Package | Description |
---|---|
org.drip.product.creator | |
org.drip.product.credit | |
org.drip.product.definition |
Modifier and Type | Method and Description |
---|---|
CreditSetting |
BondProductBuilder.getCRValuationParams()
Get the Bond's Credit Component Parameters
|
Modifier and Type | Method and Description |
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static BondComponent |
BondBuilder.CreateBondFromParams(TreasuryBenchmark tsyParams,
IdentifierSet idParams,
CouponSetting cpnParams,
CurrencySet ccyParams,
FloaterSetting fltParams,
QuoteConvention mktConv,
RatesSetting irValParams,
CreditSetting crValParams,
TerminationSetting cfteParams,
PeriodSet periodParams,
NotionalSetting notlParams)
Creates the full generic bond object from the complete set of parameters
|
static CreditDefaultSwap |
CDSBuilder.CreateCDS(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
java.lang.String strIR,
CreditSetting crValParams,
java.lang.String strCalendar,
boolean bAdjustDates)
Creates the credit default swap from the effective/maturity dates, coupon, IR curve name, and
component credit valuation parameters.
|
static CreditDefaultSwap |
CDSBuilder.CreateCDS(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strIR,
CreditSetting crValParams,
java.lang.String strCalendar)
Creates the credit default swap from the effective date, tenor, coupon, IR curve name, and
component credit valuation parameters.
|
Modifier and Type | Method and Description |
---|---|
CreditSetting |
BondComponent.getCreditSetting() |
CreditSetting |
CDSComponent.getCRValParams() |
CreditSetting |
BondComponent.getCRValParams() |
Modifier and Type | Method and Description |
---|---|
boolean |
BondComponent.setCreditSetting(CreditSetting crValParams) |
Constructor and Description |
---|
CDSComponent(double dblEffective,
double dblMaturity,
double dblCoupon,
int iFreq,
java.lang.String strCouponDC,
java.lang.String strAccrualDC,
java.lang.String strFloatingRateIndex,
boolean bConvCDS,
DateAdjustParams dapEffective,
DateAdjustParams dapMaturity,
DateAdjustParams dapPeriodStart,
DateAdjustParams dapPeriodEnd,
DateAdjustParams dapAccrualStart,
DateAdjustParams dapAccrualEnd,
DateAdjustParams dapPay,
DateAdjustParams dapReset,
FactorSchedule notlSchedule,
double dblNotional,
java.lang.String strIR,
CreditSetting crValParams,
java.lang.String strCalendar)
Most generic CDS creation functionality
|
Modifier and Type | Method and Description |
---|---|
CreditSetting |
BondProduct.getCreditSetting()
Retrieves the bond credit Setting
|
abstract CreditSetting |
CreditComponent.getCRValParams()
Get the credit component's Credit Valuation Parameters
|
Modifier and Type | Method and Description |
---|---|
boolean |
BondProduct.setCreditSetting(CreditSetting creditSetting)
Sets the bond Credit Setting
|