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)
Calibrates 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)
Calibrates 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)
Calibrates a tenor map of tenor bumped discount curves
|
Modifier and Type | Method and Description |
---|---|
boolean |
CurveCalibrator.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,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Calibrate a single Hazard Rate Node from the corresponding Component
|
boolean |
CurveCalibrator.bootstrapInterestRateSequence(DiscountCurve 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
|
double |
CurveCalibrator.calibrateIRNode(DiscountCurve 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)
Calibrates a create 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)
Calibrates 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)
Creates an array of tenor bumped credit curves
|
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)
Creates an tenor named map of tenor bumped credit curves
|
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)
Calibrates 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)
Calibrates an array of tenor bumped discount curves
|
Modifier and Type | Method and Description |
---|---|
static DiscountCurve |
DiscountCurveBuilder.BuildFromDF(JulianDate dtStart,
java.lang.String strCurrency,
double[] adblDate,
double[] adblDF,
java.lang.String strBootstrapMode)
Builds a Discount Curve from an array of discount factors
|
static DiscountCurve |
DiscountCurveBuilder.CreateDC(JulianDate dtStart,
java.lang.String strCurrency,
double[] adblDate,
double[] adblRate,
java.lang.String strBootstrapMode)
Creates a discount curve from an array of dates/rates
|
static DiscountCurve |
DiscountCurveBuilder.CreateFromFlatRate(JulianDate dtStart,
java.lang.String strCurrency,
double dblRate)
Creates a discount curve from the flat rate
|
static DiscountCurve |
DiscountCurveBuilder.FromByteArray(byte[] ab,
java.lang.String strBootstrapMode)
Create a discount curve instance from the byte array
|
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<CouponPeriod> 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 |
ConstantForwardRate
This class contains the constant forward rate based discount 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 |
---|---|
DiscountCurve |
DerivedFXForward.bootstrapBasisDC(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom) |
DiscountCurve |
DerivedZeroRate.createBasisRateShiftedCurve(double[] adblDate,
double[] adblBasis) |
DiscountCurve |
DerivedZeroRate.createParallelRateShiftedCurve(double dblShift) |
DiscountCurve |
PolynomialSplineDF.createTweakedCurve(NodeTweakParams ntp) |
DiscountCurve |
PolynomialForwardRate.createTweakedCurve(NodeTweakParams ntp) |
DiscountCurve |
HyperbolicTensionForwardRate.createTweakedCurve(NodeTweakParams ntp) |
DiscountCurve |
ConstantForwardRate.createTweakedCurve(NodeTweakParams ntp) |
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[] |
DerivedFXForward.calcImpliedNodeRates(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom) |
double |
DerivedFXForward.calcImpliedRate(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblDate,
boolean bBasisOnDenom) |
double[] |
DerivedFXForward.getFullBasis(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom) |
double[] |
DerivedFXBasis.getFullFXFwd(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom,
boolean bFwdAsPIP) |
void |
ConstantForwardHazard.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) |
Constructor and Description |
---|
DerivedZeroRate(int iFreqZC,
java.lang.String strDCZC,
java.lang.String strCalendarZC,
boolean bApplyEOMAdjZC,
java.util.List<CouponPeriod> 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 |
ZeroCurve
ZeroCurve exposes the node set containing the zero curve node points.
|
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
|
abstract DiscountCurve |
DiscountCurve.createBasisRateShiftedCurve(double[] adblDate,
double[] adblBasis)
Create a shifted curve from an array of basis shifts
|
abstract DiscountCurve |
DiscountCurve.createParallelRateShiftedCurve(double dblShift)
Create a parallel rate shifted discount curve
|
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[] |
FXForwardCurve.calcImpliedNodeRates(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom)
Calculate the rates implied by the discount curve inputs
|
abstract double |
FXForwardCurve.calcImpliedRate(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblDate,
boolean bBasisOnDenom)
Calculate the rate implied by the discount curve inputs to a specified date
|
abstract double[] |
FXForwardCurve.getFullBasis(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom)
Calculates the set of full basis given the input discount curves
|
abstract double[] |
FXBasisCurve.getFullFXFwd(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom,
boolean bFwdAsPIP)
Returns the array of full FX Forwards
|
abstract 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)
Sets the calibration inputs for the CreditCurve
|
Modifier and Type | Method and Description |
---|---|
static LossPeriodCurveFactors |
LossPeriodCurveFactors.MakeDefaultPeriod(double dblStart,
double dblEnd,
double dblEffectiveDCF,
double dblEffectiveNotional,
DiscountCurve dc,
CreditCurve cc,
int iDefaultLag)
Creates 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)
Creates an instance of the LossPeriodCurveFactors class using the period's dates and curves to
generate the curve measures
|
Modifier and Type | Method and Description |
---|---|
static DiscountCurve |
RatesScenarioCurveBuilder.CreateDiscountCurve(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)
Creates Discount Curve from the Rates Calibration Instruments
|
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)
Creates 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,
DiscountCurve dcForward,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Creates 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)
Calibrates the base credit curve from the input credit instruments, measures, and the quotes
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.MakeCreditCMP(DiscountCurve dc,
CreditCurve cc)
Creates a CMP with the discount curve and the credit curve
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.MakeDiscountCMP(DiscountCurve dc)
Creates a CMP with the rates discount curve alone
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.MakeDiscountCMP(DiscountCurve dc,
DiscountCurve dcTSY)
Creates a CMP with the rates discount curve and the treasury discount curve alone
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.MakeDiscountCMP(DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF)
Creates a CMP with the rates discount curve, the treasury discount curve, and the EDSF discount curve
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.MakeFloaterDiscountCMP(DiscountCurve dc,
DiscountCurve dcForward)
Creates a CMP with the rates discount curve and the forward
|
Modifier and Type | Method and Description |
---|---|
static BasketMarketParams |
BasketMarketParamsBuilder.CreateBasketMarketParams(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Constructs the BasketMarketParams object from the map of discount curve, the map of credit curve, and
a double map of date/rate index and fixings.
|
Modifier and Type | Method and Description |
---|---|
abstract DiscountCurve |
BasketMarketParams.getDC(java.lang.String strName)
Retrieves a named discount curve
|
abstract DiscountCurve |
RatesScenarioCurve.getDCBase()
Return the base Discount Curve
|
abstract DiscountCurve |
RatesScenarioCurve.getDCBumpDn()
Return the Bump Down Discount Curve
|
abstract DiscountCurve |
RatesScenarioCurve.getDCBumpUp()
Return the Bump Up Discount Curve
|
abstract DiscountCurve |
ComponentMarketParams.getDiscountCurve()
Retrieves the Component Discount Curve
|
abstract DiscountCurve |
ComponentMarketParams.getEDSFDiscountCurve()
Retrieves the Component EDSF Discount Curve
|
abstract DiscountCurve |
ComponentMarketParams.getForwardDiscountCurve()
Retrieves the Component Forward Discount Curve
|
abstract DiscountCurve |
ComponentMarketParams.getTSYDiscountCurve()
Retrieves the Component TSY Discount Curve
|
Modifier and Type | Method and Description |
---|---|
abstract CaseInsensitiveTreeMap<DiscountCurve> |
RatesScenarioCurve.getTenorDCBumpDn()
Return the map of the tenor Bump Down Discount Curve
|
abstract CaseInsensitiveTreeMap<DiscountCurve> |
RatesScenarioCurve.getTenorDCBumpUp()
Return the map of the tenor Bump Up Discount Curve
|
Modifier and Type | Method and Description |
---|---|
abstract boolean |
BasketMarketParams.addDC(java.lang.String strName,
DiscountCurve dc)
Adds a named discount curve
|
abstract boolean |
CreditScenarioCurve.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,
NodeTweakParams ntpDC,
NodeTweakParams ntpTSY,
NodeTweakParams ntpEDSF,
NodeTweakParams ntpCC)
Cook the credit curve according to the desired tweak parameters
|
abstract boolean |
RatesScenarioCurve.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,
NodeTweakParams ntpTSY,
NodeTweakParams ntpEDSF,
NodeTweakParams ntpDC)
Cooks a custom discount curve according to the desired tweak parameters
|
abstract boolean |
CreditScenarioCurve.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)
Cooks and saves the credit curves corresponding to the scenario specified
|
abstract boolean |
RatesScenarioCurve.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)
Generates the set of discount curves from the scenario specified, and the instrument quotes
|
abstract boolean |
ComponentMarketParams.setDiscountCurve(DiscountCurve dc)
(Re)-sets the Component Discount Curve
|
abstract boolean |
ComponentMarketParams.setEDSFDiscountCurve(DiscountCurve dcEDSF)
(Re)-sets the Component EDSF Discount Curve
|
abstract boolean |
ComponentMarketParams.setForwardDiscountCurve(DiscountCurve dcForward)
(Re)-sets the Component Forward Discount Curve
|
abstract boolean |
ComponentMarketParams.setTSYDiscountCurve(DiscountCurve dcTSY)
(Re)-sets the Component TSY Discount Curve
|
Modifier and Type | Method and Description |
---|---|
DiscountCurve |
BasketMarketParamSet.getDC(java.lang.String strName) |
DiscountCurve |
RatesCurveScenarioContainer.getDCBase() |
DiscountCurve |
RatesCurveScenarioContainer.getDCBumpDn() |
DiscountCurve |
RatesCurveScenarioContainer.getDCBumpUp() |
DiscountCurve |
ComponentMarketParamSet.getDiscountCurve() |
DiscountCurve |
ComponentMarketParamSet.getEDSFDiscountCurve() |
DiscountCurve |
ComponentMarketParamSet.getForwardDiscountCurve() |
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.addDC(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,
NodeTweakParams ntpDC,
NodeTweakParams ntpTSY,
NodeTweakParams ntpEDSF,
NodeTweakParams ntpCC) |
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,
NodeTweakParams ntpTSY,
NodeTweakParams ntpEDSF,
NodeTweakParams ntpDC) |
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.setForwardDiscountCurve(DiscountCurve dcForward) |
boolean |
ComponentMarketParamSet.setTSYDiscountCurve(DiscountCurve dcTSY) |
Constructor and Description |
---|
ComponentMarketParamSet(DiscountCurve dc,
DiscountCurve dcForward,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Creates 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<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Constructs the BasketMarketParamSet object from the map of discount 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)
Calculates 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)
Calibrates 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 |
---|---|
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
|
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)
Creates 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 CreditScenarioCurve |
EODCurves.BuildEODCreditCurve(java.sql.Statement stmt,
JulianDate dtEOD,
DiscountCurve dc,
java.lang.String strSPN,
java.lang.String strCurrency)
Builds the credit curve's CreditScenarioCurve for the given EOD and currency from the
corresponding marks
|