Package | Description |
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org.drip.analytics.definition | |
org.drip.analytics.rates | |
org.drip.param.creator | |
org.drip.state.estimator |
Modifier and Type | Method and Description |
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StretchRepresentationSpec[] |
CurveSpanConstructionInput.getSRS()
Retrieve the Array of SRS
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Constructor and Description |
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CurveSpanConstructionInput(StretchRepresentationSpec[] aSRS,
ValuationParams valParam,
PricerParams pricerParam,
QuotingParams quotingParam,
ComponentMarketParams cmp)
CurveSpanConstructionInput constructor
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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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Modifier and Type | Method and Description |
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static StretchRepresentationSpec |
StretchRepresentationSpec.CreateStretchBuilderSet(java.lang.String strName,
java.lang.String strLatentStateID,
java.lang.String strLatentStateQuantificationMetric,
CalibratableComponent[] aCalibComp,
java.lang.String strManifestMeasure,
double[] adblQuote,
TurnListDiscountFactor tldf)
Make a StretchRepresentationSpec instance from the given components, quotes, and the measure.
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Modifier and Type | Method and Description |
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OverlappingStretchSpan |
LinearCurveCalibrator.calibrateSpan(StretchRepresentationSpec[] aSRS,
double dblEpochResponse,
ValuationParams valParams,
PricerParams pricerParams,
QuotingParams quotingParams,
ComponentMarketParams cmp)
Calibrate the Span from the Instruments in the Stretches, and their Cash Flows.
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Constructor and Description |
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RatesSegmentSequenceBuilder(double dblEpochResponse,
StretchRepresentationSpec srs,
ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams cmp,
QuotingParams quotingParams,
MultiSegmentSequence mssPrev,
StretchBestFitResponse sbfr,
StretchBestFitResponse sbfrQuoteSensitivity,
BoundarySettings bs)
RatesSegmentSequenceBuilder constructor
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