Modifier and Type | Class and Description |
---|---|
class |
ConstantForwardHazard
This class contains the constant hazard rate based credit curve holder object.
|
class |
ConstantForwardRate
This class contains the constant forward rate based discount curve holder object.
|
class |
DerivedFXBasis
This class contains the constant forward basis based FX Basis Curve holder object.
|
class |
DerivedFXForward
This class contains the constant forward based FX Forward Curve holder object.
|
class |
DerivedZeroRate
This class implements the zero rate curve.
|
class |
HyperbolicTensionForwardRate
This class contains the hyperbolic tension forward rate based discount curve holder object.
|
class |
PolynomialForwardRate
This class contains the polynomial forward rate based discount curve holder object.
|
class |
PolynomialSplineDF
This class contains the polynomial spline discount factor based discount curve holder object.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
PolynomialSplineDF.deserialize(byte[] ab) |
Serializer |
PolynomialForwardRate.deserialize(byte[] ab) |
Serializer |
HyperbolicTensionForwardRate.deserialize(byte[] ab) |
Serializer |
DerivedZeroRate.deserialize(byte[] ab) |
Serializer |
DerivedFXForward.deserialize(byte[] ab) |
Serializer |
DerivedFXBasis.deserialize(byte[] ab) |
Serializer |
ConstantForwardRate.deserialize(byte[] ab) |
Serializer |
ConstantForwardHazard.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
DateTime
This class provides the representation of the instantiation-time date and time objects.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
DateTime.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
ActActDCParams
Class contains parameters to represent the Act/Act day count - the frequency, and the reference period
start/end dates.
|
class |
DateAdjustParams
This class contains the parameters needed for adjusting dates – holiday calendar and adjustment type.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
DateAdjustParams.deserialize(byte[] ab) |
Serializer |
ActActDCParams.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
CreditCurve
CreditCurve is the stub for the survival curve functionality.
|
class |
DiscountCurve
DiscountCurve is the stub for the discount curve functionality.
|
class |
FXBasisCurve
FXBasisCurve implements the curve representing the FXBasis nodes.
|
class |
FXForwardCurve
FXForwardCurve implements the curve representing the FXForward nodes.
|
class |
ZeroCurve
ZeroCurve exposes the node set containing the zero curve node points.
|
Modifier and Type | Class and Description |
---|---|
class |
Base
Base is an abstraction around holiday and description.
|
class |
Fixed
Fixed contains the fixed holiday’s date and month.
|
class |
Static
Static implements a complete date as a specific holiday.
|
class |
Variable
Variable class contains the rule characterizing the variable holiday’s month, day in week, week in month,
and the weekend days.
|
class |
Weekend
Weekend holds the left and the right weekend days
|
Modifier and Type | Method and Description |
---|---|
Serializer |
Weekend.deserialize(byte[] ab) |
Serializer |
Variable.deserialize(byte[] ab) |
Serializer |
Static.deserialize(byte[] ab) |
Serializer |
Fixed.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
BasketMeasures
BasketMeasures is the place holder for the analytical basket measures, optionally across scenarios.
|
class |
BondCouponMeasures
This class encapsulates the parsimonius but complete set of the cash-flow oriented coupon measures
generated out of a full bond analytics run to a given work-out.
|
class |
BondRVMeasures
BondRVMeasures encapsulates the comprehensive set of RV measures calculated for the bond to the
appropriate exercise:
- Workout Information
- Price, Yield, and Yield01
- Spread Measures: Asset Swap/Credit/G/I/OAS/PECS/TSY/Z
- Basis Measures: Bond Basis, Credit Basis, Yield Basis
- Duration Measures: Macaulay/Modified Duration, Convexity
|
class |
BondWorkoutMeasures
BondWorkoutMeasures encapsulates the parsimonius yet complete set of measures generated out of a full bond
analytics run to a given work-out.
|
class |
ComponentMeasures
ComponentMeasures is the place holder for analytical single component output measures, optionally across
scenarios.
|
class |
ExerciseInfo
ExerciseInfo is a place-holder for the full set of exercise information.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
ExerciseInfo.deserialize(byte[] ab) |
Serializer |
ComponentMeasures.deserialize(byte[] ab) |
Serializer |
BondWorkoutMeasures.deserialize(byte[] ab) |
Serializer |
BondRVMeasures.deserialize(byte[] ab) |
Serializer |
BondCouponMeasures.deserialize(byte[] ab) |
Serializer |
BasketMeasures.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
CouponPeriod
CouponPeriod extends the period class with the following coupon day-count specific parameters: frequency,
reset date, and accrual day-count convention.
|
class |
CouponPeriodCurveFactors
CouponPeriodCurveFactors is an enhancement of the period class using the following period measures: start/end survival
probabilities, start/end notionals, and period start/end discount factor
|
class |
LossPeriodCurveFactors
LossPeriodCurveFactors is an implementation of the period class enhanced by the following period measures:
start/end survival probabilities, period effective notional/recovery/discount factor
|
class |
Period
Period serves as a holder for the period dates: period start/end, period accrual start/end, pay, and
full period day count fraction.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
Period.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
BasketMarketParams
BasketMarketParams class extends the BaketMarketParamsRef for a specific scenario.
|
class |
CalibrationParams
CalibrationParams the calibration parameters - the measure to be calibrated, the type/nature of the
calibration to be performed, and the work-out date to which the calibration is done.
|
class |
ComponentMarketParams
ComponentMarketParams abstract class provides stub for the ComponentMarketParamsRef interface.
|
class |
ComponentQuote
ComponentQuote abstract class holds the different types of quotes for a given component.
|
class |
CreditNodeTweakParams
CreditNodeTweakParams contains the place holder for the credit curve scenario tweak parameters: the
measure, the curve node, and the nodal calibration type (entire curve/flat or a given tenor point).
|
class |
NodeTweakParams
NodeTweakParams contains the place holder for the scenario tweak parameters, for either a specific curve
node, or the entire curve (flat).
|
class |
Quote
Quote interface contains the stubs corresponding to a product quote.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
NodeTweakParams.deserialize(byte[] ab) |
Serializer |
CalibrationParams.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
BasketMarketParamSet
BasketMarketParamSet provides an implementation of BasketMarketParamsRef for a specific scenario.
|
class |
ComponentMarketParamSet
ComponentMarketParamSet provides implementation of the ComponentMarketParamsRef interface.
|
class |
ComponentMultiMeasureQuote
ComponentMultiMeasureQuote holds the different types of quotes for a given component.
|
class |
ComponentTickQuote
ComponentTickQuote holds the tick related component parameters - it contains the product ID, the quote
composite, the source, the counter party, and whether the quote can be treated as a mark.
|
class |
MultiSidedQuote
MultiSidedQuote implements the Quote interface, which contains the stubs corresponding to a product
quote.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
MultiSidedQuote.deserialize(byte[] ab) |
Serializer |
ComponentTickQuote.deserialize(byte[] ab) |
Serializer |
ComponentMultiMeasureQuote.deserialize(byte[] ab) |
Serializer |
ComponentMarketParamSet.deserialize(byte[] ab) |
Serializer |
BasketMarketParamSet.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
PricerParams
PricerParams contains the pricer parameters - the discrete unit size, calibration mode on/off, survival to
pay/end date, and the discretization scheme
|
Modifier and Type | Method and Description |
---|---|
Serializer |
PricerParams.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
MeasureInterpreter
MeasureInterpreter is the abstract shell stub class from which all product measure quoting parameters are
derived.
|
class |
QuotedSpreadInterpreter
QuotedSpreadInterpreter holds the fields needed to interpret a Quoted Spread Quote.
|
class |
YieldInterpreter
YieldInterpreter holds the fields needed to interpret a Yield Quote.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
YieldInterpreter.deserialize(byte[] ab) |
Serializer |
QuotedSpreadInterpreter.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
CashSettleParams
CashSettleParams is the place-holder for the cash settlement parameters for a given product.
|
class |
QuotingParams
QuotingParams holds the parameters needed to interpret the input quotes.
|
class |
ValuationParams
ValuationParams is the place-holder for the valuation parameters for a given product.
|
class |
WorkoutInfo
WorkoutInfo is the place-holder for the work-out parameters.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
WorkoutInfo.deserialize(byte[] ab) |
Serializer |
ValuationParams.deserialize(byte[] ab) |
Serializer |
QuotingParams.deserialize(byte[] ab) |
Serializer |
CashSettleParams.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
BondProductBuilder
BondProductBuilder holds the static parameters of the bond product needed for the full bond valuation.
|
class |
BondRefDataBuilder
BondRefDataBuilder holds the entire set of static parameters for the bond product.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
BondRefDataBuilder.deserialize(byte[] ab) |
Serializer |
BondProductBuilder.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
BondBasket
BondBasket implements the bond basket product contract details.
|
class |
BondComponent
BondComponent is the base class that extends CreditComponent abstract class and implements the functionality behind
bonds of all kinds.
|
class |
CDSBasket
CDSBasket implements the basket default swap product contract details.
|
class |
CDSComponent
CDSComponent implements the credit default swap product contract details.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
CDSComponent.deserialize(byte[] ab) |
Serializer |
CDSBasket.deserialize(byte[] ab) |
Serializer |
BondComponent.deserialize(byte[] ab) |
Serializer |
BondBasket.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
BasketProduct
BasketProduct abstract class extends BasketMarketParamRef.
|
class |
Bond
Bond abstract class implements the pricing, the valuation, and the RV analytics functionality for the bond
product.
|
class |
CalibratableComponent
CalibratableComponent abstract class provides implementation of Component's calibration interface.
|
class |
Component
Component abstract class extends ComponentMarketParamRef and provides the following methods:
- Get the component'sGet initial notional, notional, and coupon.
|
class |
CreditComponent
CreditComponent is the base abstract class on top of which all credit components are implemented.
|
class |
CreditDefaultSwap
CreditDefaultSwap is the base abstract class implements the pricing, the valuation, and the RV analytics
functionality for the CDS product.
|
class |
FXForward
FXForward is the abstract class exposes the functionality behind the FXForward Contract.
|
class |
FXSpot
FXSpot is the abstract class exposes the functionality behind the FXSpot Contract.
|
class |
RatesComponent
RatesComponent is the abstract class that extends CalibratableComponent on top of which all rates
components are implemented.
|
Modifier and Type | Class and Description |
---|---|
class |
FXForwardContract
FXForwardContract contains the FX forward product contract details - the effective date, the maturity
date, the currency pair and the product code.
|
class |
FXSpotContract
FXSpotContract contains the FX spot contract parameters - the spot date and the currency pair.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
FXSpotContract.deserialize(byte[] ab) |
Serializer |
FXForwardContract.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
CDXIdentifier
CDXIdentifier implements the creation and the static details of the all the NA, EU, SovX, EMEA, and ASIA
standardized CDS indexes.
|
class |
CouponSetting
CouponSetting contains the coupon type, schedule, and the coupon amount for the component.
|
class |
CreditSetting
CreditSetting contains the credit related valuation parameters - use default pay lag, use
curve or the component recovery, component recovery, credit curve name, and whether there is accrual
on default.
|
class |
CurrencyPair
CurrencyPair class contains the numerator currency, the denominator currency, the quote currency, and the
PIP Factor.
|
class |
CurrencySet
CurrencySet contains the component's trade, the coupon, and the redemption currencies.
|
class |
EmbeddedOptionSchedule
EmbeddedOptionSchedule is a place holder for the embedded option schedule for the component.
|
class |
FactorSchedule
FactorSchedule the contains array of dates and factors.
|
class |
FloaterSetting
FloaterSetting contains the component's floating rate parameters.
|
class |
IdentifierSet
IdentifierSet contains the component's identifier parameters - ISIN, CUSIP, ID, and ticker.
|
class |
NotionalSetting
NotionalSetting contains the product's notional schedule and the amount.
|
class |
PeriodGenerator
PeriodGenerator generates the component coupon periods from flexible inputs.
|
class |
PeriodSet
PeriodSet is the place-holder for the component’s period generation parameters.
|
class |
QuoteConvention
QuoteConvention contains the Component Market Convention Parameters - the quote convention, the
calculation type, the first settle date, and the redemption amount.
|
class |
RatesSetting
RatesSetting contains the rate related valuation parameters - the discount curves to be used for
discounting the coupon, the redemption, the principal, and the settle cash flows.
|
class |
TerminationSetting
TerminationSetting class contains the current "liveness" state of the component, and, if inactive, how it
entered that state.
|
class |
TreasuryBenchmark
TreasuryBenchmark contains component treasury benchmark parameters - the treasury benchmark set, and the
names of the treasury and the EDSF IR curves.
|
class |
TsyBmkSet
TsyBmkSet contains the treasury benchmark set - the primary treasury benchmark, and an array of secondary
treasury benchmarks.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
TsyBmkSet.deserialize(byte[] ab) |
Serializer |
TreasuryBenchmark.deserialize(byte[] ab) |
Serializer |
TerminationSetting.deserialize(byte[] ab) |
Serializer |
RatesSetting.deserialize(byte[] ab) |
Serializer |
QuoteConvention.deserialize(byte[] ab) |
Serializer |
PeriodSet.deserialize(byte[] ab) |
Serializer |
NotionalSetting.deserialize(byte[] ab) |
Serializer |
IdentifierSet.deserialize(byte[] ab) |
Serializer |
FloaterSetting.deserialize(byte[] ab) |
Serializer |
FactorSchedule.deserialize(byte[] ab) |
Serializer |
EmbeddedOptionSchedule.deserialize(byte[] ab) |
Serializer |
CurrencySet.deserialize(byte[] ab) |
Serializer |
CurrencyPair.deserialize(byte[] ab) |
Serializer |
CreditSetting.deserialize(byte[] ab) |
Serializer |
CouponSetting.deserialize(byte[] ab) |
Serializer |
CDXIdentifier.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
CashComponent
CashComponent contains the implementation of the Cash IR product and its contract/valuation details.
|
class |
EDFComponent
EDFComponent contains the implementation of the Euro-dollar future contract/valuation (EDF).
|
class |
FixedStream
FixedStream contains an implementation of the Fixed leg cash flow stream.
|
class |
FloatingStream
FloatingStream contains an implementation of the Floating leg cash flow stream.
|
class |
IRSComponent
IRSComponent contains the implementation of the Interest Rate Swap product contract/valuation details.
|
class |
RatesBasket
RatesBasket contains the implementation of the Basket of Rates Component legs.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
RatesBasket.deserialize(byte[] ab) |
Serializer |
IRSComponent.deserialize(byte[] ab) |
Serializer |
FloatingStream.deserialize(byte[] ab) |
Serializer |
FixedStream.deserialize(byte[] ab) |
Serializer |
EDFComponent.deserialize(byte[] ab) |
Serializer |
CashComponent.deserialize(byte[] ab) |
Modifier and Type | Class and Description |
---|---|
class |
CreditAnalyticsRequest
CreditAnalyticsRequest contains the requests for the Credit Analytics server from the client.
|
class |
CreditAnalyticsResponse
CreditAnalyticsResponse contains the response from the Credit Analytics server to the client.
|
Modifier and Type | Method and Description |
---|---|
Serializer |
CreditAnalyticsResponse.deserialize(byte[] ab) |
Serializer |
CreditAnalyticsRequest.deserialize(byte[] ab) |
Modifier and Type | Method and Description |
---|---|
abstract Serializer |
Serializer.deserialize(byte[] ab)
De-serialize from a byte array.
|