Modifier and Type | Method and Description |
---|---|
abstract DiscountCurve |
FXForwardCurve.bootstrapBasisDC(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom)
Bootstrap the discount curve from the discount curve inputs
|
Modifier and Type | Method and Description |
---|---|
abstract double[] |
FXForwardCurve.bootstrapBasis(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom)
Bootstrap the basis to the discount curve inputs
|
abstract DiscountCurve |
FXForwardCurve.bootstrapBasisDC(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom)
Bootstrap the discount curve from the discount curve inputs
|
abstract double[] |
FXBasisCurve.fxForward(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom,
boolean bFwdAsPIP)
Return the array of full FX Forwards
|
abstract double[] |
FXForwardCurve.impliedNodeRates(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom)
Calculate the rates implied by the discount curve inputs
|
abstract double |
FXForwardCurve.rate(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblDate,
boolean bBasisOnDenom)
Calculate the rate implied by the discount curve inputs to a specified date
|
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)
Set the calibration inputs for the CreditCurve
|
abstract double[] |
FXForwardCurve.zeroBasis(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom)
Calculate the set of Zero basis given the input discount curves
|
Modifier and Type | Method and Description |
---|---|
static LossPeriodCurveFactors |
LossPeriodCurveFactors.MakeDefaultPeriod(double dblStart,
double dblEnd,
double dblEffectiveDCF,
double dblEffectiveNotional,
DiscountCurve dc,
CreditCurve cc,
int iDefaultLag)
Create a LossPeriodCurveFactors instance from the period dates and the curve measures
|
static LossPeriodCurveFactors |
LossPeriodCurveFactors.MakeDefaultPeriod(double dblStart,
double dblEnd,
double dblEffectiveDCF,
double dblEffectiveNotional,
double dblEffectiveRecovery,
DiscountCurve dc,
CreditCurve cc,
int iDefaultLag)
Create an instance of the LossPeriodCurveFactors class using the period's dates and curves to
generate the curve measures
|
Modifier and Type | Class and Description |
---|---|
class |
ExplicitBootDiscountCurve
ExplicitBootDiscountCurve exposes the functionality associated with the bootstrapped Discount Curve.
|
class |
ZeroCurve
ZeroCurve exposes the node set containing the zero curve node points.
|
Modifier and Type | Method and Description |
---|---|
DiscountCurve |
SmoothingCCIS.getShapePreservingDC()
Retrieve the Shape Preserving Discount Curve
|
Constructor and Description |
---|
SmoothingCCIS(DiscountCurve dcShapePreserver,
SmoothingCurveStretchParams scsp,
LinearCurveCalibrator lccShapePreserving,
StretchRepresentationSpec[] aRBS,
ValuationParams valParam,
PricerParams pricerParam,
QuotingParams quotingParam,
ComponentMarketParams cmp)
SmoothingCCIS constructor
|
Modifier and Type | Method and Description |
---|---|
static DiscountCurve |
RatesScenarioCurveBuilder.CubicKLKHyperbolicDFRateShapePreserver(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
boolean bZeroSmooth)
Construct an instance of the Shape Preserver of the KLK Hyperbolic Tension Type, using the specified
basis set builder parameters.
|
static DiscountCurve |
RatesScenarioCurveBuilder.CubicPolyDFRateShapePreserver(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
boolean bZeroSmooth)
Construct an instance of the Shape Preserver of the Cubic Polynomial Type, using the specified
basis set builder parameters.
|
static DiscountCurve |
RatesScenarioCurveBuilder.CustomDENSE(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
java.lang.String strTenor1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
java.lang.String strTenor2,
TurnListDiscountFactor tldf)
Customizable DENSE Curve Creation Methodology - the references are:
- Sankar, L.
|
static DiscountCurve |
RatesScenarioCurveBuilder.DENSE(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
TurnListDiscountFactor tldf)
The Standard DENSE Curve Creation Methodology - this uses no re-construction set for the short term,
and uses 3M dense re-construction for the Swap Set.
|
static DiscountCurve |
RatesScenarioCurveBuilder.DFRateShapePreserver(java.lang.String strName,
ValuationParams valParams,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam,
java.lang.String strBasisType,
FunctionSetBuilderParams fsbp,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
double dblEpochResponse,
boolean bZeroSmooth)
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
|
static DiscountCurve |
RatesScenarioCurveBuilder.DUALDENSE(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
java.lang.String strTenor1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
java.lang.String strTenor2,
TurnListDiscountFactor tldf)
The DUAL DENSE Curve Creation Methodology - this uses configurable re-construction set for the short
term, and another configurable re-construction for the Swap Set.
|
static DiscountCurve |
RatesScenarioCurveBuilder.ForwardRateShapePreserver(java.lang.String strName,
ValuationParams valParams,
java.lang.String strBasisType,
FunctionSetBuilderParams fsbp,
CalibratableComponent[] aCalibComp,
double[] adblQuote)
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
|
static DiscountCurve |
RatesScenarioCurveBuilder.NonlinearBuild(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)
Create Discount Curve from the Rates Calibration Instruments
|
static DiscountCurve |
RatesScenarioCurveBuilder.ShapePreservingDFBuild(LinearCurveCalibrator lcc,
StretchRepresentationSpec[] aSRS,
ValuationParams valParam,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam,
double dblEpochResponse)
Build the Shape Preserving Discount Curve using the Custom Parameters
|
static DiscountCurve |
RatesScenarioCurveBuilder.SmoothingGlobalControlBuild(DiscountCurve dcShapePreserver,
LinearCurveCalibrator lcc,
GlobalControlCurveParams gccp,
StretchRepresentationSpec[] aSRS,
ValuationParams valParam,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam)
Build a Globally Smoothed Instance of the Discount Curve using the Custom Parameters
|
static DiscountCurve |
RatesScenarioCurveBuilder.SmoothingLocalControlBuild(DiscountCurve dcShapePreserver,
LinearCurveCalibrator lcc,
LocalControlCurveParams lccp,
StretchRepresentationSpec[] aSRS,
ValuationParams valParam,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam)
Build a Locally Smoothed Instance of the Discount Curve using the Custom Parameters
|
static DiscountCurve |
RatesScenarioCurveBuilder.ZeroSmooth(DiscountCurve dcShapePreserving,
LinearCurveCalibrator lcc,
StretchRepresentationSpec[] aSRS,
ValuationParams valParams)
Smooth the Shape Preserving Discount Curve using the Smoothed Zero Curve
|
Modifier and Type | Method and Description |
---|---|
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)
Create 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,
ForwardCurve fc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Create 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 CreditCurve |
CreditScenarioCurveBuilder.CreateCreditCurve(java.lang.String strName,
JulianDate dt,
CalibratableComponent[] aCalibInst,
DiscountCurve dc,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
double dblRecovery,
boolean bFlat)
Calibrate the base credit curve from the input credit instruments, measures, and the quotes
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.MakeCreditCMP(DiscountCurve dc,
CreditCurve cc)
Create a CMP with the discount curve and the credit curve
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.MakeDiscountCMP(DiscountCurve dc)
Create a CMP with the rates discount curve alone
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.MakeDiscountCMP(DiscountCurve dc,
DiscountCurve dcTSY)
Create a CMP with the rates discount curve and the treasury discount curve alone
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.MakeDiscountCMP(DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF)
Create a CMP with the rates discount curve, the treasury discount curve, and the EDSF discount curve
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.MakeFloaterDiscountCMP(DiscountCurve dc,
ForwardCurve fc)
Create a CMP with the discount curve and the forward Curve
|
static DiscountCurve |
RatesScenarioCurveBuilder.SmoothingGlobalControlBuild(DiscountCurve dcShapePreserver,
LinearCurveCalibrator lcc,
GlobalControlCurveParams gccp,
StretchRepresentationSpec[] aSRS,
ValuationParams valParam,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam)
Build a Globally Smoothed Instance of the Discount Curve using the Custom Parameters
|
static DiscountCurve |
RatesScenarioCurveBuilder.SmoothingLocalControlBuild(DiscountCurve dcShapePreserver,
LinearCurveCalibrator lcc,
LocalControlCurveParams lccp,
StretchRepresentationSpec[] aSRS,
ValuationParams valParam,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam)
Build a Locally Smoothed Instance of the Discount Curve using the Custom Parameters
|
static DiscountCurve |
RatesScenarioCurveBuilder.ZeroSmooth(DiscountCurve dcShapePreserving,
LinearCurveCalibrator lcc,
StretchRepresentationSpec[] aSRS,
ValuationParams valParams)
Smooth the Shape Preserving Discount Curve using the Smoothed Zero Curve
|
Modifier and Type | Method and Description |
---|---|
static BasketMarketParams |
BasketMarketParamsBuilder.CreateBasketMarketParams(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<ForwardCurve> mapFC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Construct a BasketMarketParams instance from the map of discount curve, the map of Forward curve, the
map of credit curve, and a double map of date/rate index and fixings.
|
Modifier and Type | Method and Description |
---|---|
abstract DiscountCurve |
ScenarioDiscountCurve.getDCBase()
Return the base Discount Curve
|
abstract DiscountCurve |
ScenarioDiscountCurve.getDCBumpDn()
Return the Bump Down Discount Curve
|
abstract DiscountCurve |
ScenarioDiscountCurve.getDCBumpUp()
Return the Bump Up Discount Curve
|
abstract DiscountCurve |
ComponentMarketParams.getDiscountCurve()
Retrieve the Component Discount Curve
|
abstract DiscountCurve |
BasketMarketParams.getDiscountCurve(java.lang.String strName)
Retrieve a named discount curve
|
abstract DiscountCurve |
ComponentMarketParams.getEDSFDiscountCurve()
Retrieve the Component EDSF Discount Curve
|
abstract DiscountCurve |
ComponentMarketParams.getTSYDiscountCurve()
Retrieve the Component TSY Discount Curve
|
Modifier and Type | Method and Description |
---|---|
abstract CaseInsensitiveTreeMap<DiscountCurve> |
ScenarioDiscountCurve.getTenorDCBumpDn()
Return the map of the tenor Bump Down Discount Curve
|
abstract CaseInsensitiveTreeMap<DiscountCurve> |
ScenarioDiscountCurve.getTenorDCBumpUp()
Return the map of the tenor Bump Up Discount Curve
|
Modifier and Type | Method and Description |
---|---|
abstract boolean |
BasketMarketParams.addDiscountCurve(java.lang.String strName,
DiscountCurve dc)
Add a named discount curve
|
abstract boolean |
ScenarioCreditCurve.cookCustomCC(java.lang.String strName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblRecovery,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat,
ResponseValueTweakParams ntpDC,
ResponseValueTweakParams ntpTSY,
ResponseValueTweakParams ntpEDSF,
ResponseValueTweakParams ntpCC)
Cook the credit curve according to the desired tweak parameters
|
abstract boolean |
ScenarioDiscountCurve.cookCustomDC(java.lang.String strCurveName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
ResponseValueTweakParams ntpTSY,
ResponseValueTweakParams ntpEDSF,
ResponseValueTweakParams ntpDC)
Cook a custom discount curve according to the desired tweak parameters
|
abstract boolean |
ScenarioForwardCurve.cookCustomDC(java.lang.String strCurveName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dc,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
ResponseValueTweakParams ntpDC,
ResponseValueTweakParams ntpFC)
Cook a custom Forward curve according to the desired tweak parameters
|
abstract boolean |
ScenarioCreditCurve.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)
Cook and save the credit curves corresponding to the scenario specified
|
abstract boolean |
ScenarioDiscountCurve.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)
Generate the set of discount curves from the scenario specified, and the instrument quotes
|
abstract boolean |
ScenarioForwardCurve.cookScenarioDC(ValuationParams valParams,
DiscountCurve dc,
double[] adblQuotes,
double dblBump,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
int iFCMode)
Generate the set of Forward curves from the scenario specified, and the instrument quotes.
|
abstract boolean |
ComponentMarketParams.setDiscountCurve(DiscountCurve dc)
(Re)-set the Component Discount Curve
|
abstract boolean |
ComponentMarketParams.setEDSFDiscountCurve(DiscountCurve dcEDSF)
(Re)-set the Component EDSF Discount Curve
|
abstract boolean |
ComponentMarketParams.setTSYDiscountCurve(DiscountCurve dcTSY)
(Re)-set the Component TSY Discount Curve
|
Modifier and Type | Method and Description |
---|---|
DiscountCurve |
RatesCurveScenarioContainer.getDCBase() |
DiscountCurve |
RatesCurveScenarioContainer.getDCBumpDn() |
DiscountCurve |
RatesCurveScenarioContainer.getDCBumpUp() |
DiscountCurve |
ComponentMarketParamSet.getDiscountCurve() |
DiscountCurve |
BasketMarketParamSet.getDiscountCurve(java.lang.String strName) |
DiscountCurve |
ComponentMarketParamSet.getEDSFDiscountCurve() |
DiscountCurve |
ComponentMarketParamSet.getTSYDiscountCurve() |
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<DiscountCurve> |
RatesCurveScenarioContainer.getTenorDCBumpDn() |
CaseInsensitiveTreeMap<DiscountCurve> |
RatesCurveScenarioContainer.getTenorDCBumpUp() |
Modifier and Type | Method and Description |
---|---|
boolean |
BasketMarketParamSet.addDiscountCurve(java.lang.String strName,
DiscountCurve dc) |
boolean |
CreditCurveScenarioContainer.cookCustomCC(java.lang.String strName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblRecovery,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat,
ResponseValueTweakParams mmtpDC,
ResponseValueTweakParams mmtpTSY,
ResponseValueTweakParams mmtpEDSF,
ResponseValueTweakParams mmtpCC) |
boolean |
RatesCurveScenarioContainer.cookCustomDC(java.lang.String strCurveName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
ResponseValueTweakParams mmtpTSY,
ResponseValueTweakParams mmtpEDSF,
ResponseValueTweakParams mmtpDC) |
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.setDiscountCurve(DiscountCurve dc) |
boolean |
ComponentMarketParamSet.setEDSFDiscountCurve(DiscountCurve dcEDSF) |
boolean |
ComponentMarketParamSet.setTSYDiscountCurve(DiscountCurve dcTSY) |
Constructor and Description |
---|
ComponentMarketParamSet(DiscountCurve dc,
ForwardCurve fc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Create 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<ForwardCurve> mapFC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Construct the BasketMarketParamSet object from the map of discount curve, the map of forward curve,
the map of credit curve, a double map of date/rate index and fixings, and a map of the component
quotes.
|
Modifier and Type | Method and Description |
---|---|
abstract double |
FXForward.calcDCBasis(ValuationParams valParams,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblFXSpot,
double dblMarketFXFwdPrice,
boolean bBasisOnDenom)
Calculate the basis to either the numerator or the denominator discount curve
|
abstract double |
FXForward.implyFXForward(ValuationParams valParams,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblFXSpot,
boolean bFwdAsPIP)
Imply the FX Forward
|
abstract CaseInsensitiveTreeMap<java.lang.Double> |
FXForward.value(ValuationParams valParams,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblFXSpot)
Calculation of the full set of measures of FXForward
|
Modifier and Type | Method and Description |
---|---|
double |
FXForwardContract.calcDCBasis(ValuationParams valParams,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblFXSpot,
double dblMarketFXFwdPrice,
boolean bBasisOnDenom) |
double |
FXForwardContract.FXBasisCalibrator.calibrateDCBasisFromFwdPriceNR(ValuationParams valParams,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblFXSpot,
double dblMarketFXFwdPrice,
boolean bBasisOnDenom)
Calibrate the discount curve basis from FXForward using Newton-Raphson methodology
|
double |
FXForwardContract.implyFXForward(ValuationParams valParams,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblFXSpot,
boolean bFwdAsPIP) |
CaseInsensitiveTreeMap<java.lang.Double> |
FXForwardContract.value(ValuationParams valParams,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblFXSpot) |
Modifier and Type | Method and Description |
---|---|
DiscountCurve |
DateDiscountCurvePair.dc()
Retrieve the Discount Curve
|
static DiscountCurve |
CreditAnalytics.LoadEODEDFCurve(java.lang.String strName,
JulianDate dtEOD)
Loads the closing IR EDF curve
|
static DiscountCurve |
CreditAnalytics.LoadEODFullIRCurve(java.lang.String strName,
JulianDate dtEOD)
Loads the closing IR curve
|
static DiscountCurve |
CreditAnalytics.LoadEODIRCashCurve(java.lang.String strName,
JulianDate dtEOD)
Loads the closing IR cash curve
|
static DiscountCurve |
CreditAnalytics.LoadEODIRSwapCurve(java.lang.String strName,
JulianDate dtEOD)
Loads the closing IR swap curve
|
static DiscountCurve |
CreditAnalytics.LoadEODTSYCurve(java.lang.String strName,
JulianDate dtEOD)
Loads the closing TSY curve
|
static DiscountCurve |
CreditAnalytics.LoadLiveEDFCurve(java.lang.String strName)
Loads the live IR EDF curve
|
static DiscountCurve |
CreditAnalytics.LoadLiveFullIRCurve(java.lang.String strName)
Loads the live IR curve
|
static DiscountCurve |
CreditAnalytics.LoadLiveIRCashCurve(java.lang.String strName)
Loads the live IR cash curve
|
static DiscountCurve |
CreditAnalytics.LoadLiveIRSwapCurve(java.lang.String strName)
Loads the live IR swap curve
|
static DiscountCurve |
CreditAnalytics.LoadLiveTSYCurve(java.lang.String strName)
Loads the live TSY curve
|
Modifier and Type | Method and Description |
---|---|
static java.util.Map<JulianDate,DiscountCurve> |
CreditAnalytics.LoadEODEDFCurves(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of EDF discount curves between two dates
|
static java.util.Map<JulianDate,DiscountCurve> |
CreditAnalytics.LoadEODFullIRCurves(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of discount curves between two dates
|
static java.util.Map<JulianDate,DiscountCurve> |
CreditAnalytics.LoadEODIRCashCurves(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of cash discount curves between two dates
|
static java.util.Map<JulianDate,DiscountCurve> |
CreditAnalytics.LoadEODIRSwapCurves(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of swap discount curves between two dates
|
static java.util.Map<JulianDate,DiscountCurve> |
CreditAnalytics.LoadEODTSYCurves(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of TSY discount curves between two dates
|
Modifier and Type | Method and Description |
---|---|
static double |
CreditAnalytics.BondCreditBasisFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
CreditCurve cc,
double dblPrice)
Calculates the bond credit basis from price (simplified version)
|
static double |
CreditAnalytics.BondCreditBasisFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
CreditCurve cc,
double dblPrice,
QuotingParams quotingParams)
Calculates the bond credit basis from price
|
static double |
CreditAnalytics.BondCreditBasisFromTSYSpread(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
CreditCurve cc,
double dblTSYSpread)
Calculates the bond credit basis from spread to a treasury benchmark (simplified version)
|
static double |
CreditAnalytics.BondCreditBasisFromTSYSpread(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
CreditCurve cc,
double dblTSYSpread,
QuotingParams quotingParams)
Calculates the bond credit basis from spread to a treasury benchmark
|
static double |
CreditAnalytics.BondCreditBasisFromYield(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
CreditCurve cc,
double dblYield)
Calculates the bond Credit Basis from yield (simplified version)
|
static double |
CreditAnalytics.BondCreditBasisFromYield(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
CreditCurve cc,
double dblYield,
QuotingParams quotingParams)
Calculates the bond Credit Basis from yield
|
static double |
CreditAnalytics.BondCreditBasisTMFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
CreditCurve cc,
double dblPrice,
QuotingParams quotingParams)
Calculates the bond credit basis to maturity from price
|
static double |
CreditAnalytics.BondCreditPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
CreditCurve cc)
Computes the bond's theoretical price from discount curve and the credit curve (simplified version)
|
static double |
CreditAnalytics.BondCreditPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
CreditCurve cc,
QuotingParams quotingParams)
Computes the bond's theoretical price from discount curve and the credit curve
|
static double |
CreditAnalytics.BondDiscountMarginFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblPrice)
Calculates the bond Discount Margin from price (simplified version)
|
static double |
CreditAnalytics.BondDiscountMarginFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
double dblPrice,
QuotingParams quotingParams)
Calculates the bond Discount Margin from price
|
static double |
CreditAnalytics.BondDiscountMarginFromTSYSpread(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblTSYSpread)
Calculates the bond Discount Margin from spread to a treasury benchmark (simplified version)
|
static double |
CreditAnalytics.BondDiscountMarginFromTSYSpread(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblTSYSpread)
Calculates the bond Discount Margin from spread to a treasury benchmark
|
static double |
CreditAnalytics.BondDiscountMarginFromYield(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblYield)
Calculates the bond Discount Margin from yield (simplified version)
|
static double |
CreditAnalytics.BondDiscountMarginFromYield(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
double dblYield,
QuotingParams quotingParams)
Calculates the bond Discount Margin from yield
|
static double |
CreditAnalytics.BondDiscountMarginTMFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
double dblPrice,
QuotingParams quotingParams)
Calculates the bond Discount Margin to Maturity from price
|
static double |
CreditAnalytics.BondGSpreadFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblPrice)
Calculates the bond G Spread from price (simplified version)
|
static double |
CreditAnalytics.BondGSpreadFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblPrice,
QuotingParams quotingParams)
Calculates the bond G spread from price
|
static double |
CreditAnalytics.BondGSpreadFromTSYSpread(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblTSYSpread)
Calculates the bond G spread from spread to a treasury benchmark (simplified version)
|
static double |
CreditAnalytics.BondGSpreadFromTSYSpread(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblTSYSpread)
Calculates the bond G spread from spread to a treasury benchmark
|
static double |
CreditAnalytics.BondGSpreadFromYield(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblYield)
Calculates the bond G spread from yield (simplified version)
|
static double |
CreditAnalytics.BondGSpreadFromYield(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblYield,
QuotingParams quotingParams)
Calculates the bond G spread from yield
|
static double |
CreditAnalytics.BondGTMFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblPrice,
QuotingParams quotingParams)
Calculates the bond G spread to maturity from price
|
static double |
CreditAnalytics.BondISpreadFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblPrice)
Calculates the bond I Spread from price (simplified version)
|
static double |
CreditAnalytics.BondISpreadFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
double dblPrice,
QuotingParams quotingParams)
Calculates the bond I Spread from price
|
static double |
CreditAnalytics.BondISpreadFromTSYSpread(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblTSYSpread)
Calculates the bond I spread from spread to a treasury benchmark (simplified version)
|
static double |
CreditAnalytics.BondISpreadFromTSYSpread(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblTSYSpread)
Calculates the bond I spread from spread to a treasury benchmark
|
static double |
CreditAnalytics.BondISpreadFromYield(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblYield)
Calculates the bond I spread from yield (simplified version)
|
static double |
CreditAnalytics.BondISpreadFromYield(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
double dblYield,
QuotingParams quotingParams)
Calculates the bond I spread from yield
|
static double |
CreditAnalytics.BondITMFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
double dblPrice,
QuotingParams quotingParams)
Calculates the bond I Spread to Maturity from price
|
static double |
CreditAnalytics.BondOASFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblPrice)
Calculates the bond OAS from price (simplified version)
|
static double |
CreditAnalytics.BondOASFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
double dblPrice,
QuotingParams quotingParams)
Calculates the bond OAS from price
|
static double |
CreditAnalytics.BondOASFromTSYSpread(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblTSYSpread)
Calculates the bond OAS from spread to a treasury benchmark (simplified version)
|
static double |
CreditAnalytics.BondOASFromTSYSpread(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblTSYSpread,
QuotingParams quotingParams)
Calculates the bond OAS from spread to a treasury benchmark
|
static double |
CreditAnalytics.BondOASTMFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
double dblPrice,
QuotingParams quotingParams)
Calculates the bond OAS to maturity from price
|
static double |
CreditAnalytics.BondPECSFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
CreditCurve cc,
double dblPrice)
Calculates the Bond PECS from price (simplified version)
|
static double |
CreditAnalytics.BondPECSFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
CreditCurve cc,
double dblPrice,
QuotingParams quotingParams)
Calculates the Bond PECS from price
|
static double |
CreditAnalytics.BondPECSFromTSYSpread(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
CreditCurve cc,
double dblTSYSpread)
Calculates the Bond PECS from spread to a treasury benchmark (simplified version)
|
static double |
CreditAnalytics.BondPECSFromTSYSpread(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
CreditCurve cc,
double dblTSYSpread,
QuotingParams quotingParams)
Calculates the Bond PECS from spread to a treasury benchmark
|
static double |
CreditAnalytics.BondPECSFromYield(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
CreditCurve cc,
double dblYield)
Calculates the Bond PECS from yield (simplified version)
|
static double |
CreditAnalytics.BondPECSFromYield(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
CreditCurve cc,
double dblYield,
QuotingParams quotingParams)
Calculates the Bond PECS from yield
|
static double |
CreditAnalytics.BondPECSTMFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
CreditCurve cc,
double dblPrice,
QuotingParams quotingParams)
Calculates the Bond PECS to maturity from price
|
static double |
CreditAnalytics.BondPriceFromTSYSpread(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblTSYSpread)
Calculates the bond price from spread to a treasury benchmark (simplified version)
|
static double |
CreditAnalytics.BondPriceFromTSYSpread(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblTSYSpread,
QuotingParams quotingParams)
Calculates the bond price from spread to a treasury benchmark
|
static double |
CreditAnalytics.BondPriceFromYield(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblYield)
Calculates the bond price from yield (simplified version)
|
static double |
CreditAnalytics.BondPriceFromYield(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
double dblYield,
QuotingParams quotingParams)
Calculates the bond price from yield
|
static double |
CreditAnalytics.BondTSYSpreadFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblPrice)
Calculates the bond spread to treasury from price (simplified version)
|
static double |
CreditAnalytics.BondTSYSpreadFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblPrice,
QuotingParams quotingParams)
Calculates the bond spread to treasury from price
|
static double |
CreditAnalytics.BondTSYTMFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblPrice,
QuotingParams quotingParams)
Calculates the bond spread over treasury to maturity from price
|
static WorkoutInfo |
CreditAnalytics.BondWorkoutInfoFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblPrice)
Calculates the bond work-out details from price (Simplified version)
|
static WorkoutInfo |
CreditAnalytics.BondWorkoutInfoFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
double dblPrice,
QuotingParams quotingParams)
Calculates the bond work-out details from price
|
static double |
CreditAnalytics.BondYieldFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblPrice)
Calculates the bond yield from price (simplified version)
|
static double |
CreditAnalytics.BondYieldFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
double dblPrice,
QuotingParams quotingParams)
Calculates the bond yield from price
|
static double |
CreditAnalytics.BondYieldFromTSYSpread(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dcTSY,
double dblTSYSpread)
Calculates the bond yield from spread to a treasury benchmark (simplified version)
|
static double |
CreditAnalytics.BondYieldFromTSYSpread(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblTSYSpread)
Calculates the bond yield from spread to a treasury benchmark
|
static double |
CreditAnalytics.BondYTMFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
double dblPrice,
QuotingParams quotingParams)
Calculates the bond YTM from price
|
static double |
CreditAnalytics.BondZSpreadFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblPrice)
Calculates the bond Z Spread from price (simplified version)
|
static double |
CreditAnalytics.BondZSpreadFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
double dblPrice,
QuotingParams quotingParams)
Calculates the bond Z Spread from price
|
static double |
CreditAnalytics.BondZSpreadFromTSYSpread(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblTSYSpread)
Calculates the bond Z spread from spread to a treasury benchmark (simplified version)
|
static double |
CreditAnalytics.BondZSpreadFromTSYSpread(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblTSYSpread,
QuotingParams quotingParams)
Calculates the bond Z spread from spread to a treasury benchmark
|
static double |
CreditAnalytics.BondZSpreadFromYield(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblYield)
Calculates the bond Z spread from yield (simplified version)
|
static double |
CreditAnalytics.BondZSpreadFromYield(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
double dblYield,
QuotingParams quotingParams)
Calculates the bond Z spread from yield
|
static double |
CreditAnalytics.BondZTMFromPrice(java.lang.String strBondId,
ValuationParams valParams,
DiscountCurve dc,
double dblPrice,
QuotingParams quotingParams)
Calculates the bond Z Spread to maturity from price
|
Constructor and Description |
---|
DateDiscountCurvePair(JulianDate dt,
DiscountCurve dc,
java.util.List<java.lang.String> lsstrDump)
DateDiscountCurvePair constructor
|
Modifier and Type | Method and Description |
---|---|
static CreditCurve |
CreditAnalyticsProxy.MakeCC(JulianDate dtStart,
DiscountCurve dc) |
Modifier and Type | Method and Description |
---|---|
static DiscountCurve |
EODCurves.LoadEODIR(java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency,
java.lang.String strInstrType,
java.lang.String strCurveName)
Create the named base IR curve based on the set of instruments and their types for a given EOD
|
Modifier and Type | Method and Description |
---|---|
static ScenarioCreditCurve |
EODCurves.BuildEODCreditCurve(java.sql.Statement stmt,
JulianDate dtEOD,
DiscountCurve dc,
java.lang.String strSPN,
java.lang.String strCurrency)
Build the credit curve's CreditScenarioCurve for the given EOD and currency from the corresponding
marks
|
Modifier and Type | Method and Description |
---|---|
static DiscountCurve |
DiscountCurveBuilder.BuildFromDF(JulianDate dtStart,
java.lang.String strCurrency,
double[] adblDate,
double[] adblDF,
java.lang.String strBootstrapMode)
Build a Discount Curve from an array of discount factors
|
Modifier and Type | Method and Description |
---|---|
static ZeroCurve |
ZeroCurveBuilder.CreateZeroCurve(int iFreqZC,
java.lang.String strDCZC,
java.lang.String strCalendarZC,
boolean bApplyEOMAdjZC,
java.util.List<CashflowPeriod> lsCouponPeriod,
double dblWorkoutDate,
double dblCashPayDate,
DiscountCurve dc,
QuotingParams quotingParams,
double dblZCBump)
ZeroCurve constructor from period, work-out, settle, and quoting parameters
|
Modifier and Type | Class and Description |
---|---|
class |
DerivedZeroRate
DerivedZeroRate implements the delegated ZeroCurve functionality.
|
class |
DiscountFactorDiscountCurve
DiscountFactorDiscountCurve manages the Discounting Latent State, using the Discount Factor as the State
Response Representation.
|
class |
FlatForwardDiscountCurve
FlatForwardDiscountCurve manages the Discounting Latent State, using the Forward Rate as the State
Response Representation.
|
class |
NonlinearDiscountFactorDiscountCurve
NonlinearDiscountFactorDiscountCurve manages the Discounting Latent State, using the Forward Rate as the
State Response Representation.
|
class |
ZeroRateDiscountCurve
ZeroRateDiscountCurve manages the Discounting Latent State, using the Zero Rate as the State
Response Representation.
|
Modifier and Type | Method and Description |
---|---|
DiscountCurve |
DerivedFXForward.bootstrapBasisDC(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom) |
DiscountCurve |
ZeroRateDiscountCurve.customTweakManifestMeasure(ResponseValueTweakParams rvtp) |
DiscountCurve |
DiscountFactorDiscountCurve.customTweakManifestMeasure(ResponseValueTweakParams rvtp) |
DiscountCurve |
DerivedZeroRate.parallelShiftQuantificationMetric(double dblShift) |
Modifier and Type | Method and Description |
---|---|
double[] |
DerivedFXForward.bootstrapBasis(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom) |
DiscountCurve |
DerivedFXForward.bootstrapBasisDC(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom) |
double[] |
DerivedFXBasis.fxForward(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom,
boolean bFwdAsPIP) |
double[] |
DerivedFXForward.impliedNodeRates(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom) |
double |
DerivedFXForward.rate(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblDate,
boolean bBasisOnDenom) |
double[] |
DerivedFXForward.zeroBasis(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom) |
Constructor and Description |
---|
DerivedZeroRate(int iFreqZC,
java.lang.String strDCZC,
java.lang.String strCalendarZC,
boolean bApplyEOMAdjZC,
java.util.List<CashflowPeriod> lsCouponPeriod,
double dblWorkoutDate,
double dblCashPayDate,
DiscountCurve dc,
QuotingParams quotingParams,
double dblZCBump)
DerivedZeroRate constructor from period, work-out, settle, and quoting parameters
|
Modifier and Type | Method and Description |
---|---|
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)
Calibrate a discount curve
|
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)
Calibrate an array of tenor bumped discount curves
|
Modifier and Type | Method and Description |
---|---|
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)
Calibrate a tenor map of tenor bumped discount curves
|
Modifier and Type | Method and Description |
---|---|
boolean |
NonlinearCurveCalibrator.bootstrapHazardRate(ExplicitBootCreditCurve 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 |
NonlinearCurveCalibrator.bootstrapInterestRateSequence(ExplicitBootDiscountCurve 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
|
boolean |
NonlinearCurveCalibrator.bootstrapNonlinearInterestRateSequence(NonlinearDiscountFactorDiscountCurve nldfdc,
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 a non-linear interest rate curve from the set of calibration components
|
double |
NonlinearCurveCalibrator.calibrateIRNode(ExplicitBootDiscountCurve 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)
Calibrate a Credit 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)
Calibrate 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)
Create an array of tenor bumped credit curves
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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)
Create an tenor named map of tenor bumped credit curves
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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)
Calibrate 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)
Calibrate an array of tenor bumped discount curves
|