Package | Description |
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org.drip.param.creator | |
org.drip.param.definition | |
org.drip.param.market | |
org.drip.product.definition |
Modifier and Type | Method and Description |
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static BasketMarketParams |
BasketMarketParamsBuilder.CreateBasketMarketParams()
Construct an empty instance of the BasketMarketParams object.
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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.
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static BasketMarketParams |
BasketMarketParamsBuilder.FromByteArray(byte[] ab)
Create a Basket Market Parameter Instance from the byte array
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Modifier and Type | Method and Description |
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abstract BasketMarketParams |
MarketParams.getScenBMP(BasketProduct bp,
java.lang.String strScen)
Get the BasketMarketParams for the given basket product and the scenario
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abstract BasketMarketParams |
MarketParams.getScenBMP(java.lang.String strScenarioName)
Retrieve the Named Scenario BMP
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Modifier and Type | Method and Description |
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abstract CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParams.getCreditBumpBMP(BasketProduct bp,
boolean bBump)
Get the map of credit Tenor bumped curves for the given BasketProduct
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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
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abstract CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParams.getForwardBumpBMP(BasketProduct bp,
boolean bBump)
Get the Map of Forward Rate Tenor Bumped Curves for the given Basket Product
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abstract CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParams.getIRBumpBMP(BasketProduct bp,
boolean bBump)
Get the map of IR Tenor bumped curves for the given BasketProduct
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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
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abstract CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParams.getRecoveryBumpBMP(BasketProduct bp,
boolean bBump)
Get the map of Recovery Tenor bumped curves for the given BasketProduct
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Modifier and Type | Method and Description |
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abstract boolean |
MarketParams.addScenBMP(java.lang.String strScenarioName,
BasketMarketParams bmp)
Add the named scenario BMP
|
Modifier and Type | Class and Description |
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class |
BasketMarketParamSet
BasketMarketParamSet provides an implementation of BasketMarketParamsRef for a specific scenario.
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Modifier and Type | Method and Description |
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BasketMarketParams |
MarketParamsContainer.getScenBMP(BasketProduct bp,
java.lang.String strScen) |
BasketMarketParams |
MarketParamsContainer.getScenBMP(java.lang.String strScenarioName) |
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParamsContainer.getCreditBumpBMP(BasketProduct bp,
boolean bBump) |
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<BasketMarketParams>> |
MarketParamsContainer.getCreditTenorBumpBMP(BasketProduct bp,
boolean bBump) |
CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParamsContainer.getForwardBumpBMP(BasketProduct bp,
boolean bBump) |
CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParamsContainer.getIRBumpBMP(BasketProduct bp,
boolean bBump) |
CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<BasketMarketParams>> |
MarketParamsContainer.getIRTenorBumpBMP(BasketProduct bp,
boolean bBump) |
CaseInsensitiveTreeMap<BasketMarketParams> |
MarketParamsContainer.getRecoveryBumpBMP(BasketProduct bp,
boolean bBump) |
Modifier and Type | Method and Description |
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boolean |
MarketParamsContainer.addScenBMP(java.lang.String strScenarioName,
BasketMarketParams bmp) |
Modifier and Type | Method and Description |
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double |
BasketProduct.calcMeasureValue(ValuationParams valParams,
PricerParams pricerParams,
BasketMarketParams bmp,
QuotingParams quotingParams,
java.lang.String strMeasure)
Calculate the value of the given basket product measure
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double |
BasketProduct.getCoupon(double dblDate,
BasketMarketParams bmp)
Retrieve the basket product's coupon amount at the given date
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CaseInsensitiveTreeMap<java.lang.Double> |
BasketProduct.value(ValuationParams valParams,
PricerParams pricerParams,
BasketMarketParams bmp,
QuotingParams quotingParams)
Generate a full list of the basket product measures for the full input set of market parameters
|