Modifier and Type | Method and Description |
---|---|
Component[] |
RatesCurveScenarioGenerator.getInstruments()
Returns an array of the calibration instruments
|
Component[] |
CreditCurveScenarioGenerator.getInstruments()
Returns an array of the calibration instruments
|
Modifier and Type | Method and Description |
---|---|
boolean |
NewtonRaphsonCalibrator.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,java.util.Map<java.lang.String,java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat) |
boolean |
ComponentCalibrator.bootstrapHazardRate(CreditCurve cc,
Component comp,
int iInstr,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
PricerParams pricerParams,
java.lang.String strMeasure,
double dblCalibValue,
java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Bootstraps the hazard rate curve from the component quote
|
boolean |
BracketingCalibrator.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,java.util.Map<java.lang.String,java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat) |
boolean |
NewtonRaphsonCalibrator.bootstrapInterestRate(DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
Component comp,
int iInstr,
ValuationParams valParams,
java.lang.String strMeasure,
double dblCalibValue,
java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat) |
boolean |
ComponentCalibrator.bootstrapInterestRate(DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
Component comp,
int iInstr,
ValuationParams valParams,
java.lang.String strMeasure,
double dblCalibValue,
java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Bootstraps the interest rate curve from the component quote
|
boolean |
BracketingCalibrator.bootstrapInterestRate(DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
Component comp,
int iInstr,
ValuationParams valParams,
java.lang.String strMeasure,
double dblCalibValue,
java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat) |
Modifier and Type | Method and Description |
---|---|
abstract java.util.Map<java.lang.String,ComponentMarketParams> |
MarketParams.getCreditTenorCMP(Component comp,
boolean bBumpUp)
Gets the map of tenor credit bumped ComponentMarketParams corresponding to the component
|
abstract java.util.Map<java.lang.String,ComponentMarketParams> |
MarketParams.getIRTenorCMP(Component comp,
boolean bBumpUp)
Gets the map of tenor IR bumped ComponentMarketParams corresponding to the component
|
abstract ComponentMarketParams |
MarketParams.getScenCMP(Component comp,
java.lang.String strScen)
Gets the ComponentMarketParams corresponding to the component and the scenario
|
Modifier and Type | Method and Description |
---|---|
java.util.Map<java.lang.String,ComponentMarketParams> |
MarketParamsContainer.getCreditTenorCMP(Component comp,
boolean bBumpUp) |
java.util.Map<java.lang.String,ComponentMarketParams> |
MarketParamsContainer.getIRTenorCMP(Component comp,
boolean bBumpUp) |
ComponentMarketParams |
MarketParamsContainer.getScenCMP(Component comp,
java.lang.String strScen) |
Modifier and Type | Method and Description |
---|---|
static BasketProduct |
CDSBasketBuilder.MakeBasketDefaultSwap(JulianDate dtEffective,
JulianDate dtMaturity,
Component[] aComp)
Creates the basket default swap from effective, maturity, and an array of the credit components.
|
Modifier and Type | Class and Description |
---|---|
class |
BondComponent
This is the base class that extends CreditComponent abstract class and implements the functionality behind
bonds of all kinds.
|
class |
CDSComponent
This class implements the credit default swap product contract details.
|
Constructor and Description |
---|
CDSBasket(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
Component[] aComp,
double[] adblWeight,
java.lang.String strName)
Constructs a CDS Basket from the components and their weights
|
Modifier and Type | Class and Description |
---|---|
class |
Bond
This base abstract class implements the pricing, the valuation, and the RV analytics functionality for the
bond product.
|
class |
CalibratableComponent
This abstract class providing implementation of Component interface.
|
class |
CreditComponent
Base abstract class that extends CalibratableComponent on top of which all credit components are
implemented.
|
class |
CreditDefaultSwap
This base abstract class implements the pricing, the valuation, and the RV analytics functionality for the
CDS product.
|
class |
RatesComponent
Base abstract class that extends CalibratableComponent on top of which all rates components are
implemented.
|
Modifier and Type | Class and Description |
---|---|
class |
CashComponent
Implementation of the Cash IR product and its contract/valuation details.
|
class |
EDFComponent
Implementation of the Euro-dollar future contract/valuation (EDF)
|
class |
IRSComponent
Implements the InterestRateSwap product contract/valuation details.
|
Modifier and Type | Method and Description |
---|---|
static Component |
CreditAnalytics.MakeInstrumentFromCode(JulianDate dt,
java.lang.String strCode)
Constructs the calibration component from the specified component code for the specified date
|
static Component[] |
CreditAnalytics.MakeStdInstrumentSet(JulianDate dt,
int iNumInstr,
java.lang.String strType)
Constructs an array of calibration components for the specified component type and number for the
specified date
|