public class EODCurves
extends java.lang.Object
Constructor and Description |
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EODCurves() |
Modifier and Type | Method and Description |
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static boolean |
AddTSYQuotesToMPC(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency)
Add the TSY quotes to the specified MPC
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static boolean |
BuildCREOD(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strSPN,
java.lang.String strCurrency)
Build the EOD credit curve, and loads it to the MPC
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static ScenarioCreditCurve |
BuildEODCreditCurve(java.sql.Statement stmt,
JulianDate dtEOD,
DiscountCurve dc,
java.lang.String strSPN,
java.lang.String strCurrency)
Build the credit curve's CreditScenarioCurve for the given EOD and currency from the corresponding
marks
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static ScenarioDiscountCurve |
BuildEODIRCurve(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency,
java.lang.String strInstrSetType,
java.lang.String strCurveName)
Build the closing IRCurveScenarioContainer for the specific discount curve instrument set type
(treasury or rates instruments), given the EOD and the currency
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static ScenarioDiscountCurve |
BuildEODIRCurveOfCode(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency,
java.lang.String strInstrCode,
java.lang.String strInstrSetType,
java.lang.String strCurveName)
Build the closing IRCurveScenarioContainer for the specific discount curve instruments given the EOD
and the currency
|
static boolean |
BuildIREODCurve(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency)
Build the complete set of rates EOD curves for the given currency, and loads them to the MPC
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static boolean |
BuildTSYEODCurve(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency)
Build the complete set of treasury EOD curves for the given currency, and loads them to the MPC
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static CaseInsensitiveTreeMap<ComponentQuote> |
GetTSYQuotes(java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency)
Retrieve the treasury quotes for the specified EOD and currency
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static DiscountCurve |
LoadEODIR(java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency,
java.lang.String strInstrType,
java.lang.String strCurveName)
Create the named base IR curve based on the set of instruments and their types for a given EOD
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static boolean |
LoadEODIROfCodeToMPC(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency,
java.lang.String strInstrCode,
java.lang.String strInstrType,
java.lang.String strCurveName)
Build the closing IRCurveScenarioContainer for the specific discount curve instrument set (cash or
EDF or swaps), the EOD, and the currency, and loads it to the input MPC
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static boolean |
LoadEODIRToMPC(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency,
java.lang.String strInstrType,
java.lang.String strCurveName)
Build the closing IRCurveScenarioContainer for the specific discount curve instrument set type
(treasury or rates instruments), the given EOD, and the currency, and loads it to the input MPC
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public static final ScenarioCreditCurve BuildEODCreditCurve(java.sql.Statement stmt, JulianDate dtEOD, DiscountCurve dc, java.lang.String strSPN, java.lang.String strCurrency)
stmt
- SQL Statement representing executable querydtEOD
- EOD Datedc
- Discount CurvestrSPN
- Credit Curve ID stringstrCurrency
- Discount Curve currencypublic static final boolean AddTSYQuotesToMPC(MarketParams mpc, java.sql.Statement stmt, JulianDate dtEOD, java.lang.String strCurrency)
mpc
- MPCstmt
- SQL statement object to retrieve the MPC quotes fromdtEOD
- EODstrCurrency
- Currencypublic static final CaseInsensitiveTreeMap<ComponentQuote> GetTSYQuotes(java.sql.Statement stmt, JulianDate dtEOD, java.lang.String strCurrency)
stmt
- SQL StatementdtEOD
- EODstrCurrency
- Currencypublic static final ScenarioDiscountCurve BuildEODIRCurveOfCode(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, java.sql.Statement stmt, JulianDate dtEOD, java.lang.String strCurrency, java.lang.String strInstrCode, java.lang.String strInstrSetType, java.lang.String strCurveName)
mmFixings
- The fixings objectstmt
- SQL Statement containing the executable querydtEOD
- EOD datestrCurrency
- Currency stringstrInstrCode
- String representing the specific instrument code (cash/EDF/IRS)strInstrSetType
- String representing the instrument set (treasury/rates)strCurveName
- String representing the curve namepublic static final ScenarioDiscountCurve BuildEODIRCurve(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, java.sql.Statement stmt, JulianDate dtEOD, java.lang.String strCurrency, java.lang.String strInstrSetType, java.lang.String strCurveName)
mmFixings
- The fixings objectstmt
- SQL Statement containing the executable querydtEOD
- EOD datestrCurrency
- Currency stringstrInstrSetType
- String representing the instrument set (treasury/rates)strCurveName
- String representing the curve namepublic static final DiscountCurve LoadEODIR(java.sql.Statement stmt, JulianDate dtEOD, java.lang.String strCurrency, java.lang.String strInstrType, java.lang.String strCurveName)
stmt
- SQL Statement representing the executable querydtEOD
- EOD DatestrCurrency
- String representing the currencystrInstrType
- Instrument type string (G for treasury and S for rates)strCurveName
- Name of the discount curvepublic static final boolean LoadEODIRToMPC(MarketParams mpc, java.sql.Statement stmt, JulianDate dtEOD, java.lang.String strCurrency, java.lang.String strInstrType, java.lang.String strCurveName)
mpc
- org.drip.param.definition.MarketParams to be loaded intostmt
- SQL Statement containing the executable querydtEOD
- EOD datestrCurrency
- Currency stringstrInstrType
- String representing the instrument set (treasury/rates)strCurveName
- String representing the curve namepublic static final boolean LoadEODIROfCodeToMPC(MarketParams mpc, java.sql.Statement stmt, JulianDate dtEOD, java.lang.String strCurrency, java.lang.String strInstrCode, java.lang.String strInstrType, java.lang.String strCurveName)
mpc
- org.drip.param.definition.MarketParams to be loaded intostmt
- SQL Statement containing the executable querydtEOD
- EOD datestrCurrency
- Currency stringstrInstrCode
- String representing the instrument set (cash/EDF/swaps)strInstrType
- String representing the instrument set (treasury/rates)strCurveName
- String representing the curve namepublic static final boolean BuildTSYEODCurve(MarketParams mpc, java.sql.Statement stmt, JulianDate dtEOD, java.lang.String strCurrency)
mpc
- org.drip.param.definition.MarketParams to be loaded intostmt
- SQL Statement containing the executable querydtEOD
- EOD datestrCurrency
- Currency stringpublic static final boolean BuildIREODCurve(MarketParams mpc, java.sql.Statement stmt, JulianDate dtEOD, java.lang.String strCurrency)
mpc
- org.drip.param.definition.MarketParams to be loaded intostmt
- SQL Statement containing the executable querydtEOD
- EOD datestrCurrency
- Currency stringpublic static boolean BuildCREOD(MarketParams mpc, java.sql.Statement stmt, JulianDate dtEOD, java.lang.String strSPN, java.lang.String strCurrency)
mpc
- org.drip.param.definition.MarketParams to be loaded intostmt
- SQL Statement containing the executable querydtEOD
- EOD datestrSPN
- Credit Curve ID stringstrCurrency
- Currency string