Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<CreditCurve> |
CreditCurveScenarioGenerator.createTenorCCMap(java.lang.String strName,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblBump,
double dblRecovery,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Creates an tenor named map of tenor bumped credit curves
|
CaseInsensitiveTreeMap<DiscountCurve> |
RatesCurveScenarioGenerator.createTenorIRCurveMap(ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblBump,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams)
Calibrates a tenor map of tenor bumped discount curves
|
Modifier and Type | Method and Description |
---|---|
boolean |
CurveCalibrator.bootstrapHazardRate(CreditCurve cc,
Component comp,
int iInstr,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
PricerParams pricerParamsIn,
java.lang.String strMeasure,
double dblCalibValue,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Calibrate a single Hazard Rate Node from the corresponding Component
|
boolean |
CurveCalibrator.bootstrapInterestRateSequence(DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
Component[] aCalibComp,
ValuationParams valParams,
java.lang.String[] astrCalibMeasure,
double[] adblCalibValue,
double dblBump,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Boot-strap an interest rate curve from the set of calibration components
|
double |
CurveCalibrator.calibrateIRNode(DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
Component comp,
int iInstr,
ValuationParams valParams,
java.lang.String strMeasure,
double dblCalibValue,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat,
double dblSearchStart)
Calibrate a single Interest Rate Node from the corresponding Component
|
CreditCurve |
CreditCurveScenarioGenerator.createCC(java.lang.String strName,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblRecovery,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Calibrates a create curve
|
DiscountCurve |
RatesCurveScenarioGenerator.createIRCurve(ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblBump,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams)
Calibrates a discount curve
|
CreditCurve[] |
CreditCurveScenarioGenerator.createTenorCC(java.lang.String strName,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblBump,
double dblRecovery,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Creates an array of tenor bumped credit curves
|
CaseInsensitiveTreeMap<CreditCurve> |
CreditCurveScenarioGenerator.createTenorCCMap(java.lang.String strName,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblBump,
double dblRecovery,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Creates an tenor named map of tenor bumped credit curves
|
CaseInsensitiveTreeMap<DiscountCurve> |
RatesCurveScenarioGenerator.createTenorIRCurveMap(ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblBump,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams)
Calibrates a tenor map of tenor bumped discount curves
|
DiscountCurve[] |
RatesCurveScenarioGenerator.createTenorIRCurves(ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblBump,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams)
Calibrates an array of tenor bumped discount curves
|
Modifier and Type | Method and Description |
---|---|
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
PolynomialSplineDF.getCalibFixings() |
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
PolynomialForwardRate.getCalibFixings() |
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
HyperbolicTensionForwardRate.getCalibFixings() |
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
DerivedZeroRate.getCalibFixings() |
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
ConstantForwardRate.getCalibFixings() |
Modifier and Type | Method and Description |
---|---|
void |
ConstantForwardHazard.setInstrCalibInputs(ValuationParams valParam,
boolean bFlat,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
PricerParams pricerParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams) |
void |
PolynomialSplineDF.setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams) |
void |
PolynomialForwardRate.setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams) |
void |
HyperbolicTensionForwardRate.setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams) |
void |
DerivedZeroRate.setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams) |
void |
ConstantForwardRate.setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams) |
Modifier and Type | Method and Description |
---|---|
abstract java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
DiscountCurve.getCalibFixings()
Retrieve the fixings object for calibration using floater instruments
|
Modifier and Type | Method and Description |
---|---|
abstract void |
CreditCurve.setInstrCalibInputs(ValuationParams valParam,
boolean bFlat,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
PricerParams pricerParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams)
Sets the calibration inputs for the CreditCurve
|
abstract void |
DiscountCurve.setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams)
Set the calibration inputs
|
Modifier and Type | Field and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.Double> |
ComponentMeasures._mBase
Map of the base measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketMeasures._mBase
Map of the base measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
ComponentMeasures._mFlatCreditDelta
Map of the parallel credit delta measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketMeasures._mFlatCreditDelta
Map of the parallel credit delta measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
ComponentMeasures._mFlatCreditGamma
Map of the parallel credit gamma measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketMeasures._mFlatCreditGamma
Map of the parallel credit gamma measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
ComponentMeasures._mFlatIRDelta
Map of the parallel IR delta measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketMeasures._mFlatIRDelta
Map of the parallel IR delta measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
ComponentMeasures._mFlatIRGamma
Map of the parallel IR gamma measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketMeasures._mFlatIRGamma
Map of the parallel IR gamma measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketMeasures._mFlatRRDelta
Map of the parallel RR delta measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketMeasures._mFlatRRGamma
Map of the parallel RR gamma measures
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmCreditDelta
Map of the component credit delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmCreditGamma
Map of the component credit gamma measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmCustom
Map of the custom scenario measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmCustom
Map of the custom scenario measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmIRDelta
Map of the component IR delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmIRGamma
Map of the component IR gamma measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmCreditTenorDelta
Triple Map of the component, credit tenor, measure, and delta value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmCreditTenorGamma
Triple Map of the component, credit tenor, measure, and gamma value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmIRTenorDelta
Triple Map of the component, IR tenor, measure, and delta value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmIRTenorGamma
Triple Map of the component, IR tenor, measure, and gamma value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmRRDelta
Map of the component RR delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmRRGamma
Map of the component RR gamma measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmTenorCreditDelta
Map of the tenor credit delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmTenorCreditGamma
Map of the tenor credit gamma measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmTenorIRDelta
Map of the tenor IR delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmTenorIRGamma
Map of the tenor IR gamma measure map
|
CaseInsensitiveTreeMap<java.lang.Double> |
ComponentMeasures._mRRDelta
Map of the parallel RR delta measures
|
CaseInsensitiveTreeMap<java.lang.Double> |
ComponentMeasures._mRRGamma
Map of the parallel RR gamma measures
|
Modifier and Type | Field and Description |
---|---|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmCreditDelta
Map of the component credit delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmCreditGamma
Map of the component credit gamma measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmCustom
Map of the custom scenario measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmCustom
Map of the custom scenario measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmIRDelta
Map of the component IR delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmIRGamma
Map of the component IR gamma measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmCreditTenorDelta
Triple Map of the component, credit tenor, measure, and delta value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmCreditTenorDelta
Triple Map of the component, credit tenor, measure, and delta value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmCreditTenorGamma
Triple Map of the component, credit tenor, measure, and gamma value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmCreditTenorGamma
Triple Map of the component, credit tenor, measure, and gamma value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmIRTenorDelta
Triple Map of the component, IR tenor, measure, and delta value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmIRTenorDelta
Triple Map of the component, IR tenor, measure, and delta value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmIRTenorGamma
Triple Map of the component, IR tenor, measure, and gamma value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
BasketMeasures._mmmIRTenorGamma
Triple Map of the component, IR tenor, measure, and gamma value
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmRRDelta
Map of the component RR delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
BasketMeasures._mmRRGamma
Map of the component RR gamma measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmTenorCreditDelta
Map of the tenor credit delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmTenorCreditGamma
Map of the tenor credit gamma measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmTenorIRDelta
Map of the tenor IR delta measure map
|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMeasures._mmTenorIRGamma
Map of the tenor IR gamma measure map
|
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.Double> |
BondWorkoutMeasures.toMap(java.lang.String strPrefix)
Returns the state as a measure map
|
CaseInsensitiveTreeMap<java.lang.Double> |
BondRVMeasures.toMap(java.lang.String strPrefix)
Returns the state as a measure map
|
CaseInsensitiveTreeMap<java.lang.Double> |
BondCouponMeasures.toMap(java.lang.String strPrefix)
Returns the state as a named measure map
|
Modifier and Type | Method and Description |
---|---|
static java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
AnalyticsHelper.CreateFixingsObject(Bond bond,
JulianDate dtValue,
double dblFix)
Creates the fixings object from the bond, the valuation date, and the fixing.
|
Modifier and Type | Method and Description |
---|---|
static CaseInsensitiveTreeMap<java.lang.Double> |
MapUtil.FlatStringTo2DSDMap(java.lang.String str2DMap,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter,
boolean bSkipNullValue,
java.lang.String strNULLString)
Turn a flattened 2D (string, double) string sequence into its corresponding map
|
static CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
MapUtil.FlatStringTo3DSDMap(java.lang.String str3DMap,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter,
boolean bSkipNullValue,
java.lang.String strNULLString)
Turn a flattened 3D (string, string, double) string sequence into its corresponding map
|
static CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
MapUtil.FlatStringTo4DSDMap(java.lang.String str4DMap,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter,
boolean bSkipNullValue,
java.lang.String strNULLString)
Turn a flattened 4D (string, string, string, double) string sequence into its corresponding map
|
static CaseInsensitiveTreeMap<java.lang.Double> |
MapUtil.MergeMaps(CaseInsensitiveTreeMap<java.lang.Double> map1,
CaseInsensitiveTreeMap<java.lang.Double> map2)
Merge two maps
|
static CaseInsensitiveTreeMap<java.lang.Double> |
MapUtil.PrefixKeys(CaseInsensitiveTreeMap<java.lang.Double> mapIn,
java.lang.String strPrefix)
Prefix the keys in the input map, and return them in a new map
|
Modifier and Type | Method and Description |
---|---|
static CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> |
MapUtil.FlatStringTo3DSDMap(java.lang.String str3DMap,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter,
boolean bSkipNullValue,
java.lang.String strNULLString)
Turn a flattened 3D (string, string, double) string sequence into its corresponding map
|
static CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
MapUtil.FlatStringTo4DSDMap(java.lang.String str4DMap,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter,
boolean bSkipNullValue,
java.lang.String strNULLString)
Turn a flattened 4D (string, string, string, double) string sequence into its corresponding map
|
static CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> |
MapUtil.FlatStringTo4DSDMap(java.lang.String str4DMap,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter,
boolean bSkipNullValue,
java.lang.String strNULLString)
Turn a flattened 4D (string, string, string, double) string sequence into its corresponding map
|
Modifier and Type | Method and Description |
---|---|
static java.lang.String |
MapUtil.FourDSDMapToFlatString(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> map4DSD,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter)
Flatten a 4D SSSD map structure onto a string array
|
static CaseInsensitiveTreeMap<java.lang.Double> |
MapUtil.MergeMaps(CaseInsensitiveTreeMap<java.lang.Double> map1,
CaseInsensitiveTreeMap<java.lang.Double> map2)
Merge two maps
|
static CaseInsensitiveTreeMap<java.lang.Double> |
MapUtil.MergeMaps(CaseInsensitiveTreeMap<java.lang.Double> map1,
CaseInsensitiveTreeMap<java.lang.Double> map2)
Merge two maps
|
static boolean |
MapUtil.MergeWithMain(CaseInsensitiveTreeMap<java.lang.Double> mapMain,
CaseInsensitiveTreeMap<java.lang.Double> mapToAdd)
Merge the secondary map onto the main map
|
static boolean |
MapUtil.MergeWithMain(CaseInsensitiveTreeMap<java.lang.Double> mapMain,
CaseInsensitiveTreeMap<java.lang.Double> mapToAdd)
Merge the secondary map onto the main map
|
static CaseInsensitiveTreeMap<java.lang.Double> |
MapUtil.PrefixKeys(CaseInsensitiveTreeMap<java.lang.Double> mapIn,
java.lang.String strPrefix)
Prefix the keys in the input map, and return them in a new map
|
static java.lang.String |
MapUtil.ThreeDSDMapToFlatString(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> map3DSD,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter)
Flatten a 3D SSD map structure onto a string array
|
static java.lang.String |
MapUtil.TwoDSDMapToFlatString(CaseInsensitiveTreeMap<java.lang.Double> map2DSD,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter)
Flatten an input 2D string/double map into a delimited string array
|
Modifier and Type | Method and Description |
---|---|
static java.lang.String |
MapUtil.FourDSDMapToFlatString(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> map4DSD,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter)
Flatten a 4D SSSD map structure onto a string array
|
static java.lang.String |
MapUtil.FourDSDMapToFlatString(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>>> map4DSD,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter)
Flatten a 4D SSSD map structure onto a string array
|
static java.lang.String |
MapUtil.ThreeDSDMapToFlatString(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> map3DSD,
java.lang.String strMultiLevelKeyDelimiter,
java.lang.String strKVDelimiter,
java.lang.String strRecordDelimiter)
Flatten a 3D SSD map structure onto a string array
|
Modifier and Type | Method and Description |
---|---|
static CaseInsensitiveTreeMap<Locale> |
ConfigLoader.LoadHolidayCalendars(java.lang.String strConfigFile)
Loads the map of the holiday calendars from the entries set in the XML Configuration file
|
static CaseInsensitiveTreeMap<Locale> |
ConfigLoader.LoadHolidayCalendarsFromDB(java.lang.String strConfigFile)
Loads the map of the holiday calendars from the database settings set in the XML Configuration file
|
Modifier and Type | Method and Description |
---|---|
static BasketMarketParams |
BasketMarketParamsBuilder.CreateBasketMarketParams(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Constructs the BasketMarketParams object from the map of discount curve, the map of credit curve, and
a double map of date/rate index and fixings.
|
static BasketMarketParams |
BasketMarketParamsBuilder.CreateBasketMarketParams(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Constructs the BasketMarketParams object from the map of discount curve, the map of credit curve, and
a double map of date/rate index and fixings.
|
static BasketMarketParams |
BasketMarketParamsBuilder.CreateBasketMarketParams(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Constructs the BasketMarketParams object from the map of discount curve, the map of credit curve, and
a double map of date/rate index and fixings.
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.CreateComponentMarketParams(DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Creates a CMP with the rates discount curve, the treasury discount curve, the EDSF discount curve, the
credit curve, the component quote, the map of treasury benchmark quotes, and the double map of
date/rate index and fixings
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.CreateComponentMarketParams(DiscountCurve dc,
DiscountCurve dcForward,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Creates a CMP with the rates discount curve, the forward discount curve, the treasury discount curve,
the EDSF discount curve, the credit curve, the component quote, the map of treasury benchmark quotes,
and the double map of date/rate index and fixings
|
Modifier and Type | Method and Description |
---|---|
static BasketMarketParams |
BasketMarketParamsBuilder.CreateBasketMarketParams(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Constructs the BasketMarketParams object from the map of discount curve, the map of credit curve, and
a double map of date/rate index and fixings.
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.CreateComponentMarketParams(DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Creates a CMP with the rates discount curve, the treasury discount curve, the EDSF discount curve, the
credit curve, the component quote, the map of treasury benchmark quotes, and the double map of
date/rate index and fixings
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.CreateComponentMarketParams(DiscountCurve dc,
DiscountCurve dcForward,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Creates a CMP with the rates discount curve, the forward discount curve, the treasury discount curve,
the EDSF discount curve, the credit curve, the component quote, the map of treasury benchmark quotes,
and the double map of date/rate index and fixings
|
static DiscountCurve |
RatesScenarioCurveBuilder.CreateDiscountCurve(JulianDate dt,
java.lang.String strCurrency,
java.lang.String strBootstrapMode,
CalibratableComponent[] aCalibInst,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Creates Discount Curve from the Rates Calibration Instruments
|
Modifier and Type | Method and Description |
---|---|
abstract CaseInsensitiveTreeMap<CreditScenarioCurve> |
MarketParams.getCCSG()
Retrieves the map of org.drip.param.definition.CreditScenarioCurve
|
abstract CaseInsensitiveTreeMap<ComponentQuote> |
MarketParams.getCompQuotes()
Retrieves the full map of component quotes
|
abstract CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParams.getCreditBumpBMP(BasketProduct bp,
boolean bBump)
Get the map of credit Tenor bumped curves for the given BasketProduct
|
abstract CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<BasketMarketParams>> |
MarketParams.getCreditTenorBumpBMP(BasketProduct bp,
boolean bBump)
Get the double map of credit Tenor bumped curves for each credit curve for the given BasketProduct
|
abstract CaseInsensitiveTreeMap<ComponentMarketParams> |
MarketParams.getCreditTenorCMP(Component comp,
boolean bBumpUp)
Gets the map of tenor credit bumped ComponentMarketParams corresponding to the component
|
abstract CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParams.getIRBumpBMP(BasketProduct bp,
boolean bBump)
Get the map of IR Tenor bumped curves for the given BasketProduct
|
abstract CaseInsensitiveTreeMap<RatesScenarioCurve> |
MarketParams.getIRSG()
Retrieves the map of RatesScenarioCurve
|
abstract CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<BasketMarketParams>> |
MarketParams.getIRTenorBumpBMP(BasketProduct bp,
boolean bBump)
Get the double map of IR Tenor bumped curves for each IR curve for the given BasketProduct
|
abstract CaseInsensitiveTreeMap<ComponentMarketParams> |
MarketParams.getIRTenorCMP(Component comp,
boolean bBumpUp)
Gets the map of tenor IR bumped ComponentMarketParams corresponding to the component
|
abstract CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParams.getRecoveryBumpBMP(BasketProduct bp,
boolean bBump)
Get the map of Recovery Tenor bumped curves for the given BasketProduct
|
abstract CaseInsensitiveTreeMap<CreditCurve> |
CreditScenarioCurve.getTenorCCBumpDn()
Return the tenor bump down credit curve map
|
abstract CaseInsensitiveTreeMap<CreditCurve> |
CreditScenarioCurve.getTenorCCBumpUp()
Return the tenor bump up credit curve map
|
abstract CaseInsensitiveTreeMap<DiscountCurve> |
RatesScenarioCurve.getTenorDCBumpDn()
Return the map of the tenor Bump Down Discount Curve
|
abstract CaseInsensitiveTreeMap<DiscountCurve> |
RatesScenarioCurve.getTenorDCBumpUp()
Return the map of the tenor Bump Up Discount Curve
|
abstract CaseInsensitiveTreeMap<ComponentQuote> |
ComponentMarketParams.getTSYBenchmarkQuotes()
Retrieves the TSY Benchmark Quotes
|
abstract CaseInsensitiveTreeMap<ComponentQuote> |
MarketParams.getTSYQuotes()
Gets the full set of named Treasury Quote Map
|
Modifier and Type | Method and Description |
---|---|
abstract CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<BasketMarketParams>> |
MarketParams.getCreditTenorBumpBMP(BasketProduct bp,
boolean bBump)
Get the double map of credit Tenor bumped curves for each credit curve for the given BasketProduct
|
abstract java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
MarketParams.getFixings()
Retrieves the fixings double map
|
abstract java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMarketParams.getFixings()
Retrieves the Fixings
|
abstract CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<BasketMarketParams>> |
MarketParams.getIRTenorBumpBMP(BasketProduct bp,
boolean bBump)
Get the double map of IR Tenor bumped curves for each IR curve for the given BasketProduct
|
Modifier and Type | Method and Description |
---|---|
abstract boolean |
MarketParams.addCompQuotes(CaseInsensitiveTreeMap<ComponentQuote> mCompQuotes)
Adds the full map of component quotes
|
abstract boolean |
MarketParams.setTSYQuotes(CaseInsensitiveTreeMap<ComponentQuote> mapCQTSY)
Sets the full set of named Treasury Quote Map
|
Modifier and Type | Method and Description |
---|---|
abstract boolean |
CreditScenarioCurve.cookCustomCC(java.lang.String strName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblRecovery,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat,
NodeTweakParams ntpDC,
NodeTweakParams ntpTSY,
NodeTweakParams ntpEDSF,
NodeTweakParams ntpCC)
Cook the credit curve according to the desired tweak parameters
|
abstract boolean |
RatesScenarioCurve.cookCustomDC(java.lang.String strCurveName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
NodeTweakParams ntpTSY,
NodeTweakParams ntpEDSF,
NodeTweakParams ntpDC)
Cooks a custom discount curve according to the desired tweak parameters
|
abstract boolean |
CreditScenarioCurve.cookScenarioCC(java.lang.String strName,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblRecovery,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat,
int iCCScenario)
Cooks and saves the credit curves corresponding to the scenario specified
|
abstract boolean |
RatesScenarioCurve.cookScenarioDC(ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblBump,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
int iDCMode)
Generates the set of discount curves from the scenario specified, and the instrument quotes
|
abstract boolean |
ComponentMarketParams.setFixings(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
(Re)-sets the Fixings
|
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<BasketMarketParams>> |
MarketParamsContainer.getCreditTenorBumpBMP(BasketProduct bp,
boolean bBump) |
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
MarketParamsContainer.getFixings() |
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMarketParamSet.getFixings() |
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<BasketMarketParams>> |
MarketParamsContainer.getIRTenorBumpBMP(BasketProduct bp,
boolean bBump) |
Modifier and Type | Method and Description |
---|---|
boolean |
MarketParamsContainer.addCompQuotes(CaseInsensitiveTreeMap<ComponentQuote> mCompQuotes) |
boolean |
MarketParamsContainer.setTSYQuotes(CaseInsensitiveTreeMap<ComponentQuote> mapCQTSY) |
Modifier and Type | Method and Description |
---|---|
boolean |
CreditCurveScenarioContainer.cookCustomCC(java.lang.String strName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblRecovery,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat,
NodeTweakParams ntpDC,
NodeTweakParams ntpTSY,
NodeTweakParams ntpEDSF,
NodeTweakParams ntpCC) |
boolean |
RatesCurveScenarioContainer.cookCustomDC(java.lang.String strCurveName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
NodeTweakParams ntpTSY,
NodeTweakParams ntpEDSF,
NodeTweakParams ntpDC) |
boolean |
CreditCurveScenarioContainer.cookScenarioCC(java.lang.String strName,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblRecovery,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat,
int iCCScenario) |
boolean |
RatesCurveScenarioContainer.cookScenarioDC(ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblBump,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
int iDCMode) |
boolean |
ComponentMarketParamSet.setFixings(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings) |
Constructor and Description |
---|
BasketMarketParamSet(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Constructs the BasketMarketParamSet object from the map of discount curve, the map of credit curve, a
double map of date/rate index and fixings, and a map of the component quotes.
|
BasketMarketParamSet(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Constructs the BasketMarketParamSet object from the map of discount curve, the map of credit curve, a
double map of date/rate index and fixings, and a map of the component quotes.
|
BasketMarketParamSet(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Constructs the BasketMarketParamSet object from the map of discount curve, the map of credit curve, a
double map of date/rate index and fixings, and a map of the component quotes.
|
ComponentMarketParamSet(DiscountCurve dc,
DiscountCurve dcForward,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Creates a CMP with the rates discount curve, the forward discount curve, the treasury discount curve,
the EDSF discount curve, the credit curve, the component quote, the map of treasury benchmark quotes,
and the double map of date/rate index and fixings.
|
Constructor and Description |
---|
BasketMarketParamSet(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Constructs the BasketMarketParamSet object from the map of discount curve, the map of credit curve, a
double map of date/rate index and fixings, and a map of the component quotes.
|
ComponentMarketParamSet(DiscountCurve dc,
DiscountCurve dcForward,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Creates a CMP with the rates discount curve, the forward discount curve, the treasury discount curve,
the EDSF discount curve, the credit curve, the component quote, the map of treasury benchmark quotes,
and the double map of date/rate index and fixings.
|
Modifier and Type | Field and Description |
---|---|
static CaseInsensitiveTreeMap<CDXRefDataParams> |
CDXRefDataHolder._mapCDXRefData |
static CaseInsensitiveTreeMap<java.util.Map<JulianDate,java.lang.Integer>> |
CDXRefDataHolder._mmCDXRDBFirstCouponSeries |
static CaseInsensitiveTreeMap<java.util.Map<java.lang.Integer,JulianDate>> |
CDXRefDataHolder._mmCDXRDBSeriesFirstCoupon |
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.String> |
BondRefDataBuilder.toJSON() |
Modifier and Type | Method and Description |
---|---|
static BondProductBuilder |
BondProductBuilder.CreateFromJSONMap(CaseInsensitiveTreeMap<java.lang.String> mapJSON,
MarketParams mpc)
Creates BondProductBuilder from the JSON Map and the input MPC
|
Constructor and Description |
---|
BondRefDataBuilder(CaseInsensitiveTreeMap<java.lang.String> mapJSON)
BondRefDataBuilder de-serialization from input JSON Map
|
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.Double> |
BondComponent.standardRVMeasureMap(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
WorkoutInfo wi,
double dblPrice,
java.lang.String strPrefix) |
CaseInsensitiveTreeMap<java.lang.Double> |
CDSComponent.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
CaseInsensitiveTreeMap<java.lang.Double> |
BondComponent.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
CaseInsensitiveTreeMap<java.lang.Double> |
CDSComponent.valueFromQuotedSpread(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblFixCoupon,
double dblQuotedSpread) |
Modifier and Type | Method and Description |
---|---|
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
BondComponent.getFixings() |
Modifier and Type | Method and Description |
---|---|
boolean |
BondComponent.setFixings(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings) |
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.Double> |
Component.calcCustomScenarioMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
java.lang.String strCustomScenName,
QuotingParams quotingParams,
CaseInsensitiveTreeMap<java.lang.Double> mapBaseOP)
Generates a full list of custom measures for the set of scenario market parameters present in
the org.drip.param.definition.MarketParams
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketProduct.calcCustomScenarioMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
java.lang.String strCustomScenName,
QuotingParams quotingParams,
CaseInsensitiveTreeMap<java.lang.Double> mapBase) |
abstract CaseInsensitiveTreeMap<java.lang.Double> |
FXForward.value(ValuationParams valParams,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblFXSpot)
Calculation of the full set of measures of FXForward
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketProduct.value(ValuationParams valParams,
PricerParams pricerParams,
BasketMarketParams bmp,
QuotingParams quotingParams)
Generates a full list of the basket product measures for the full input set of market parameters
|
abstract CaseInsensitiveTreeMap<java.lang.Double> |
Component.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Generates a full list of the component measures for the full input set of market parameters
|
abstract CaseInsensitiveTreeMap<java.lang.Double> |
CreditDefaultSwap.valueFromQuotedSpread(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblFixCoupon,
double dblQuotedSpread)
Value the CDS from the Quoted Spread
|
Modifier and Type | Method and Description |
---|---|
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
BondProduct.getFixings()
Retrieves the bond fixings
|
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.Double> |
Component.calcCustomScenarioMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
java.lang.String strCustomScenName,
QuotingParams quotingParams,
CaseInsensitiveTreeMap<java.lang.Double> mapBaseOP)
Generates a full list of custom measures for the set of scenario market parameters present in
the org.drip.param.definition.MarketParams
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketProduct.calcCustomScenarioMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
java.lang.String strCustomScenName,
QuotingParams quotingParams,
CaseInsensitiveTreeMap<java.lang.Double> mapBase) |
Modifier and Type | Method and Description |
---|---|
boolean |
BondProduct.setFixings(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Sets the bond fixings
|
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.Double> |
FXForwardContract.value(ValuationParams valParams,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblFXSpot) |
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.Double> |
IRSComponent.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
CaseInsensitiveTreeMap<java.lang.Double> |
FloatingStream.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
CaseInsensitiveTreeMap<java.lang.Double> |
FixedStream.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
CaseInsensitiveTreeMap<java.lang.Double> |
EDFComponent.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
CaseInsensitiveTreeMap<java.lang.Double> |
CashComponent.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.String> |
RegressionRunDetail.getFieldMap()
Retrieves the field map
|
Modifier and Type | Method and Description |
---|---|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.BondEODMeasuresFromPrice(java.lang.String strBondId,
JulianDate dtEOD,
double dblPrice)
Get the full set of the Bond's EOD Measures From Clean Price
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.BondEODMeasuresFromTSYSpread(java.lang.String strBondId,
JulianDate dtEOD,
double dblTSYSpread)
Get the full set of the Bond's EOD Measures From the TSY Spread
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.BondEODMeasuresFromYield(java.lang.String strBondId,
JulianDate dtEOD,
double dblYield)
Get the full set of the Bond's EOD Measures From the Yield
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.BondLiveMeasuresFromPrice(java.lang.String strBondId,
double dblPrice)
Get the full set of the Bond's Live Measures From Clean Price
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.BondLiveMeasuresFromTSYSpread(java.lang.String strBondId,
double dblTSYSpread)
Get the full set of the Bond's Live Measures From TSY Spread
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.BondLiveMeasuresFromYield(java.lang.String strBondId,
double dblYield)
Get the full set of the Bond's Live Measures From Yield
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.GetEODCDSMeasures(CreditDefaultSwap cds,
JulianDate dtEOD)
Calculates the EOD Measures for the CDS using the closing discount and the credit curves
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.GetEODOnTheRunTSYSetYield(JulianDate dtEOD)
Gets the set of on-the-run treasury yields for a given EOD
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.GetLiveCDSMeasures(CreditDefaultSwap cds)
Calculate the CDS measures from live discount and credit curves
|
static CaseInsensitiveTreeMap<java.lang.String> |
CreditAnalytics.GetOnTheRunTSYSet(JulianDate dt)
Gets the on-the-run treasury set string for the given date
|
Modifier and Type | Method and Description |
---|---|
static java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
CreditAnalytics.CreateFixingsObject(BondComponent bond,
JulianDate dtValue,
double dblFix)
Creates the fixings object for the given bond and fix coupon, based off of the period represented by
the specified date
|
static java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
CreditAnalytics.GetOnTheRunTSYSetYield(JulianDate dtStart,
JulianDate dtEnd)
Gets the set of on-the-run treasury yields for a set of dates
|
Modifier and Type | Method and Description |
---|---|
static CaseInsensitiveTreeMap<BondRVMeasures> |
BondManager.CalcBondAnalyticsFromPrice(java.lang.String strCUSIPIn,
MarketParams mpc,
JulianDate dt,
double dblBidPrice,
double dblAskPrice)
Calculates the full set of calculable bond measures given the CUSIP, the valuation parameters, and the
prices.
|
static CaseInsensitiveTreeMap<BondRVMeasures> |
BondManager.CalcBondMeasures(java.lang.String strBondDescription,
Bond bond,
ValuationParams valParams,
MarketParams mpc,
double dblBidPrice,
double dblAskPrice)
Calculates the full set of calculable bond measures given the bond, the valuation parameters, and the
prices.
|
static CaseInsensitiveTreeMap<java.lang.String> |
StandardCDXManager.GetCDXDescriptions()
Retrieves the name/description map for all the CDS indices
|
static CaseInsensitiveTreeMap<java.lang.String> |
StandardCDXManager.GetPreLoadedCDXDescriptions()
Retrieves the name/description map for all the pre-loaded CDS indices
|
static CaseInsensitiveTreeMap<java.lang.String> |
StandardCDXManager.GetPresetCDXDescriptions()
Retrieves the name/description map for all the pre-set CDS indices
|
static CaseInsensitiveTreeMap<ComponentQuote> |
EODCurves.GetTSYQuotes(java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency)
Retrieves the treasury quotes for the specified EOD and currency
|
Modifier and Type | Method and Description |
---|---|
static RatesScenarioCurve |
EODCurves.BuildEODIRCurve(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency,
java.lang.String strInstrSetType,
java.lang.String strCurveName)
Builds the closing IRCurveScenarioContainer for the specific discount curve instrument set type
(treasury or rates instruments), given the EOD and the currency
|
static RatesScenarioCurve |
EODCurves.BuildEODIRCurveOfCode(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency,
java.lang.String strInstrCode,
java.lang.String strInstrSetType,
java.lang.String strCurveName)
Builds the closing IRCurveScenarioContainer for the specific discount curve instruments given the EOD
and the currency
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