Package | Description |
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org.drip.analytics.definition | |
org.drip.analytics.rates | |
org.drip.param.creator |
Modifier and Type | Method and Description |
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LinearCurveCalibrator |
ShapePreservingCCIS.lcc() |
abstract LinearCurveCalibrator |
CurveSpanConstructionInput.lcc()
Retrieve the Linear Curve Calibrator
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Constructor and Description |
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ShapePreservingCCIS(LinearCurveCalibrator lccShapePreserving,
StretchRepresentationSpec[] aSRS,
ValuationParams valParam,
PricerParams pricerParam,
QuotingParams quotingParam,
ComponentMarketParams cmp)
ShapePreservingCCIS constructor
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Constructor and Description |
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SmoothingCCIS(DiscountCurve dcShapePreserver,
SmoothingCurveStretchParams scsp,
LinearCurveCalibrator lccShapePreserving,
StretchRepresentationSpec[] aRBS,
ValuationParams valParam,
PricerParams pricerParam,
QuotingParams quotingParam,
ComponentMarketParams cmp)
SmoothingCCIS constructor
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Modifier and Type | Method and Description |
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static DiscountCurve |
RatesScenarioCurveBuilder.ShapePreservingDFBuild(LinearCurveCalibrator lcc,
StretchRepresentationSpec[] aSRS,
ValuationParams valParam,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam,
double dblEpochResponse)
Build the Shape Preserving Discount Curve using the Custom Parameters
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static ForwardCurve |
RatesScenarioCurveBuilder.ShapePreservingForwardCurve(LinearCurveCalibrator lcc,
StretchRepresentationSpec[] aSRS,
FloatingRateIndex fri,
ValuationParams valParam,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam,
double dblEpochResponse)
Build the Shape Preserving Forward Curve using the Custom Parameters
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static DiscountCurve |
RatesScenarioCurveBuilder.SmoothingGlobalControlBuild(DiscountCurve dcShapePreserver,
LinearCurveCalibrator lcc,
GlobalControlCurveParams gccp,
StretchRepresentationSpec[] aSRS,
ValuationParams valParam,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam)
Build a Globally Smoothed Instance of the Discount Curve using the Custom Parameters
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static DiscountCurve |
RatesScenarioCurveBuilder.SmoothingLocalControlBuild(DiscountCurve dcShapePreserver,
LinearCurveCalibrator lcc,
LocalControlCurveParams lccp,
StretchRepresentationSpec[] aSRS,
ValuationParams valParam,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam)
Build a Locally Smoothed Instance of the Discount Curve using the Custom Parameters
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static DiscountCurve |
RatesScenarioCurveBuilder.ZeroSmooth(DiscountCurve dcShapePreserving,
LinearCurveCalibrator lcc,
StretchRepresentationSpec[] aSRS,
ValuationParams valParams)
Smooth the Shape Preserving Discount Curve using the Smoothed Zero Curve
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