public class EDFComponent extends RatesComponent
NULL_SER_STRING, VERSION
Constructor and Description |
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EDFComponent(byte[] ab)
EDFComponent de-serialization from input byte array
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EDFComponent(JulianDate dtEffective,
JulianDate dtMaturity,
java.lang.String strIR,
java.lang.String strDC,
java.lang.String strCalendar)
Constructs an EDFComponent Component
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EDFComponent(java.lang.String strFullEDCode,
JulianDate dt,
java.lang.String strIR)
Constructs an EDFComponent Component
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Modifier and Type | Method and Description |
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WengertJacobian |
calcPVDFMicroJack(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Compute the micro-Jacobian of the PV to the DF
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WengertJacobian |
calcQuoteDFMicroJack(java.lang.String strQuote,
ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Compute the micro-Jacobian of the given measure to the DF
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Serializer |
deserialize(byte[] ab)
De-serialize from a byte array.
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CashSettleParams |
getCashSettleParams()
Gets the component cash settlement parameters
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java.lang.String |
getComponentName()
Gets the component name
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double |
getCoupon(double dblValue,
ComponentMarketParams mktParams)
Gets the component's coupon at the given date
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java.util.List<CouponPeriod> |
getCouponPeriod()
Gets the component's coupon periods
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java.lang.String |
getCreditCurveName()
Gets the credit curve name
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java.lang.String |
getEDSFCurveName()
Gets the EDSF curve name
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JulianDate |
getEffectiveDate()
Get the Effective Date
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JulianDate |
getFirstCouponDate()
Get the First Coupon Date
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double |
getInitialNotional()
Gets the Initial Notional for the Component
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java.lang.String |
getIRCurveName()
Gets the IR curve name
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JulianDate |
getMaturityDate()
Get the Maturity Date
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java.util.Set<java.lang.String> |
getMeasureNames()
Retrieves the ordered set of the measure names whose values will be calculated
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double |
getNotional(double dblDate)
Gets the Notional for the Component at the given date
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double |
getNotional(double dblDate1,
double dblDate2)
Gets the time-weighted Notional for the Component between 2 dates
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java.lang.String |
getPrimaryCode()
Return the primary code
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java.lang.String |
getRatesForwardCurveName()
Gets the component name
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java.lang.String[] |
getSecondaryCode()
Gets the component's secondary codes
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java.lang.String |
getTreasuryCurveName()
Gets the treasury curve name
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static void |
main(java.lang.String[] astrArgs) |
byte[] |
serialize()
Serialize into a byte array.
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boolean |
setCurves(java.lang.String strIR,
java.lang.String strIRTSY,
java.lang.String strCC)
Sets the component's IR, treasury, and credit curve names
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void |
setPrimaryCode(java.lang.String strCode)
Sets the component's primary code
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CaseInsensitiveTreeMap<java.lang.Double> |
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
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calcCustomScenarioMeasures, calcMeasures, calcMeasureValue
getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer
public EDFComponent(JulianDate dtEffective, JulianDate dtMaturity, java.lang.String strIR, java.lang.String strDC, java.lang.String strCalendar) throws java.lang.Exception
dtEffective
- Effective DatedtMaturity
- Maturity DatestrIR
- IR CurvestrDC
- Day CountstrCalendar
- Calendarjava.lang.Exception
- Thrown if the inputs are invalidpublic EDFComponent(java.lang.String strFullEDCode, JulianDate dt, java.lang.String strIR) throws java.lang.Exception
strFullEDCode
- EDF Component Codedt
- Start DatestrIR
- IR Curvejava.lang.Exception
- Thrown if the inputs are invalidpublic EDFComponent(byte[] ab) throws java.lang.Exception
ab
- Byte Arrayjava.lang.Exception
- Thrown if EDFComponent cannot be properly de-serializedpublic java.lang.String getPrimaryCode()
CalibratableComponent
getPrimaryCode
in class CalibratableComponent
public void setPrimaryCode(java.lang.String strCode)
CalibratableComponent
setPrimaryCode
in class CalibratableComponent
strCode
- Primary Codepublic java.lang.String[] getSecondaryCode()
CalibratableComponent
getSecondaryCode
in class CalibratableComponent
public java.lang.String getComponentName()
ComponentMarketParamRef
public java.lang.String getTreasuryCurveName()
ComponentMarketParamRef
public java.lang.String getEDSFCurveName()
ComponentMarketParamRef
public double getInitialNotional()
Component
getInitialNotional
in class Component
public double getNotional(double dblDate) throws java.lang.Exception
Component
getNotional
in class Component
dblDate
- Double date inputjava.lang.Exception
- Thrown if Notional cannot be computedpublic double getCoupon(double dblValue, ComponentMarketParams mktParams) throws java.lang.Exception
Component
public double getNotional(double dblDate1, double dblDate2) throws java.lang.Exception
Component
getNotional
in class Component
dblDate1
- Double date firstdblDate2
- Double date secondjava.lang.Exception
- Thrown if Notional cannot be computedpublic boolean setCurves(java.lang.String strIR, java.lang.String strIRTSY, java.lang.String strCC)
Component
public java.lang.String getIRCurveName()
ComponentMarketParamRef
public java.lang.String getRatesForwardCurveName()
ComponentMarketParamRef
public java.lang.String getCreditCurveName()
ComponentMarketParamRef
public JulianDate getEffectiveDate()
Component
getEffectiveDate
in class Component
public JulianDate getMaturityDate()
Component
getMaturityDate
in class Component
public JulianDate getFirstCouponDate()
Component
getFirstCouponDate
in class Component
public java.util.List<CouponPeriod> getCouponPeriod()
Component
getCouponPeriod
in class Component
public CashSettleParams getCashSettleParams()
Component
getCashSettleParams
in class Component
public CaseInsensitiveTreeMap<java.lang.Double> value(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams)
Component
public java.util.Set<java.lang.String> getMeasureNames()
Component
getMeasureNames
in class Component
public WengertJacobian calcPVDFMicroJack(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams)
CalibratableComponent
calcPVDFMicroJack
in class CalibratableComponent
valParams
- Valuation ParameterspricerParams
- Pricer ParametersmktParams
- Component Market ParametersquotingParams
- Component Quoting Parameterspublic WengertJacobian calcQuoteDFMicroJack(java.lang.String strQuote, ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams)
CalibratableComponent
calcQuoteDFMicroJack
in class CalibratableComponent
strQuote
- Quote NamevalParams
- Valuation ParameterspricerParams
- Pricer ParametersmktParams
- Component Market ParametersquotingParams
- Component Quoting Parameterspublic byte[] serialize()
Serializer
serialize
in class Serializer
public Serializer deserialize(byte[] ab)
Serializer
deserialize
in class Serializer
public static final void main(java.lang.String[] astrArgs) throws java.lang.Exception
java.lang.Exception