstract double |
calcISpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate I Spread from Price to Maturity
|
abstract double |
calcISpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate I Spread from Price to Work-out
|
abstract double |
calcISpreadFromPriceToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate I Spread from Price to Optimal Exercise
|
abstract double |
calcISpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate I Spread from TSY Spread to Maturity
|
abstract double |
calcISpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate I Spread from TSY Spread to Work-out
|
abstract double |
calcISpreadFromTSYSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate I Spread from TSY Spread to Optimal Exercise
|
abstract double |
calcISpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate I Spread from Yield to Maturity
|
abstract double |
calcISpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate I Spread from Yield to Work-out
|
abstract double |
calcISpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate I Spread from Yield Spread to Maturity
|
abstract double |
calcISpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate I Spread from Yield Spread to Work-out
|
abstract double |
calcISpreadFromYieldSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate I Spread from Yield Spread to Optimal Exercise
|
abstract double |
calcISpreadFromYieldToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate I Spread from Yield to Optimal Exercise
|
abstract double |
calcISpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate I Spread from Z Spread to Maturity
|
abstract double |
calcISpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate I Spread from Z Spread to Work-out
|
abstract double |
calcISpreadFromZSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate I Spread from Z Spread to Optimal Exercise
|
abstract double |
calcMacaulayDurationFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Macaulay Duration from ASW to Maturity
|
abstract double |
calcMacaulayDurationFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Macaulay Duration from ASW to Work-out
|
abstract double |
calcMacaulayDurationFromASWToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Macaulay Duration from ASW to Optimal Exercise
|
abstract double |
calcMacaulayDurationFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Macaulay Duration from Bond Basis to Maturity
|
abstract double |
calcMacaulayDurationFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Macaulay Duration from Bond Basis to Work-out
|
abstract double |
calcMacaulayDurationFromBondBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Macaulay Duration from Bond Basis to Optimal Exercise
|
abstract double |
calcMacaulayDurationFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Macaulay Duration from Credit Basis to Maturity
|
abstract double |
calcMacaulayDurationFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Macaulay Duration from Credit Basis to Work-out
|
abstract double |
calcMacaulayDurationFromCreditBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Macaulay Duration from Credit Basis to Optimal Exercise
|
abstract double |
calcMacaulayDurationFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Macaulay Duration from Discount Margin to Maturity
|
abstract double |
calcMacaulayDurationFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Macaulay Duration from Discount Margin to Work-out
|
abstract double |
calcMacaulayDurationFromDiscountMarginToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Macaulay Duration from Discount Margin to Optimal Exercise
|
abstract double |
calcMacaulayDurationFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Macaulay Duration from G Spread to Maturity
|
abstract double |
calcMacaulayDurationFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Macaulay Duration from G Spread to Work-out
|
abstract double |
calcMacaulayDurationFromGSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Macaulay Duration from G Spread to Optimal Exercise
|
abstract double |
calcMacaulayDurationFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Macaulay Duration from I Spread to Maturity
|
abstract double |
calcMacaulayDurationFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Macaulay Duration from I Spread to Work-out
|
abstract double |
calcMacaulayDurationFromISpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Macaulay Duration from I Spread to Optimal Exercise
|
abstract double |
calcMacaulayDurationFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Macaulay Duration from OAS to Maturity
|
abstract double |
calcMacaulayDurationFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Macaulay Duration from OAS to Work-out
|
abstract double |
calcMacaulayDurationFromOASToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Macaulay Duration from OAS to Optimal Exercise
|
abstract double |
calcMacaulayDurationFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Macaulay Duration from PECS to Maturity
|
abstract double |
calcMacaulayDurationFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Macaulay Duration from PECS to Work-out
|
abstract double |
calcMacaulayDurationFromPECSToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Macaulay Duration from PECS to Optimal Exercise
|
abstract double |
calcMacaulayDurationFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Macaulay Duration from Price to Maturity
|
abstract double |
calcMacaulayDurationFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Macaulay Duration from Price to Work-out
|
abstract double |
calcMacaulayDurationFromPriceToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Macaulay Duration from Price to Optimal Exercise
|
abstract double |
calcMacaulayDurationFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Macaulay Duration from TSY Spread to Maturity
|
abstract double |
calcMacaulayDurationFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Macaulay Duration from TSY Spread to Work-out
|
abstract double |
calcMacaulayDurationFromTSYSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Macaulay Duration from TSY Spread to Optimal Exercise
|
abstract double |
calcMacaulayDurationFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Macaulay Duration from Yield to Maturity
|
abstract double |
calcMacaulayDurationFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Macaulay Duration from Yield to Work-out
|
abstract double |
calcMacaulayDurationFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Macaulay Duration from Yield Spread to Maturity
|
abstract double |
calcMacaulayDurationFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Macaulay Duration from Yield Spread to Work-out
|
abstract double |
calcMacaulayDurationFromYieldSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Macaulay Duration from Yield Spread to Optimal Exercise
|
abstract double |
calcMacaulayDurationFromYieldToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Macaulay Duration from Yield to Optimal Exercise
|
abstract double |
calcMacaulayDurationFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Macaulay Duration from Z Spread to Maturity
|
abstract double |
calcMacaulayDurationFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Macaulay Duration from Z Spread to Work-out
|
abstract double |
calcMacaulayDurationFromZSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Macaulay Duration from Z Spread to Optimal Exercise
|
abstract double |
calcModifiedDurationFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Modified Duration from ASW to Maturity
|
abstract double |
calcModifiedDurationFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Modified Duration from ASW to Work-out
|
abstract double |
calcModifiedDurationFromASWToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Modified Duration from ASW to Optimal Exercise
|
abstract double |
calcModifiedDurationFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Modified Duration from Bond Basis to Maturity
|
abstract double |
calcModifiedDurationFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Modified Duration from Bond Basis to Work-out
|
abstract double |
calcModifiedDurationFromBondBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Modified Duration from Bond Basis to Optimal Exercise
|
abstract double |
calcModifiedDurationFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Modified Duration from Credit Basis to Maturity
|
abstract double |
calcModifiedDurationFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Modified Duration from Credit Basis to Work-out
|
abstract double |
calcModifiedDurationFromCreditBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Modified Duration from Credit Basis to Optimal Exercise
|
abstract double |
calcModifiedDurationFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Modified Duration from Discount Margin to Maturity
|
abstract double |
calcModifiedDurationFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Modified Duration from Discount Margin to Work-out
|
abstract double |
calcModifiedDurationFromDiscountMarginToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Modified Duration from Discount Margin to Optimal Exercise
|
abstract double |
calcModifiedDurationFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Modified Duration from G Spread to Maturity
|
abstract double |
calcModifiedDurationFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Modified Duration from G Spread to Work-out
|
abstract double |
calcModifiedDurationFromGSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Modified Duration from G Spread to Optimal Exercise
|
abstract double |
calcModifiedDurationFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Modified Duration from I Spread to Maturity
|
abstract double |
calcModifiedDurationFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Modified Duration from I Spread to Work-out
|
abstract double |
calcModifiedDurationFromISpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Modified Duration from I Spread to Optimal Exercise
|
abstract double |
calcModifiedDurationFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Modified Duration from OAS to Maturity
|
abstract double |
calcModifiedDurationFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Modified Duration from OAS to Work-out
|
abstract double |
calcModifiedDurationFromOASToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Modified Duration from OAS to Optimal Exercise
|
abstract double |
calcModifiedDurationFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Modified Duration from PECS to Maturity
|
abstract double |
calcModifiedDurationFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Modified Duration from PECS to Work-out
|
abstract double |
calcModifiedDurationFromPECSToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Modified Duration from PECS to Optimal Exercise
|
abstract double |
calcModifiedDurationFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Modified Duration from Price to Maturity
|
abstract double |
calcModifiedDurationFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Modified Duration from Price to Work-out
|
abstract double |
calcModifiedDurationFromPriceToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Modified Duration from Price to Optimal Exercise
|
abstract double |
calcModifiedDurationFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Modified Duration from TSY Spread to Maturity
|
abstract double |
calcModifiedDurationFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Modified Duration from TSY Spread to Work-out
|
abstract double |
calcModifiedDurationFromTSYSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Modified Duration from TSY Spread to Optimal Exercise
|
abstract double |
calcModifiedDurationFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Modified Duration from Yield to Maturity
|
abstract double |
calcModifiedDurationFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Modified Duration from Yield to Work-out
|
abstract double |
calcModifiedDurationFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Modified Duration from Yield Spread to Maturity
|
abstract double |
calcModifiedDurationFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Modified Duration from Yield Spread to Work-out
|
abstract double |
calcModifiedDurationFromYieldSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Modified Duration from Yield Spread to Optimal Exercise
|
abstract double |
calcModifiedDurationFromYieldToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Modified Duration from Yield to Optimal Exercise
|
abstract double |
calcModifiedDurationFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Modified Duration from Z Spread to Maturity
|
abstract double |
calcModifiedDurationFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Modified Duration from Z Spread to Work-out
|
abstract double |
calcModifiedDurationFromZSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Modified Duration from Z Spread to Optimal Exercise
|
abstract JulianDate |
calcNextCouponDate(JulianDate dt)
Return the coupon date for the period subsequent to the specified date
|
abstract double |
calcNextCouponRate(JulianDate dt,
ComponentMarketParams mktParams)
Return the coupon rate for the period subsequent to the specified date
|
abstract ExerciseInfo |
calcNextValidExerciseDateOfType(JulianDate dt,
boolean bGetPut)
Return the next exercise info of the given exercise type (call/put) subsequent to the specified date
|
abstract ExerciseInfo |
calcNextValidExerciseInfo(JulianDate dt)
Return the next exercise info subsequent to the specified date
|
abstract double |
calcOASFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate OAS from ASW to Maturity
|
abstract double |
calcOASFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate OAS from ASW to Work-out
|
abstract double |
calcOASFromASWToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate OAS from ASW to Optimal Exercise
|
abstract double |
calcOASFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate OAS from Bond Basis to Maturity
|
abstract double |
calcOASFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate OAS from Bond Basis to Work-out
|
abstract double |
calcOASFromBondBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate OAS from Bond Basis to Optimal Exercise
|
abstract double |
calcOASFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate OAS from Credit Basis to Maturity
|
abstract double |
calcOASFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate OAS from Credit Basis to Work-out
|
abstract double |
calcOASFromCreditBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate OAS from Credit Basis to Optimal Exercise
|
abstract double |
calcOASFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate OAS from Discount Margin to Maturity
|
abstract double |
calcOASFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate OAS from Discount Margin to Work-out
|
abstract double |
calcOASFromDiscountMarginToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate OAS from Discount Margin to Optimal Exercise
|
abstract double |
calcOASFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate OAS from G Spread to Maturity
|
abstract double |
calcOASFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate OAS from G Spread to Work-out
|
abstract double |
calcOASFromGSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate OAS from G Spread to Optimal Exercise
|
abstract double |
calcOASFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate OAS from I Spread to Maturity
|
abstract double |
calcOASFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate OAS from I Spread to Work-out
|
abstract double |
calcOASFromISpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate OAS from I Spread to Optimal Exercise
|
abstract double |
calcOASFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate OAS from PECS to Maturity
|
abstract double |
calcOASFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate OAS from PECS to Work-out
|
abstract double |
calcOASFromPECSToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate OAS from PECS to Optimal Exercise
|
abstract double |
calcOASFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate OAS from Price to Maturity
|
abstract double |
calcOASFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate OAS from Price to Work-out
|
abstract double |
calcOASFromPriceToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate OAS from Price to Optimal Exercise
|
abstract double |
calcOASFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate OAS from TSY Spread to Maturity
|
abstract double |
calcOASFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate OAS from TSY Spread to Work-out
|
abstract double |
calcOASFromTSYSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate OAS from TSY Spread to Optimal Exercise
|
abstract double |
calcOASFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate OAS from Yield to Maturity
|
abstract double |
calcOASFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate OAS from Yield to Work-out
|
abstract double |
calcOASFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate OAS from Yield Spread to Maturity
|
abstract double |
calcOASFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate OAS from Yield Spread to Work-out
|
abstract double |
calcOASFromYieldSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate OAS from Yield Spread to Optimal Exercise
|
abstract double |
calcOASFromYieldToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate OAS from Yield to Optimal Exercise
|
abstract double |
calcOASFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate OAS from Z Spread to Maturity
|
abstract double |
calcOASFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate OAS from Z Spread to Work-out
|
abstract double |
calcOASFromZSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate OAS from Z Spread to Optimal Exercise
|
abstract double |
calcPECSFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate PECS from ASW to Maturity
|
abstract double |
calcPECSFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate PECS from ASW to Work-out
|
abstract double |
calcPECSFromASWToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate PECS from ASW to Optimal Exercise
|
abstract double |
calcPECSFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate PECS from Bond Basis to Maturity
|
abstract double |
calcPECSFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate PECS from Bond Basis to Work-out
|
abstract double |
calcPECSFromBondBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate PECS from Bond Basis to Optimal Exercise
|
abstract double |
calcPECSFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate PECS from Credit Basis to Maturity
|
abstract double |
calcPECSFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate PECS from Credit Basis to Work-out
|
abstract double |
calcPECSFromCreditBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate PECS from Credit Basis to Optimal Exercise
|
abstract double |
calcPECSFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate PECS from Discount Margin to Maturity
|
abstract double |
calcPECSFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate PECS from Discount Margin to Work-out
|
abstract double |
calcPECSFromDiscountMarginToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate PECS from Discount Margin to Optimal Exercise
|
abstract double |
calcPECSFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate PECS from G Spread to Maturity
|
abstract double |
calcPECSFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate PECS from G Spread to Work-out
|
abstract double |
calcPECSFromGSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate PECS from G Spread to Optimal Exercise
|
abstract double |
calcPECSFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate PECS from I Spread to Maturity
|
abstract double |
calcPECSFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate PECS from I Spread to Work-out
|
abstract double |
calcPECSFromISpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate PECS from I Spread to Optimal Exercise
|
abstract double |
calcPECSFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate PECS from OAS to Maturity
|
abstract double |
calcPECSFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate PECS from OAS to Work-out
|
abstract double |
calcPECSFromOASToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate PECS from OAS to Optimal Exercise
|
abstract double |
calcPECSFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate PECS from Price to Maturity
|
abstract double |
calcPECSFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate PECS from Price to Work-out
|
abstract double |
calcPECSFromPriceToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate PECS from Price to Optimal Exercise
|
abstract double |
calcPECSFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate PECS from TSY Spread to Maturity
|
abstract double |
calcPECSFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate PECS from TSY Spread to Work-out
|
abstract double |
calcPECSFromTSYSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate PECS from TSY Spread to Optimal Exercise
|
abstract double |
calcPECSFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate PECS from Yield to Maturity
|
abstract double |
calcPECSFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate PECS from Yield to Work-out
|
abstract double |
calcPECSFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate PECS from Yield Spread to Maturity
|
abstract double |
calcPECSFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate PECS from Yield Spread to Work-out
|
abstract double |
calcPECSFromYieldSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate PECS from Yield Spread to Optimal Exercise
|
abstract double |
calcPECSFromYieldToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate PECS from Yield to Optimal Exercise
|
abstract double |
calcPECSFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate PECS from Z Spread to Maturity
|
abstract double |
calcPECSFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate PECS from Z Spread to Work-out
|
abstract double |
calcPECSFromZSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate PECS from Z Spread to Optimal Exercise
|
abstract JulianDate |
calcPreviousCouponDate(JulianDate dt)
Return the coupon date for the period prior to the specified date
|
abstract double |
calcPreviousCouponRate(JulianDate dt,
ComponentMarketParams mktParams)
Return the coupon rate for the period prior to the specified date
|
abstract double |
calcPriceFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Price from ASW to Maturity
|
abstract double |
calcPriceFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Price from ASW to Work-out
|
abstract double |
calcPriceFromASWToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Price from ASW to Optimal Exercise
|
abstract double |
calcPriceFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Price from Bond Basis to Maturity
|
abstract double |
calcPriceFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Price from Bond Basis to Work-out
|
abstract double |
calcPriceFromBondBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Price from Bond Basis to Optimal Exercise
|
abstract double |
calcPriceFromBumpedCC(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis,
boolean bFlat)
Calculate the bond's credit risky theoretical price from the bumped credit curve
|
abstract double |
calcPriceFromBumpedDC(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDCBump)
Calculate the bond's non-credit risky theoretical price from the bumped discount curve
|
abstract double |
calcPriceFromBumpedZC(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
int iZeroCurveBaseDC,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZCBump)
Calculate the bond's non-credit risky theoretical price from the bumped zero curve
|
abstract double |
calcPriceFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Price from Credit Basis to Maturity
|
abstract double |
calcPriceFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Price from Credit Basis to Work-out
|
abstract double |
calcPriceFromCreditBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Price from Credit Basis to Optimal Exercise
|
abstract double |
calcPriceFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Price from Discount Margin to Maturity
|
abstract double |
calcPriceFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Price from Discount Margin to Work-out
|
abstract double |
calcPriceFromDiscountMarginToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Price from Discount Margin to Optimal Exercise
|
abstract double |
calcPriceFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Price from G Spread to Maturity
|
abstract double |
calcPriceFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Price from G Spread to Work-out
|
abstract double |
calcPriceFromGSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Price from G Spread to Optimal Exercise
|
abstract double |
calcPriceFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Price from I Spread to Maturity
|
abstract double |
calcPriceFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Price from I Spread to Work-out
|
abstract double |
calcPriceFromISpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Price from I Spread to Optimal Exercise
|
abstract double |
calcPriceFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Price from OAS to Maturity
|
abstract double |
calcPriceFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Price from OAS to Work-out
|
abstract double |
calcPriceFromOASToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Price from OAS to Optimal Exercise
|
abstract double |
calcPriceFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Price from PECS to Maturity
|
abstract double |
calcPriceFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Price from PECS to Work-out
|
abstract double |
calcPriceFromPECSToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Price from PECS to Optimal Exercise
|
abstract double |
calcPriceFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Price from TSY Spread to Maturity
|
abstract double |
calcPriceFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Price from TSY Spread to Work-out
|
abstract double |
calcPriceFromTSYSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Price from TSY Spread to Optimal Exercise
|
abstract double |
calcPriceFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Price from Yield to Maturity
|
abstract double |
calcPriceFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Price from Yield to Work-out
|
abstract double |
calcPriceFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Price from Yield Spread to Maturity
|
abstract double |
calcPriceFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Price from Yield Spread to Work-out
|
abstract double |
calcPriceFromYieldSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Price from Yield Spread to Optimal Exercise
|
abstract double |
calcPriceFromYieldToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Price from Yield to Optimal Exercise
|
abstract double |
calcPriceFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Price from Z Spread to Maturity
|
abstract double |
calcPriceFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Price from Z Spread to Work-out
|
abstract double |
calcPriceFromZSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Price from Z Spread to Optimal Exercise
|
abstract double |
calcTSYSpreadFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate TSY Spread from ASW to Maturity
|
abstract double |
calcTSYSpreadFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate TSY Spread from ASW to Work-out
|
abstract double |
calcTSYSpreadFromASWToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate TSY Spread from ASW to Optimal Exercise
|
abstract double |
calcTSYSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate TSY Spread from Bond Basis to Maturity
|
abstract double |
calcTSYSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate TSY Spread from Bond Basis to Work-out
|
abstract double |
calcTSYSpreadFromBondBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate TSY Spread from Bond Basis to Optimal Exercise
|
abstract double |
calcTSYSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate TSY Spread from Credit Basis to Maturity
|
abstract double |
calcTSYSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate TSY Spread from Credit Basis to Work-out
|
abstract double |
calcTSYSpreadFromCreditBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate TSY Spread from Credit Basis to Optimal Exercise
|
abstract double |
calcTSYSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate TSY Spread from Discount Margin to Maturity
|
abstract double |
calcTSYSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate TSY Spread from Discount Margin to Work-out
|
abstract double |
calcTSYSpreadFromDiscountMarginToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate TSY Spread from Discount Margin to Optimal Exercise
|
abstract double |
calcTSYSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate TSY Spread from G Spread to Maturity
|
abstract double |
calcTSYSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate TSY Spread from G Spread to Work-out
|
abstract double |
calcTSYSpreadFromGSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate TSY Spread from G Spread to Optimal Exercise
|
abstract double |
calcTSYSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate TSY Spread from I Spread to Maturity
|
abstract double |
calcTSYSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate TSY Spread from I Spread to Work-out
|
abstract double |
calcTSYSpreadFromISpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate TSY Spread from I Spread to Optimal Exercise
|
abstract double |
calcTSYSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate TSY Spread from OAS to Maturity
|
abstract double |
calcTSYSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate TSY Spread from OAS to Work-out
|
abstract double |
calcTSYSpreadFromOASToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate TSY Spread from OAS to Optimal Exercise
|
abstract double |
calcTSYSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate TSY Spread from PECS to Maturity
|
abstract double |
calcTSYSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate TSY Spread from PECS to Work-out
|
abstract double |
calcTSYSpreadFromPECSToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate TSY Spread from PECS to Optimal Exercise
|
abstract double |
calcTSYSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate TSY Spread from Price to Maturity
|
abstract double |
calcTSYSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate TSY Spread from Price to Work-out
|
abstract double |
calcTSYSpreadFromPriceToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate TSY Spread from Price to Optimal Exercise
|
abstract double |
calcTSYSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate TSY Spread from Yield to Maturity
|
abstract double |
calcTSYSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate TSY Spread from Yield to Work-out
|
abstract double |
calcTSYSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate TSY Spread from Yield Spread to Maturity
|
abstract double |
calcTSYSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate TSY Spread from Yield Spread to Work-out
|
abstract double |
calcTSYSpreadFromYieldSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate TSY Spread from Yield Spread to Optimal Exercise
|
abstract double |
calcTSYSpreadFromYieldToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate TSY Spread from Yield to Optimal Exercise
|
abstract double |
calcTSYSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate TSY Spread from Z Spread to Maturity
|
abstract double |
calcTSYSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate TSY Spread from Z Spread to Work-out
|
abstract double |
calcTSYSpreadFromZSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate TSY Spread from Z Spread to Optimal Exercise
|
abstract double |
calcYield01FromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Yield01 from ASW to Maturity
|
abstract double |
calcYield01FromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Yield01 from ASW to Work-out
|
abstract double |
calcYield01FromASWToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Yield01 from ASW to Optimal Exercise
|
abstract double |
calcYield01FromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Yield01 from Bond Basis to Maturity
|
abstract double |
calcYield01FromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Yield01 from Bond Basis to Work-out
|
abstract double |
calcYield01FromBondBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Yield01 from Bond Basis to Optimal Exercise
|
abstract double |
calcYield01FromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Yield01 from Credit Basis to Maturity
|
abstract double |
calcYield01FromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Yield01 from Credit Basis to Work-out
|
abstract double |
calcYield01FromCreditBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Yield01 from Credit Basis to Optimal Exercise
|
abstract double |
calcYield01FromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Yield01 from Discount Margin to Maturity
|
abstract double |
calcYield01FromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Yield01 from Discount Margin to Work-out
|
abstract double |
calcYield01FromDiscountMarginToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Yield01 from Discount Margin to Optimal Exercise
|
abstract double |
calcYield01FromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Yield01 from G Spread to Maturity
|
abstract double |
calcYield01FromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Yield01 from G Spread to Work-out
|
abstract double |
calcYield01FromGSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Yield01 from G Spread to Optimal Exercise
|
abstract double |
calcYield01FromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Yield01 from I Spread to Maturity
|
abstract double |
calcYield01FromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Yield01 from I Spread to Work-out
|
abstract double |
calcYield01FromISpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Yield01 from I Spread to Optimal Exercise
|
abstract double |
calcYield01FromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Yield01 from OAS to Maturity
|
abstract double |
calcYield01FromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Yield01 from OAS to Work-out
|
abstract double |
calcYield01FromOASToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Yield01 from OAS to Optimal Exercise
|
abstract double |
calcYield01FromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Yield01 from PECS to Maturity
|
abstract double |
calcYield01FromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Yield01 from PECS to Work-out
|
abstract double |
calcYield01FromPECSToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Yield01 from PECS to Optimal Exercise
|
abstract double |
calcYield01FromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Yield01 from Price to Maturity
|
abstract double |
calcYield01FromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Yield01 from Price to Work-out
|
abstract double |
calcYield01FromPriceToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Yield01 from Price to Optimal Exercise
|
abstract double |
calcYield01FromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Yield01 from TSY Spread to Maturity
|
abstract double |
calcYield01FromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Yield01 from TSY Spread to Work-out
|
abstract double |
calcYield01FromTSYSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Yield01 from TSY Spread to Optimal Exercise
|
abstract double |
calcYield01FromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Yield01 from Yield to Maturity
|
abstract double |
calcYield01FromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Yield01 from Yield to Work-out
|
abstract double |
calcYield01FromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Yield01 from Yield Spread to Maturity
|
abstract double |
calcYield01FromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Yield01 from Yield Spread to Work-out
|
abstract double |
calcYield01FromYieldSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Yield01 from Yield Spread to Optimal Exercise
|
abstract double |
calcYield01FromYieldToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Yield01 from Yield to Optimal Exercise
|
abstract double |
calcYield01FromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Yield01 from Z Spread to Maturity
|
abstract double |
calcYield01FromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Yield01 from Z Spread to Work-out
|
abstract double |
calcYield01FromZSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Yield01 from Z Spread to Optimal Exercise
|
abstract double |
calcYieldFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Yield from ASW to Maturity
|
abstract double |
calcYieldFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Yield from ASW to Work-out
|
abstract double |
calcYieldFromASWToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Yield from ASW to Optimal Exercise
|
abstract double |
calcYieldFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Yield from Bond Basis to Maturity
|
abstract double |
calcYieldFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Yield from Bond Basis to Work-out
|
abstract double |
calcYieldFromBondBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Yield from Bond Basis to Optimal Exercise
|
abstract double |
calcYieldFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Yield from Credit Basis to Maturity
|
abstract double |
calcYieldFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Yield from Credit Basis to Work-out
|
abstract double |
calcYieldFromCreditBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Yield from Credit Basis to Optimal Exercise
|
abstract double |
calcYieldFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Yield from Discount Margin to Maturity
|
abstract double |
calcYieldFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Yield from Discount Margin to Work-out
|
abstract double |
calcYieldFromDiscountMarginToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Yield from Discount Margin to Optimal Exercise
|
abstract double |
calcYieldFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Yield from G Spread to Maturity
|
abstract double |
calcYieldFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Yield from G Spread to Work-out
|
abstract double |
calcYieldFromGSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Yield from G Spread to Optimal Exercise
|
abstract double |
calcYieldFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Yield from I Spread to Maturity
|
abstract double |
calcYieldFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Yield from I Spread to Work-out
|
abstract double |
calcYieldFromISpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Yield from I Spread to Optimal Exercise
|
abstract double |
calcYieldFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Yield from OAS to Maturity
|
abstract double |
calcYieldFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Yield from OAS to Work-out
|
abstract double |
calcYieldFromOASToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Yield from OAS to Optimal Exercise
|
abstract double |
calcYieldFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Yield from PECS to Maturity
|
abstract double |
calcYieldFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Yield from PECS to Work-out
|
abstract double |
calcYieldFromPECSToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Yield from PECS to Optimal Exercise
|
abstract double |
calcYieldFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Yield from Price to Maturity
|
abstract double |
calcYieldFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Yield from Price to Work-out
|
abstract double |
calcYieldFromPriceToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Yield from Price to Optimal Exercise
|
abstract double |
calcYieldFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Yield from TSY Spread to Maturity
|
abstract double |
calcYieldFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Yield from TSY Spread to Work-out
|
abstract double |
calcYieldFromTSYSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Yield from TSY Spread to Optimal Exercise
|
abstract double |
calcYieldFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Yield from Yield Spread to Maturity
|
abstract double |
calcYieldFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Yield from Yield Spread to Work-out
|
abstract double |
calcYieldFromYieldSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Yield from Yield Spread to Optimal Exercise
|
abstract double |
calcYieldFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Yield from Z Spread to Maturity
|
abstract double |
calcYieldFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Yield from Z Spread to Work-out
|
abstract double |
calcYieldFromZSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Yield from Z Spread to Optimal Exercise
|
abstract double |
calcYieldSpreadFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Yield Spread from ASW to Maturity
|
abstract double |
calcYieldSpreadFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Yield Spread from ASW to Work-out
|
abstract double |
calcYieldSpreadFromASWToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Yield Spread from ASW to Optimal Exercise
|
abstract double |
calcYieldSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Yield Spread from Bond Basis to Maturity
|
abstract double |
calcYieldSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Yield Spread from Bond Basis to Work-out
|
abstract double |
calcYieldSpreadFromBondBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Yield Spread from Bond Basis to Optimal Exercise
|
abstract double |
calcYieldSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Yield Spread from Credit Basis to Maturity
|
abstract double |
calcYieldSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Yield Spread from Credit Basis to Work-out
|
abstract double |
calcYieldSpreadFromCreditBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Yield Spread from Credit Basis to Optimal Exercise
|
abstract double |
calcYieldSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Yield Spread from Discount Margin to Maturity
|
abstract double |
calcYieldSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Yield Spread from Discount Margin to Work-out
|
abstract double |
calcYieldSpreadFromDiscountMarginToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Yield Spread from Discount Margin to Optimal Exercise
|
abstract double |
calcYieldSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Yield Spread from G Spread to Maturity
|
abstract double |
calcYieldSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Yield Spread from G Spread to Work-out
|
abstract double |
calcYieldSpreadFromGSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Yield Spread from G Spread to Optimal Exercise
|
abstract double |
calcYieldSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Yield Spread from I Spread to Maturity
|
abstract double |
calcYieldSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Yield Spread from I Spread to Work-out
|
abstract double |
calcYieldSpreadFromISpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Yield Spread from I Spread to Optimal Exercise
|
abstract double |
calcYieldSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Yield Spread from OAS to Maturity
|
abstract double |
calcYieldSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Yield Spread from OAS to Work-out
|
abstract double |
calcYieldSpreadFromOASToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Yield Spread from OAS to Optimal Exercise
|
abstract double |
calcYieldSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Yield Spread from PECS to Maturity
|
abstract double |
calcYieldSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Yield Spread from PECS to Work-out
|
abstract double |
calcYieldSpreadFromPECSToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Yield Spread from PECS to Optimal Exercise
|
abstract double |
calcYieldSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Yield Spread from Price to Maturity
|
abstract double |
calcYieldSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Yield Spread from Price to Work-out
|
abstract double |
calcYieldSpreadFromPriceToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Yield Spread from Price to Optimal Exercise
|
abstract double |
calcYieldSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Yield Spread from TSY Spread to Maturity
|
abstract double |
calcYieldSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Yield Spread from TSY Spread to Work-out
|
abstract double |
calcYieldSpreadFromTSYSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Yield Spread from TSY Spread to Optimal Exercise
|
abstract double |
calcYieldSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Yield Spread from Yield to Maturity
|
abstract double |
calcYieldSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Yield Spread from Yield to Work-out
|
abstract double |
calcYieldSpreadFromYieldToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Yield Spread from Yield to Optimal Exercise
|
abstract double |
calcYieldSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Yield Spread from Z Spread to Maturity
|
abstract double |
calcYieldSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Yield Spread from Z Spread to Work-out
|
abstract double |
calcYieldSpreadFromZSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate Yield Spread from Z Spread to Optimal Exercise
|
abstract double |
calcZSpreadFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Z Spread from ASW to Maturity
|
abstract double |
calcZSpreadFromASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Z Spread from ASW to Work-out
|
abstract double |
calcZSpreadFromASWToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblASW)
Calculate Z Spread from ASW to Optimal Exercise
|
abstract double |
calcZSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Z Spread from Bond Basis to Maturity
|
abstract double |
calcZSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Z Spread from Bond Basis to Work-out
|
abstract double |
calcZSpreadFromBondBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate Z Spread from Bond Basis to Optimal Exercise
|
abstract double |
calcZSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Z Spread from Credit Basis to Maturity
|
abstract double |
calcZSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Z Spread from Credit Basis to Work-out
|
abstract double |
calcZSpreadFromCreditBasisToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate Z Spread from Credit Basis to Optimal Exercise
|
abstract double |
calcZSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Z Spread from Discount Margin to Maturity
|
abstract double |
calcZSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Z Spread from Discount Margin to Work-out
|
abstract double |
calcZSpreadFromDiscountMarginToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate Z Spread from Discount Margin to Optimal Exercise
|
abstract double |
calcZSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Z Spread from G Spread to Maturity
|
abstract double |
calcZSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Z Spread from G Spread to Work-out
|
abstract double |
calcZSpreadFromGSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate Z Spread from G Spread to Optimal Exercise
|
abstract double |
calcZSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Z Spread from I Spread to Maturity
|
abstract double |
calcZSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Z Spread from I Spread to Work-out
|
abstract double |
calcZSpreadFromISpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate Z Spread from I Spread to Optimal Exercise
|
abstract double |
calcZSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Z Spread from OAS to Maturity
|
abstract double |
calcZSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Z Spread from OAS to Work-out
|
abstract double |
calcZSpreadFromOASToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate Z Spread from OAS to Optimal Exercise
|
abstract double |
calcZSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Z Spread from PECS to Maturity
|
abstract double |
calcZSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Z Spread from PECS to Work-out
|
abstract double |
calcZSpreadFromPECSToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate Z Spread from PECS to Optimal Exercise
|
abstract double |
calcZSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Z Spread from Price to Maturity
|
abstract double |
calcZSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Z Spread from Price to Work-out
|
abstract double |
calcZSpreadFromPriceToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate Z Spread from Price to Optimal Exercise
|
abstract double |
calcZSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Z Spread from TSY Spread to Maturity
|
abstract double |
calcZSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Z Spread from TSY Spread to Work-out
|
abstract double |
calcZSpreadFromTSYSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate Z Spread from TSY Spread to Optimal Exercise
|
abstract double |
calcZSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Z Spread from Yield to Maturity
|
abstract double |
calcZSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Z Spread from Yield to Work-out
|
abstract double |
calcZSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Z Spread from Yield Spread to Maturity
|
abstract double |
calcZSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Z Spread from Yield Spread to Work-out
|
abstract double |
calcZSpreadFromYieldSpreadToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate Z Spread from Yield Spread to Optimal Exercise
|
abstract double |
calcZSpreadFromYieldToOptimalExercise(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate Z Spread from Yield to Optimal Exercise
|
abstract java.lang.String |
getAccrualDC()
Return the bond's accrual day count
|
abstract java.lang.String |
getCalculationType()
Return the bond's calculation type
|
abstract java.lang.String |
getCouponCurrency()
Return the bond's coupon currency
|
abstract java.lang.String |
getCouponDC()
Return the bond's coupon day count
|
abstract int |
getCouponFreq()
Return the bond's coupon frequency
|
abstract java.lang.String |
getCouponType()
Return the bond's coupon type
|
abstract double |
getCurrentCoupon()
Return the current bond coupon
|
abstract java.lang.String |
getCUSIP()
Get the CUSIP
|
abstract double |
getEffectiveTsyBmkYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Retrieve the effective treasury benchmark yield from the valuation, the component market parameters,
and the market price
|
abstract EmbeddedOptionSchedule |
getEmbeddedCallSchedule()
Return the bond's embedded call schedule
|
abstract EmbeddedOptionSchedule |
getEmbeddedPutSchedule()
Return the bond's embedded put schedule
|
abstract JulianDate |
getFinalMaturity()
Return the bond's final maturity
|
abstract java.lang.String |
getFloatCouponConvention()
Return the bond's floating coupon convention
|
abstract double |
getFloatSpread()
Return the floating spread of the bond
|
abstract java.lang.String |
getISIN()
Get the ISIN
|
abstract java.util.List<LossPeriodCurveFactors> |
getLossFlowFromPrice(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Get the bond's loss flow from price
|
abstract java.lang.String |
getMaturityType()
Return the bond's maturity type
|
abstract JulianDate |
getPeriodResetDate(double dblValue)
Get the bond's reset date for the period identified by the valuation date
|
abstract java.lang.String |
getRateIndex()
Return the rate index of the bond
|
abstract java.lang.String |
getRedemptionCurrency()
Return the bond's redemption currency
|
abstract double |
getRedemptionValue()
Return the bond's redemption value
|
abstract double[] |
getSecTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams)
Retrieve the array of double for the bond's secondary treasury spreads from the Valuation
Parameters and the component market parameters
|
abstract java.lang.String |
getTicker()
Return the bond ticker
|
abstract java.lang.String |
getTradeCurrency()
Return the bond's trade currency
|
abstract boolean |
hasBeenExercised()
Indicate if the bond has been exercised
|
abstract boolean |
hasDefaulted()
Indicate if the bond has defaulted
|
abstract boolean |
hasVariableCoupon()
Indicate if the bond has variable coupon
|
abstract boolean |
inFirstCouponPeriod(double dblDate)
Indicate whether the given date is in the first coupon period
|
abstract boolean |
inLastCouponPeriod(double dblDate)
Indicate whether the given date is in the final coupon period
|
abstract boolean |
isCallable()
Indicate if the bond is callable
|
abstract boolean |
isFloater()
Return whether the bond is a floater
|
abstract boolean |
isPerpetual()
Indicate if the bond is perpetual
|
abstract boolean |
isPutable()
Indicate if the bond is putable
|
abstract boolean |
isSinkable()
Indicate if the bond is sinkable
|
abstract boolean |
isTradeable(ValuationParams valParams)
Calculate if the bond is tradeable on the given date
|
abstract void |
showPeriods()
Display all the coupon periods onto stdout
|
abstract BondRVMeasures |
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
|
getCouponFlow, getCRValParams, getLossFlow, getRecovery, getRecovery
calcPVDFMicroJack, calcQuoteDFMicroJack, generateCalibPRLC, getPrimaryCode, getSecondaryCode, setPrimaryCode, terminalDate
calcCustomScenarioMeasures, calcMeasures, calcMeasureValue, getCashFlowPeriod, getCashSettleParams, getCoupon, getEffectiveDate, getFirstCouponDate, getInitialNotional, getMaturityDate, getMeasureNames, getNotional, getNotional, setCurves, tenor, value
deserialize, getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer, serialize
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
getComponentName, getCreditCurveName, getEDSFCurveName, getForwardCurveName, getIRCurveName, getTreasuryCurveName
public abstract WorkoutInfo calcExerciseYieldFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice)
valParams
- Valuation ParametersmktParams
- Bond Market ParametersquotingParams
- Quoting ParametersdblPrice
- Pricepublic abstract double[] getSecTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams)
valParams
- ValuationParamsmktParams
- ComponentMarketParamspublic abstract double getEffectiveTsyBmkYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- ComponentMarketParamsquotingParams
- Bond Quoting parametersdblPrice
- Market pricejava.lang.Exception
- Thrown if the effective benchmark cannot be calculatedpublic abstract java.lang.String getISIN()
public abstract java.lang.String getCUSIP()
public abstract java.util.List<LossPeriodCurveFactors> getLossFlowFromPrice(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice)
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- ComponentMarketParamsquotingParams
- Bond Quoting parametersdblPrice
- Input pricepublic abstract boolean isFloater()
public abstract java.lang.String getRateIndex()
public abstract double getCurrentCoupon()
public abstract double getFloatSpread()
public abstract java.lang.String getTicker()
public abstract boolean isCallable()
public abstract boolean isPutable()
public abstract boolean isSinkable()
public abstract boolean hasVariableCoupon()
public abstract boolean hasBeenExercised()
public abstract boolean hasDefaulted()
public abstract boolean isPerpetual()
public abstract boolean isTradeable(ValuationParams valParams) throws java.lang.Exception
valParams
- Valuation Parametersjava.lang.Exception
- Thrown if inputs are invalidpublic abstract EmbeddedOptionSchedule getEmbeddedCallSchedule()
public abstract EmbeddedOptionSchedule getEmbeddedPutSchedule()
public abstract java.lang.String getCouponType()
public abstract java.lang.String getCouponDC()
public abstract java.lang.String getAccrualDC()
public abstract java.lang.String getMaturityType()
public abstract int getCouponFreq()
public abstract JulianDate getFinalMaturity()
public abstract java.lang.String getCalculationType()
public abstract double getRedemptionValue()
public abstract java.lang.String getCouponCurrency()
public abstract java.lang.String getRedemptionCurrency()
public abstract boolean inFirstCouponPeriod(double dblDate) throws java.lang.Exception
dblDate
- Valuation Datejava.lang.Exception
- Thrown if inputs are invalidpublic abstract boolean inLastCouponPeriod(double dblDate) throws java.lang.Exception
dblDate
- Valuation Datejava.lang.Exception
- Thrown if inputs are invalidpublic abstract java.lang.String getTradeCurrency()
public abstract java.lang.String getFloatCouponConvention()
public abstract JulianDate getPeriodResetDate(double dblValue)
dblValue
- Valuation Datepublic abstract JulianDate calcPreviousCouponDate(JulianDate dt)
dt
- Valuation Datepublic abstract double calcPreviousCouponRate(JulianDate dt, ComponentMarketParams mktParams) throws java.lang.Exception
dt
- Valuation DatemktParams
- Component Market Paramsjava.lang.Exception
- Thrown if the previous coupon rate cannot be calculatedpublic abstract JulianDate calcCurrentCouponDate(JulianDate dt)
dt
- Valuation Datepublic abstract JulianDate calcNextCouponDate(JulianDate dt)
dt
- Valuation Datepublic abstract ExerciseInfo calcNextValidExerciseDateOfType(JulianDate dt, boolean bGetPut)
dt
- Valuation DatebGetPut
- TRUE => Gets the next put datepublic abstract ExerciseInfo calcNextValidExerciseInfo(JulianDate dt)
dt
- Valuation Datepublic abstract double calcCurrentCouponRate(JulianDate dt, ComponentMarketParams mktParams) throws java.lang.Exception
dt
- Valuation DatemktParams
- Component Market Paramsjava.lang.Exception
- Thrown if the current period coupon rate cannot be calculatedpublic abstract double calcNextCouponRate(JulianDate dt, ComponentMarketParams mktParams) throws java.lang.Exception
dt
- Valuation DatemktParams
- Component Market Paramsjava.lang.Exception
- Thrown if the subsequent coupon rate cannot be calculatedpublic abstract double calcAccrued(double dblDate, ComponentMarketParams mktParams) throws java.lang.Exception
dblDate
- Valuation DatemktParams
- Bond market parametersjava.lang.Exception
- Thrown if accrual cannot be calculatedpublic abstract double calcPriceFromBumpedZC(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, int iZeroCurveBaseDC, double dblWorkoutDate, double dblWorkoutFactor, double dblZCBump) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- ComponentMarketParamsquotingParams
- Quoting ParametersiZeroCurveBaseDC
- The Discount Curve to derive the zero curve off ofdblWorkoutDate
- Double Work-out datedblWorkoutFactor
- Double Work-out factordblZCBump
- Bump to be applied to the zero curvejava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcPriceFromBumpedDC(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDCBump) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- ComponentMarketParamsdblWorkoutDate
- Double Work-out datedblWorkoutFactor
- Double Work-out factordblDCBump
- Bump to be applied to the DCjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcPriceFromBumpedCC(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis, boolean bFlat) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- ComponentMarketParamsdblWorkoutDate
- Double Work-out datedblWorkoutFactor
- Double Work-out factordblCreditBasis
- Bump to be applied to the credit curvebFlat
- Is the CDS Curve flat (for PECS)java.lang.Exception
- Thrown if the bond's credit risky theoretical price cannot be calculatedpublic abstract double calcASWFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblBondBasis
- Bond Basis to Work-outjava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Maturityjava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromBondBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Optimal Exercisejava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblCreditBasis
- Credit Basis to Work-outjava.lang.Exception
- Thrown if the ASW cannot be calculatedpublic abstract double calcASWFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Maturityjava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromCreditBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Optimal Exercisejava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblDiscountMargin
- Discount Margin to Work-outjava.lang.Exception
- Thrown if the ASW cannot be calculatedpublic abstract double calcASWFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Maturityjava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromDiscountMarginToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Optimal Exercisejava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblGSpread
- G Spread to Work-outjava.lang.Exception
- Thrown if the ASW cannot be calculatedpublic abstract double calcASWFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Maturityjava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromGSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Optimal Exercisejava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblISpread
- I Spread to Work-outjava.lang.Exception
- Thrown if the ASW cannot be calculatedpublic abstract double calcASWFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Maturityjava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromISpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Optimal Exercisejava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblOAS
- OAS to Work-outjava.lang.Exception
- Thrown if the ASW cannot be calculatedpublic abstract double calcASWFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Maturityjava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromOASToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Optimal Exercisejava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPECS
- PECS to Work-outjava.lang.Exception
- Thrown if the ASW cannot be calculatedpublic abstract double calcASWFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Maturityjava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromPECSToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Optimal Exercisejava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPrice
- Price to Work-outjava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Maturityjava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromPriceToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Optimal Exercisejava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblTSYSpread
- TSY Spread to Work-outjava.lang.Exception
- Thrown if the ASW cannot be calculatedpublic abstract double calcASWFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Maturityjava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromTSYSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Optimal Exercisejava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYield
- Yield to Work-outjava.lang.Exception
- Thrown if the ASW cannot be calculatedpublic abstract double calcASWFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Maturityjava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromYieldToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Optimal Exercisejava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYieldSpread
- Yield Spread to Work-outjava.lang.Exception
- Thrown if the ASW cannot be calculatedpublic abstract double calcASWFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Maturityjava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromYieldSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Optimal Exercisejava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblZSpread
- Z Spread to Work-outjava.lang.Exception
- Thrown if the ASW cannot be calculatedpublic abstract double calcASWFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Maturityjava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcASWFromZSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Optimal Exercisejava.lang.Exception
- Thrown if ASW cannot be calculatedpublic abstract double calcBondBasisFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblASW
- ASW to Work-outjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Maturityjava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromASWToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Optimal Exercisejava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblCreditBasis
- Credit Basis to Work-outjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Maturityjava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromCreditBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Optimal Exercisejava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblDiscountMargin
- Discount Margin to Work-outjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Maturityjava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromDiscountMarginToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Optimal Exercisejava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblGSpread
- G Spread to Work-outjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Maturityjava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromGSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Optimal Exercisejava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblISpread
- I Spread to Work-outjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Maturityjava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromISpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Optimal Exercisejava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblOAS
- OAS to Work-outjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Maturityjava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromOASToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Optimal Exercisejava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPECS
- PECS to Work-outjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Maturityjava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromPECSToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Optimal Exercisejava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPrice
- Price to Work-outjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Maturityjava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromPriceToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Optimal Exercisejava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblTSYSpread
- TSY Spread to Work-outjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Maturityjava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromTSYSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Optimal Exercisejava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYield
- Yield to Work-outjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Maturityjava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromYieldToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Optimal Exercisejava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYieldSpread
- Yield Spread to Work-outjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Maturityjava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromYieldSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Optimal Exercisejava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblZSpread
- Z Spread to Work-outjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Maturityjava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromZSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Optimal Exercisejava.lang.Exception
- Thrown if Bond Basis cannot be calculatedpublic abstract double calcConvexityFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblASW
- ASW to Work-outjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic abstract double calcConvexityFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Maturityjava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromASWToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Optimal Exercisejava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblBondBasis
- Bond Basis to Work-outjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic abstract double calcConvexityFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Maturityjava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromBondBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Optimal Exercisejava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblCreditBasis
- Credit Basis to Work-outjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic abstract double calcConvexityFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Maturityjava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromCreditBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Optimal Exercisejava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblDiscountMargin
- Discount Margin to Work-outjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic abstract double calcConvexityFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Maturityjava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromDiscountMarginToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Optimal Exercisejava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblGSpread
- G Spread to Work-outjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic abstract double calcConvexityFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Maturityjava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromGSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Optimal Exercisejava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblISpread
- I Spread to Work-outjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic abstract double calcConvexityFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Maturityjava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromISpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Optimal Exercisejava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblOAS
- OAS to Work-outjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic abstract double calcConvexityFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Maturityjava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromOASToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Optimal Exercisejava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPECS
- PECS to Work-outjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic abstract double calcConvexityFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Maturityjava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromPECSToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Optimal Exercisejava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPrice
- Price to Work-outjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic abstract double calcConvexityFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Maturityjava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromPriceToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Optimal Exercisejava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblTSYSpread
- TSY Spread to Work-outjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic abstract double calcConvexityFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Maturityjava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromTSYSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Optimal Exercisejava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYield
- Yield to Work-outjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic abstract double calcConvexityFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Maturityjava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromYieldToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Optimal Exercisejava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYieldSpread
- Yield Spread to Work-outjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic abstract double calcConvexityFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Maturityjava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromYieldSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Optimal Exercisejava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblZSpread
- Z Spread to Work-outjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic abstract double calcConvexityFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Maturityjava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcConvexityFromZSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Optimal Exercisejava.lang.Exception
- Thrown if Convexity cannot be calculatedpublic abstract double calcCreditBasisFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblASW
- ASW to Work-outjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Maturityjava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromASWToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Optimal Exercisejava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblBondBasis
- Bond Basis to Work-outjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Maturityjava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromBondBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Optimal Exercisejava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblDiscountMargin
- Discount Margin to Work-outjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Maturityjava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromDiscountMarginToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Optimal Exercisejava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcCreditBasisFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblGSpread
- G Spread to Work-outjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Maturityjava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromGSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Optimal Exercisejava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblISpread
- I Spread to Work-outjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Maturityjava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromISpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Optimal Exercisejava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblOAS
- OAS to Work-outjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Maturityjava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromOASToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Optimal Exercisejava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPECS
- PECS to Work-outjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Maturityjava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromPECSToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Optimal Exercisejava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPrice
- Price to Work-outjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Maturityjava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromPriceToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Optimal Exercisejava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblTSYSpread
- TSY Spread to Work-outjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Maturityjava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromTSYSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Optimal Exercisejava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYield
- Yield to Work-outjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Maturityjava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromYieldToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Optimal Exercisejava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYieldSpread
- Yield Spread to Work-outjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Maturityjava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromYieldSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Optimal Exercisejava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblZSpread
- Z Spread to Work-outjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Maturityjava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromZSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Optimal Exercisejava.lang.Exception
- Thrown if Credit Basis cannot be calculatedpublic abstract double calcDiscountMarginFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblASW
- ASW to Work-outjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Maturityjava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromASWToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Optimal Exercisejava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblBondBasis
- Bond Basis to Work-outjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Maturityjava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromBondBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Optimal Exercisejava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblCreditBasis
- Credit Basis to Work-outjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Maturityjava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromCreditBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Optimal Exercisejava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblGSpread
- G Spread to Work-outjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Maturityjava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromGSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Optimal Exercisejava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblISpread
- I Spread to Work-outjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Maturityjava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromISpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Optimal Exercisejava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblOAS
- OAS to Work-outjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Maturityjava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromOASToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Optimal Exercisejava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPECS
- PECS to Work-outjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Maturityjava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromPECSToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Optimal Exercisejava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPrice
- Price to Work-outjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Maturityjava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromPriceToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Optimal Exercisejava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblTSYSpread
- TSY Spread to Work-outjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Maturityjava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromTSYSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Optimal Exercisejava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYield
- Yield to Work-outjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Maturityjava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromYieldToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Optimal Exercisejava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYieldSpread
- Yield Spread to Work-outjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Maturityjava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromYieldSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Optimal Exercisejava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblZSpread
- Z Spread to Work-outjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Maturityjava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromZSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Optimal Exercisejava.lang.Exception
- Thrown if Discount Margin cannot be calculatedpublic abstract double calcDurationFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblASW
- ASW to Work-outjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic abstract double calcDurationFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Maturityjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromASWToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Optimal Exercisejava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblBondBasis
- Bond Basis to Work-outjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Maturityjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromBondBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Optimal Exercisejava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblCreditBasis
- Credit Basis to Work-outjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Maturityjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromCreditBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Optimal Exercisejava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblDiscountMargin
- Discount Margin to Work-outjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Maturityjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromDiscountMarginToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Optimal Exercisejava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblGSpread
- G Spread to Work-outjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Maturityjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromGSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Optimal Exercisejava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblISpread
- I Spread to Work-outjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Maturityjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromISpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Optimal Exercisejava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblOAS
- OAS to Work-outjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Maturityjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromOASToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Optimal Exercisejava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPECS
- PECS to Work-outjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Maturityjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromPECSToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Optimal Exercisejava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPrice
- Price to Work-outjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Maturityjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromPriceToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Optimal Exercisejava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblTSYSpread
- TSY Spread to Work-outjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Maturityjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromTSYSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Optimal Exercisejava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYield
- Yield to Work-outjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Maturityjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromYieldToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Optimal Exercisejava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYieldSpread
- Yield Spread to Work-outjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Maturityjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromYieldSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Optimal Exercisejava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblZSpread
- Z Spread to Work-outjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Maturityjava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcDurationFromZSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Optimal Exercisejava.lang.Exception
- Thrown if Duration cannot be calculatedpublic abstract double calcGSpreadFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblASW
- ASW to Work-outjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Maturityjava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromASWToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Optimal Exercisejava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblBondBasis
- Bond Basis to Work-outjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Maturityjava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromBondBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Optimal Exercisejava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblCreditBasis
- Credit Basis to Work-outjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Maturityjava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromCreditBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Optimal Exercisejava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblDiscountMargin
- Discount Margin to Work-outjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Maturityjava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromDiscountMarginToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Optimal Exercisejava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblISpread
- I Spread to Work-outjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Maturityjava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromISpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Optimal Exercisejava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblOAS
- OAS to Work-outjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Maturityjava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromOASToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Optimal Exercisejava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPECS
- PECS to Work-outjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Maturityjava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromPECSToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Optimal Exercisejava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPrice
- Price to Work-outjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Maturityjava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromPriceToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Optimal Exercisejava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblTSYSpread
- TSY Spread to Work-outjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Maturityjava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromTSYSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Optimal Exercisejava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYield
- Yield to Work-outjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Maturityjava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromYieldToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Optimal Exercisejava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYieldSpread
- Yield Spread to Work-outjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Maturityjava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromYieldSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Optimal Exercisejava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblZSpread
- Z Spread to Work-outjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Maturityjava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcGSpreadFromZSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Optimal Exercisejava.lang.Exception
- Thrown if G Spread cannot be calculatedpublic abstract double calcISpreadFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblASW
- ASW to Work-outjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Maturityjava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromASWToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Optimal Exercisejava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblBondBasis
- Bond Basis to Work-outjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Maturityjava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromBondBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Optimal Exercisejava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblCreditBasis
- Credit Basis to Work-outjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Maturityjava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromCreditBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Optimal Exercisejava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblDiscountMargin
- Discount Margin to Work-outjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Maturityjava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromDiscountMarginToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Optimal Exercisejava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblGSpread
- G Spread to Work-outjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Maturityjava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromGSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Optimal Exercisejava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblOAS
- OAS to Work-outjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Maturityjava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromOASToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Optimal Exercisejava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPECS
- PECS to Work-outjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Maturityjava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromPECSToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Optimal Exercisejava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPrice
- Price to Work-outjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Maturityjava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromPriceToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Optimal Exercisejava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblTSYSpread
- TSY Spread to Work-outjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Maturityjava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromTSYSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Optimal Exercisejava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYield
- Yield to Work-outjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Maturityjava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromYieldToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Optimal Exercisejava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYieldSpread
- Yield Spread to Work-outjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Maturityjava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromYieldSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Optimal Exercisejava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblZSpread
- Z Spread to Work-outjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Maturityjava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcISpreadFromZSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Optimal Exercisejava.lang.Exception
- Thrown if I Spread cannot be calculatedpublic abstract double calcMacaulayDurationFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblASW
- ASW to Work-outjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Maturityjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromASWToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Optimal Exercisejava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblBondBasis
- Bond Basis to Work-outjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Maturityjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromBondBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Optimal Exercisejava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblCreditBasis
- Credit Basis to Work-outjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Maturityjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromCreditBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Optimal Exercisejava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblDiscountMargin
- Discount Margin to Work-outjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Maturityjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromDiscountMarginToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Optimal Exercisejava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblGSpread
- G Spread to Work-outjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Maturityjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromGSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Optimal Exercisejava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblISpread
- I Spread to Work-outjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Maturityjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromISpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Optimal Exercisejava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblOAS
- OAS to Work-outjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Maturityjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromOASToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Optimal Exercisejava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPECS
- PECS to Work-outjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Maturityjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromPECSToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Optimal Exercisejava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPrice
- Price to Work-outjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Maturityjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromPriceToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Optimal Exercisejava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblTSYSpread
- TSY Spread to Work-outjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Maturityjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromTSYSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Optimal Exercisejava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYield
- Yield to Work-outjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Maturityjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromYieldToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Optimal Exercisejava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYieldSpread
- Yield Spread to Work-outjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Maturityjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromYieldSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Optimal Exercisejava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblZSpread
- Z Spread to Work-outjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Maturityjava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcMacaulayDurationFromZSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Optimal Exercisejava.lang.Exception
- Thrown if Macaulay Duration cannot be calculatedpublic abstract double calcModifiedDurationFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblASW
- ASW to Work-outjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Maturityjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromASWToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Optimal Exercisejava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblBondBasis
- Bond Basis to Work-outjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Maturityjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromBondBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Optimal Exercisejava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblCreditBasis
- Credit Basis to Work-outjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Maturityjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromCreditBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Optimal Exercisejava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblDiscountMargin
- Discount Margin to Work-outjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Maturityjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromDiscountMarginToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Optimal Exercisejava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblGSpread
- G Spread to Work-outjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Maturityjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromGSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Optimal Exercisejava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblISpread
- I Spread to Work-outjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Maturityjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromISpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Optimal Exercisejava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblOAS
- OAS to Work-outjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Maturityjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromOASToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Optimal Exercisejava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPECS
- PECS to Work-outjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Maturityjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromPECSToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Optimal Exercisejava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPrice
- Price to Work-outjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Maturityjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromPriceToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Optimal Exercisejava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblTSYSpread
- TSY Spread to Work-outjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Maturityjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromTSYSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Optimal Exercisejava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYield
- Yield to Work-outjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Maturityjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromYieldToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Optimal Exercisejava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYieldSpread
- Yield Spread to Work-outjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Maturityjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromYieldSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Optimal Exercisejava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblZSpread
- Z Spread to Work-outjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Maturityjava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcModifiedDurationFromZSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Optimal Exercisejava.lang.Exception
- Thrown if Modified Duration cannot be calculatedpublic abstract double calcOASFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblASW
- ASW to Work-outjava.lang.Exception
- Thrown if the OAS cannot be calculatedpublic abstract double calcOASFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Maturityjava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromASWToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Optimal Exercisejava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblBondBasis
- Bond Basis to Work-outjava.lang.Exception
- Thrown if the OAS cannot be calculatedpublic abstract double calcOASFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Maturityjava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromBondBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Optimal Exercisejava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblCreditBasis
- Credit Basis to Work-outjava.lang.Exception
- Thrown if the OAS cannot be calculatedpublic abstract double calcOASFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Maturityjava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromCreditBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Optimal Exercisejava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblDiscountMargin
- Discount Margin to Work-outjava.lang.Exception
- Thrown if the OAS cannot be calculatedpublic abstract double calcOASFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Maturityjava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromDiscountMarginToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Optimal Exercisejava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblGSpread
- G Spread to Work-outjava.lang.Exception
- Thrown if the OAS cannot be calculatedpublic abstract double calcOASFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Maturityjava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromGSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Optimal Exercisejava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblISpread
- I Spread to Work-outjava.lang.Exception
- Thrown if the OAS cannot be calculatedpublic abstract double calcOASFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Maturityjava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromISpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- ISpread to Optimal Exercisejava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPECS
- PECS to Work-outjava.lang.Exception
- Thrown if the OAS cannot be calculatedpublic abstract double calcOASFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Maturityjava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromPECSToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Optimal Exercisejava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPrice
- Price to Work-outjava.lang.Exception
- Thrown if the OAS cannot be calculatedpublic abstract double calcOASFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Maturityjava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromPriceToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Optimal Exercisejava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblTSYSpread
- TSY Spread to Work-outjava.lang.Exception
- Thrown if the OAS cannot be calculatedpublic abstract double calcOASFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Maturityjava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromTSYSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Optimal Exercisejava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYield
- Yield to Work-outjava.lang.Exception
- Thrown if the OAS cannot be calculatedpublic abstract double calcOASFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Maturityjava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromYieldToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Optimal Exercisejava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYieldSpread
- Yield Spread to Work-outjava.lang.Exception
- Thrown if the OAS cannot be calculatedpublic abstract double calcOASFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Maturityjava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromYieldSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Optimal Exercisejava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblZSpread
- Z Spread to Work-outjava.lang.Exception
- Thrown if the OAS cannot be calculatedpublic abstract double calcOASFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Maturityjava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcOASFromZSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Optimal Exercisejava.lang.Exception
- Thrown if OAS cannot be calculatedpublic abstract double calcPECSFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblASW
- ASW to Work-outjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Maturityjava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromASWToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Optimal Exercisejava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblBondBasis
- Bond Basis to Work-outjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Maturityjava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromBondBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Optimal Exercisejava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblCreditBasis
- Credit Basis to Work-outjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Maturityjava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromCreditBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Optimal Exercisejava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblDiscountMargin
- Discount Margin to Work-outjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Maturityjava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromDiscountMarginToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Optimal Exercisejava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblGSpread
- G Spread to Work-outjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Maturityjava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromGSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Optimal Exercisejava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblISpread
- I Spread to Work-outjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Maturityjava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromISpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- ISpread to Optimal Exercisejava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblOAS
- OAS to Work-outjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Maturityjava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromOASToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Optimal Exercisejava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPrice
- Price to Work-outjava.lang.Exception
- Thrown if the Price cannot be calculatedpublic abstract double calcPECSFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Maturityjava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromPriceToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Optimal Exercisejava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblTSYSpread
- TSY Spread to Work-outjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Maturityjava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromTSYSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Optimal Exercisejava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYield
- Yield to Work-outjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Maturityjava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromYieldToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Optimal Exercisejava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYieldSpread
- Yield Spread to Work-outjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Maturityjava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromYieldSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Optimal Exercisejava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblZSpread
- Z Spread to Work-outjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Maturityjava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPECSFromZSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Optimal Exercisejava.lang.Exception
- Thrown if PECS cannot be calculatedpublic abstract double calcPriceFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblASW
- ASW to Work-outjava.lang.Exception
- Thrown if the Price cannot be calculatedpublic abstract double calcPriceFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Maturityjava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromASWToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Optimal Exercisejava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblBondBasis
- Bond Basis to Work-outjava.lang.Exception
- Thrown if the Price cannot be calculatedpublic abstract double calcPriceFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Maturityjava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromBondBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Optimal Exercisejava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblCreditBasis
- Credit Basis to Work-outjava.lang.Exception
- Thrown if the Price cannot be calculatedpublic abstract double calcPriceFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Maturityjava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromCreditBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Optimal Exercisejava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblDiscountMargin
- Discount Margin to Work-outjava.lang.Exception
- Thrown if the Price cannot be calculatedpublic abstract double calcPriceFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Maturityjava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromDiscountMarginToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Optimal Exercisejava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblGSpread
- G Spread to Work-outjava.lang.Exception
- Thrown if the Price cannot be calculatedpublic abstract double calcPriceFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Maturityjava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromGSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Optimal Exercisejava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblISpread
- I Spread to Work-outjava.lang.Exception
- Thrown if the Price cannot be calculatedpublic abstract double calcPriceFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Maturityjava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromISpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- ISpread to Optimal Exercisejava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblOAS
- OAS to Work-outjava.lang.Exception
- Thrown if the Price cannot be calculatedpublic abstract double calcPriceFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Maturityjava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromOASToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Optimal Exercisejava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPECS
- PECS to Work-outjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPriceFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Maturityjava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromPECSToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Optimal Exercisejava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblTSYSpread
- TSY Spread to Work-outjava.lang.Exception
- Thrown if the Price cannot be calculatedpublic abstract double calcPriceFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Maturityjava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromTSYSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Optimal Exercisejava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYield
- Yield to Work-outjava.lang.Exception
- Thrown if the Price cannot be calculatedpublic abstract double calcPriceFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Maturityjava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromYieldToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Optimal Exercisejava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYieldSpread
- Yield Spread to Work-outjava.lang.Exception
- Thrown if the Price cannot be calculatedpublic abstract double calcPriceFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Maturityjava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromYieldSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Optimal Exercisejava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblZSpread
- Z Spread to Work-outjava.lang.Exception
- Thrown if the Price cannot be calculatedpublic abstract double calcPriceFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Maturityjava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcPriceFromZSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Optimal Exercisejava.lang.Exception
- Thrown if Price cannot be calculatedpublic abstract double calcTSYSpreadFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblASW
- ASW to Work-outjava.lang.Exception
- Thrown if the TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Maturityjava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromASWToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Optimal Exercisejava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblBondBasis
- Bond Basis to Work-outjava.lang.Exception
- Thrown if the TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Maturityjava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromBondBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Optimal Exercisejava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblCreditBasis
- Credit Basis to Work-outjava.lang.Exception
- Thrown if the TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Maturityjava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromCreditBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Optimal Exercisejava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblDiscountMargin
- Discount Margin to Work-outjava.lang.Exception
- Thrown if the TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Maturityjava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromDiscountMarginToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Optimal Exercisejava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblISpread
- I Spread to Work-outjava.lang.Exception
- Thrown if the TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Maturityjava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromISpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Optimal Exercisejava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblGSpread
- G Spread to Work-outjava.lang.Exception
- Thrown if the TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Maturityjava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromGSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Optimal Exercisejava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblOAS
- OAS to Work-outjava.lang.Exception
- Thrown if the TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Maturityjava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromOASToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Optimal Exercisejava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPECS
- PECS to Work-outjava.lang.Exception
- Thrown if the TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Maturityjava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromPECSToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Optimal Exercisejava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPrice
- Price to Work-outjava.lang.Exception
- Thrown if the TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Maturityjava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromPriceToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Optimal Exercisejava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYield
- Yield to Work-outjava.lang.Exception
- Thrown if the TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Maturityjava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromYieldToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Optimal Exercisejava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYieldSpread
- Yield Spread to Work-outjava.lang.Exception
- Thrown if the TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Maturityjava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromYieldSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Optimal Exercisejava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblZSpread
- Z Spread to Work-outjava.lang.Exception
- Thrown if the TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Maturityjava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcTSYSpreadFromZSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Optimal Exercisejava.lang.Exception
- Thrown if TSY Spread cannot be calculatedpublic abstract double calcYieldFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblASW
- ASW to Work-outjava.lang.Exception
- Thrown if the Yield cannot be calculatedpublic abstract double calcYieldFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Maturityjava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromASWToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Optimal Exercisejava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblBondBasis
- Bond Basis to Work-outjava.lang.Exception
- Thrown if the Yield cannot be calculatedpublic abstract double calcYieldFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Maturityjava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromBondBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Optimal Exercisejava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblCreditBasis
- Credit Basis to Work-outjava.lang.Exception
- Thrown if the Yield cannot be calculatedpublic abstract double calcYieldFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Maturityjava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromCreditBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Optimal Exercisejava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblDiscountMargin
- Discount Margin to Work-outjava.lang.Exception
- Thrown if the Yield cannot be calculatedpublic abstract double calcYieldFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Maturityjava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromDiscountMarginToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Optimal Exercisejava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblGSpread
- G Spread to Work-outjava.lang.Exception
- Thrown if the Yield cannot be calculatedpublic abstract double calcYieldFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Maturityjava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromGSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Optimal Exercisejava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblISpread
- I Spread to Work-outjava.lang.Exception
- Thrown if the Yield cannot be calculatedpublic abstract double calcYieldFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Maturityjava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromISpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- ISpread to Optimal Exercisejava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblOAS
- OAS to Work-outjava.lang.Exception
- Thrown if the Yield cannot be calculatedpublic abstract double calcYieldFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Maturityjava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromOASToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Optimal Exercisejava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPECS
- PECS to Work-outjava.lang.Exception
- Thrown if the Yield cannot be calculatedpublic abstract double calcYieldFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Maturityjava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromPECSToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Optimal Exercisejava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPrice
- Price to Work-outjava.lang.Exception
- Thrown if the Yield cannot be calculatedpublic abstract double calcYieldFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Maturityjava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromPriceToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Optimal Exercisejava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblTSYSpread
- TSY Spread to Work-outjava.lang.Exception
- Thrown if the Yield cannot be calculatedpublic abstract double calcYieldFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Maturityjava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromTSYSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Optimal Exercisejava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYieldSpread
- Yield Spread to Work-outjava.lang.Exception
- Thrown if the Yield cannot be calculatedpublic abstract double calcYieldFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Maturityjava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromYieldSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Optimal Exercisejava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblZSpread
- Z Spread to Work-outjava.lang.Exception
- Thrown if the Yield cannot be calculatedpublic abstract double calcYieldFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Maturityjava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYieldFromZSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Optimal Exercisejava.lang.Exception
- Thrown if Yield cannot be calculatedpublic abstract double calcYield01FromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblASW
- ASW to Work-outjava.lang.Exception
- Thrown if the Yield01 cannot be calculatedpublic abstract double calcYield01FromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Maturityjava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromASWToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Optimal Exercisejava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblBondBasis
- Bond Basis to Work-outjava.lang.Exception
- Thrown if the Yield01 cannot be calculatedpublic abstract double calcYield01FromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Maturityjava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromBondBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Optimal Exercisejava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblCreditBasis
- Credit Basis to Work-outjava.lang.Exception
- Thrown if the Yield01 cannot be calculatedpublic abstract double calcYield01FromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Maturityjava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromCreditBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Optimal Exercisejava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblDiscountMargin
- Discount Margin to Work-outjava.lang.Exception
- Thrown if the Yield01 cannot be calculatedpublic abstract double calcYield01FromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Maturityjava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromDiscountMarginToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Optimal Exercisejava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblGSpread
- G Spread to Work-outjava.lang.Exception
- Thrown if the Yield01 cannot be calculatedpublic abstract double calcYield01FromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Maturityjava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromGSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Optimal Exercisejava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblISpread
- I Spread to Work-outjava.lang.Exception
- Thrown if the Yield01 cannot be calculatedpublic abstract double calcYield01FromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Maturityjava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromISpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- ISpread to Optimal Exercisejava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblOAS
- OAS to Work-outjava.lang.Exception
- Thrown if the Yield01 cannot be calculatedpublic abstract double calcYield01FromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Maturityjava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromOASToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Optimal Exercisejava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPECS
- PECS to Work-outjava.lang.Exception
- Thrown if the Yield01 cannot be calculatedpublic abstract double calcYield01FromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Maturityjava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromPECSToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Optimal Exercisejava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPrice
- Price to Work-outjava.lang.Exception
- Thrown if the Yield01 cannot be calculatedpublic abstract double calcYield01FromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Maturityjava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromPriceToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Optimal Exercisejava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblTSYSpread
- TSY Spread to Work-outjava.lang.Exception
- Thrown if the Yield01 cannot be calculatedpublic abstract double calcYield01FromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Maturityjava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromTSYSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Optimal Exercisejava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYield
- Yield to Work-outjava.lang.Exception
- Thrown if the Yield01 cannot be calculatedpublic abstract double calcYield01FromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Maturityjava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromYieldToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Optimal Exercisejava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYieldSpread
- Yield Spread to Work-outjava.lang.Exception
- Thrown if the Yield01 cannot be calculatedpublic abstract double calcYield01FromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Maturityjava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromYieldSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Optimal Exercisejava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblZSpread
- Z Spread to Work-outjava.lang.Exception
- Thrown if the Yield01 cannot be calculatedpublic abstract double calcYield01FromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Maturityjava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYield01FromZSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Optimal Exercisejava.lang.Exception
- Thrown if Yield01 cannot be calculatedpublic abstract double calcYieldSpreadFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblASW
- ASW to Work-outjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Maturityjava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromASWToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Optimal Exercisejava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblBondBasis
- Bond Basis to Work-outjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Maturityjava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromBondBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Optimal Exercisejava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblCreditBasis
- Credit Basis to Work-outjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Maturityjava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromCreditBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Optimal Exercisejava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblDiscountMargin
- Discount Margin to Work-outjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Maturityjava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromDiscountMarginToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Optimal Exercisejava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblGSpread
- G Spread to Work-outjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Maturityjava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromGSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Optimal Exercisejava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblISpread
- I Spread to Work-outjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Maturityjava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromISpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- ISpread to Optimal Exercisejava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblOAS
- OAS to Work-outjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Maturityjava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromOASToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Optimal Exercisejava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPrice
- Price to Work-outjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Maturityjava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromPriceToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Optimal Exercisejava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPECS
- PECS to Work-outjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Maturityjava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromPECSToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Optimal Exercisejava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblTSYSpread
- TSY Spread to Work-outjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Maturityjava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromTSYSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Optimal Exercisejava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYield
- Yield to Work-outjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Maturityjava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromYieldToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Optimal Exercisejava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblZSpread
- Z Spread to Work-outjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Maturityjava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromZSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblZSpread
- Z Spread to Optimal Exercisejava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract double calcZSpreadFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblASW
- ASW to Work-outjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Maturityjava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromASWToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblASW) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblASW
- ASW to Optimal Exercisejava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblBondBasis
- Bond Basis to Work-outjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Maturityjava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromBondBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblBondBasis
- Bond Basis to Optimal Exercisejava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblCreditBasis
- Credit Basis to Work-outjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Maturityjava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromCreditBasisToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblCreditBasis
- Credit Basis to Optimal Exercisejava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblDiscountMargin
- Discount Margin to Work-outjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Maturityjava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromDiscountMarginToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblDiscountMargin
- Discount Margin to Optimal Exercisejava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblGSpread
- G Spread to Work-outjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Maturityjava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromGSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblGSpread
- G Spread to Optimal Exercisejava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblISpread
- I Spread to Work-outjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- I Spread to Maturityjava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromISpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblISpread
- ISpread to Optimal Exercisejava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblOAS
- OAS to Work-outjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Maturityjava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromOASToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblOAS
- OAS to Optimal Exercisejava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPrice
- Price to Work-outjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Maturityjava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromPriceToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPrice
- Price to Optimal Exercisejava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblPECS
- PECS to Work-outjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Maturityjava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromPECSToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblPECS
- PECS to Optimal Exercisejava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblTSYSpread
- TSY Spread to Work-outjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Maturityjava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromTSYSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblTSYSpread
- TSY Spread to Optimal Exercisejava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYield
- Yield to Work-outjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Maturityjava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromYieldToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYield
- Yield to Optimal Exercisejava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblWorkoutDate
- Work-out DatedblWorkoutFactor
- Work-out FactordblYieldSpread
- Yield Spread to Work-outjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Maturityjava.lang.Exception
- Thrown if Z Spread cannot be calculatedpublic abstract double calcZSpreadFromYieldSpreadToOptimalExercise(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- Valuation ParametersmktParams
- Market ParametersquotingParams
- Quoting ParametersdblYieldSpread
- Yield Spread to Optimal Exercisejava.lang.Exception
- Thrown if Yield Spread cannot be calculatedpublic abstract BondRVMeasures standardMeasures(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams, WorkoutInfo wi, double dblPrice)
valParams
- ValuationParamspricerParams
- Pricing ParametersmktParams
- Bond market parametersquotingParams
- Bond Quoting parameterswi
- Work out InformationdblPrice
- Input Pricepublic abstract void showPeriods() throws java.lang.Exception
java.lang.Exception
- Thrown if the coupon periods cannot be displayed onto stdout