Modifier and Type | Method and Description |
---|---|
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,java.util.Map<java.lang.String,java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Calibrates a create 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,java.util.Map<java.lang.String,java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Creates an array of tenor bumped credit curves
|
Modifier and Type | Method and Description |
---|---|
java.util.Map<java.lang.String,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,java.util.Map<java.lang.String,java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Creates an tenor named map of tenor bumped credit curves
|
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) |
Modifier and Type | Method and Description |
---|---|
static CreditCurve |
CreditCurveBuilder.CreateCreditCurve(double dblStart,
java.lang.String strName,
double[] adblHazardRate,
double[] adblHazardDate,
double[] adblRecoveryRate,
double[] adblRecoveryDate,
double dblSpecificDefaultDate)
Creates a credit curve from hazard rate and recovery rate term structures
|
static CreditCurve |
CreditCurveBuilder.CreateCreditCurve(JulianDate dtStart,
java.lang.String strName,
double[] adblDate,
double[] adblHazardRate,
double dblRecovery)
Creates a credit curve from an array of dates and hazard rates
|
static CreditCurve |
CreditCurveBuilder.FromByteArray(byte[] ab)
Creates the credit curve from the given byte array
|
static CreditCurve |
CreditCurveBuilder.FromFlatHazard(double dblStartDate,
java.lang.String strName,
double dblHazardRate,
double dblRecovery)
Creates a CreditCurve instance from a single node hazard rate
|
static CreditCurve |
CreditCurveBuilder.FromHazardNode(double dblStartDate,
java.lang.String strName,
double dblHazardRate,
double dblHazardDate,
double dblRecovery)
Creates an instance of the CreditCurve object from a solitary hazard rate node
|
static CreditCurve |
CreditCurveBuilder.FromSurvival(double dblStartDate,
java.lang.String strName,
double[] adblSurvivalDate,
double[] adblSurvivalProbability,
double dblRecovery)
Creates a CreditCurve instance from the input array of survival probabilities
|
Modifier and Type | Class and Description |
---|---|
class |
CalibratedCreditCurve
This class contains the baseline hazard curve holder object.
|
Modifier and Type | Method and Description |
---|---|
CreditCurve |
CalibratedCreditCurve.createFlatCurve(double dblFlatNodeValue,
boolean bSingleNode,
double dblRecovery) |
CreditCurve |
CalibratedCreditCurve.createTweakedCurve(NodeTweakParams ntp) |
Modifier and Type | Method and Description |
---|---|
abstract CreditCurve |
CreditCurve.createFlatCurve(double dblFlatNodeValue,
boolean bSingleNode,
double dblRecovery)
Creates a flat hazard curve from the inputs
|
abstract CreditCurve |
CreditCurve.createParallelHazardShiftedCurve(double dblShift)
Creates a parallel shifted hazard curve
|
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 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
|
Modifier and Type | Method and Description |
---|---|
static ComponentMarketParams |
ComponentMarketParamsBuilder.CreateComponentMarketParams(DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
java.util.Map<java.lang.String,ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,java.util.Map<java.lang.String,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.MakeCreditCMP(DiscountCurve dc,
CreditCurve cc)
Creates a CMP with the discount curve and the credit curve
|
Modifier and Type | Method and Description |
---|---|
static BasketMarketParams |
BasketMarketParamsBuilder.CreateBasketMarketParams(java.util.Map<java.lang.String,DiscountCurve> mapDC,
java.util.Map<java.lang.String,CreditCurve> mapCC,
java.util.Map<java.lang.String,ComponentQuote> mapCQComp,
java.util.Map<JulianDate,java.util.Map<java.lang.String,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 CreditCurve |
BasketMarketParams.getCC(java.lang.String strName)
Retrieves a named credit curve
|
abstract CreditCurve |
CreditScenarioCurve.getCCBase()
Return the base credit curve
|
abstract CreditCurve |
CreditScenarioCurve.getCCBumpDn()
Return the bump down credit curve
|
abstract CreditCurve |
CreditScenarioCurve.getCCBumpUp()
Return the bump up credit curve
|
abstract CreditCurve |
CreditScenarioCurve.getCCRecoveryDn()
Return the recovery bump down credit curve
|
abstract CreditCurve |
CreditScenarioCurve.getCCRecoveryUp()
Return the recovery bump up credit curve
|
abstract CreditCurve |
ComponentMarketParams.getCreditCurve()
Retrieves the Component Credit Curve
|
Modifier and Type | Method and Description |
---|---|
abstract java.util.Map<java.lang.String,CreditCurve> |
CreditScenarioCurve.getTenorCCBumpDn()
Return the tenor bump down credit curve map
|
abstract java.util.Map<java.lang.String,CreditCurve> |
CreditScenarioCurve.getTenorCCBumpUp()
Return the tenor bump up credit curve map
|
Modifier and Type | Method and Description |
---|---|
abstract boolean |
BasketMarketParams.addCC(java.lang.String strName,
CreditCurve cc)
Adds a named credit curve
|
abstract boolean |
ComponentMarketParams.setCreditCurve(CreditCurve cc)
(Re)-sets the Component Credit Curve
|
Modifier and Type | Method and Description |
---|---|
CreditCurve |
BasketMarketParamSet.getCC(java.lang.String strName) |
CreditCurve |
CreditCurveScenarioContainer.getCCBase() |
CreditCurve |
CreditCurveScenarioContainer.getCCBumpDn() |
CreditCurve |
CreditCurveScenarioContainer.getCCBumpUp() |
CreditCurve |
CreditCurveScenarioContainer.getCCRecoveryDn() |
CreditCurve |
CreditCurveScenarioContainer.getCCRecoveryUp() |
CreditCurve |
ComponentMarketParamSet.getCreditCurve() |
Modifier and Type | Method and Description |
---|---|
java.util.Map<java.lang.String,CreditCurve> |
CreditCurveScenarioContainer.getTenorCCBumpDn() |
java.util.Map<java.lang.String,CreditCurve> |
CreditCurveScenarioContainer.getTenorCCBumpUp() |
Modifier and Type | Method and Description |
---|---|
boolean |
BasketMarketParamSet.addCC(java.lang.String strName,
CreditCurve cc) |
boolean |
ComponentMarketParamSet.setCreditCurve(CreditCurve cc) |
Constructor and Description |
---|
ComponentMarketParamSet(DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
java.util.Map<java.lang.String,ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,java.util.Map<java.lang.String,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
|
Constructor and Description |
---|
BasketMarketParamSet(java.util.Map<java.lang.String,DiscountCurve> mapDC,
java.util.Map<java.lang.String,CreditCurve> mapCC,
java.util.Map<java.lang.String,ComponentQuote> mapCQComp,
java.util.Map<JulianDate,java.util.Map<java.lang.String,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 | Field and Description |
---|---|
CreditCurve |
CDSComponent.SpreadCalibOP._ccCalib |
Modifier and Type | Method and Description |
---|---|
double |
CDSComponent.getRecovery(double dblDate,
CreditCurve cc) |
double |
BondComponent.getRecovery(double dblDate,
CreditCurve cc) |
double |
CDSComponent.getRecovery(double dblDateStart,
double dblDateEnd,
CreditCurve cc) |
double |
BondComponent.getRecovery(double dblDateStart,
double dblDateEnd,
CreditCurve cc) |
Constructor and Description |
---|
CDSComponent.SpreadCalibOP(double dblCalibResult,
CreditCurve ccCalib) |
Modifier and Type | Method and Description |
---|---|
abstract double |
CreditComponent.getRecovery(double dblDate,
CreditCurve cc)
Get the recovery of the credit component for the given date
|
abstract double |
CreditComponent.getRecovery(double dblDate1,
double dblDate2,
CreditCurve cc)
Get the time-weighted recovery of the credit component between the given dates
|
Modifier and Type | Method and Description |
---|---|
static CreditCurve |
CreditAnalytics.LoadEODBondCreditCurve(java.lang.String strName,
JulianDate dtEOD)
Loads the closing bond credit curve
|
static CreditCurve |
CreditAnalytics.LoadEODCDSCreditCurve(java.lang.String strName,
java.lang.String strCurrency,
JulianDate dtEOD)
Loads the closing CDS curve
|
static CreditCurve |
CreditAnalytics.LoadEODFullCreditCurve(java.lang.String strName,
JulianDate dtEOD)
Loads the closing credit curve
|
static CreditCurve |
CreditAnalytics.LoadLiveBondCreditCurve(java.lang.String strName)
Loads the live bond credit curve
|
static CreditCurve |
CreditAnalytics.LoadLiveCDSCreditCurve(java.lang.String strName)
Loads the live CDS credit curve
|
static CreditCurve |
CreditAnalytics.LoadLiveFullCreditCurve(java.lang.String strName)
Loads the live credit curve
|
Modifier and Type | Method and Description |
---|---|
static java.util.Map<JulianDate,CreditCurve> |
CreditAnalytics.LoadEODBondCreditCurve(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of bond credit curves between two dates
|
static java.util.Map<JulianDate,CreditCurve> |
CreditAnalytics.LoadEODCDSCreditCurves(java.lang.String strName,
java.lang.String strCurrency,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of CDS credit curves between two dates
|
static java.util.Map<JulianDate,CreditCurve> |
CreditAnalytics.LoadEODFullCreditCurve(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of credit 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.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
|