public abstract class ScenarioForwardCurve
extends java.lang.Object
Modifier and Type | Field and Description |
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static int |
FC_BASE
Forward Curve - Base
|
static int |
FC_FLAT_DN
Forward Curve - Parallel Bump Down
|
static int |
FC_FLAT_UP
Forward Curve - Parallel Bump Up
|
static int |
FC_TENOR_DN
Forward Curve Tenor Bump Down
|
static int |
FC_TENOR_UP
Forward Curve - Tenor Bump Up
|
Constructor and Description |
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ScenarioForwardCurve() |
Modifier and Type | Method and Description |
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abstract boolean |
cookCustomDC(java.lang.String strCurveName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dc,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
ResponseValueTweakParams ntpDC,
ResponseValueTweakParams ntpFC)
Cook a custom Forward curve according to the desired tweak parameters
|
abstract boolean |
cookScenarioDC(ValuationParams valParams,
DiscountCurve dc,
double[] adblQuotes,
double dblBump,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
int iFCMode)
Generate the set of Forward curves from the scenario specified, and the instrument quotes.
|
abstract ForwardCurve |
getFCBase()
Return the Base Forward Curve
|
abstract ForwardCurve |
getFCBumpDn()
Return the Bump Down Forward Curve
|
abstract ForwardCurve |
getFCBumpUp()
Return the Bump Up Forward Curve
|
abstract CaseInsensitiveTreeMap<ForwardCurve> |
getTenorFCBumpDn()
Return the map of the tenor Bump Down Forward Curve
|
abstract CaseInsensitiveTreeMap<ForwardCurve> |
getTenorFCBumpUp()
Return the map of the tenor Bump Up Forward Curve
|
public static final int FC_BASE
public static final int FC_FLAT_UP
public static final int FC_FLAT_DN
public static final int FC_TENOR_UP
public static final int FC_TENOR_DN
public abstract boolean cookScenarioDC(ValuationParams valParams, DiscountCurve dc, double[] adblQuotes, double dblBump, java.lang.String[] astrCalibMeasure, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, QuotingParams quotingParams, int iFCMode)
valParams
- Valuation Parametersdc
- Discount CurveadblQuotes
- Matched array of the calibration instrument quotesdblBump
- Amount of bump to be appliedastrCalibMeasure
- Matched array of the calibration instrument measuresmmFixings
- Double map of date/rate index and fixingsquotingParams
- Quoting ParametersiFCMode
- One of the values in the FC_ enum listed above.public abstract boolean cookCustomDC(java.lang.String strCurveName, java.lang.String strCustomName, ValuationParams valParams, DiscountCurve dc, double[] adblQuotes, java.lang.String[] astrCalibMeasure, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, QuotingParams quotingParams, ResponseValueTweakParams ntpDC, ResponseValueTweakParams ntpFC)
strCurveName
- Scenario Forward Curve NamestrCustomName
- Custom Scenario NamevalParams
- Valuation Parametersdc
- Discount CurveadblQuotes
- Double array of input quotesastrCalibMeasure
- Array of calibration measuresmmFixings
- Date/Index fixingsquotingParams
- Calibration quoting parametersntpDC
- Node Tweak Parameters for the Base Discount CurventpFC
- Node Tweak Parameters for the Base Forward Curvepublic abstract ForwardCurve getFCBase()
public abstract ForwardCurve getFCBumpUp()
public abstract ForwardCurve getFCBumpDn()
public abstract CaseInsensitiveTreeMap<ForwardCurve> getTenorFCBumpUp()
public abstract CaseInsensitiveTreeMap<ForwardCurve> getTenorFCBumpDn()