Class | Description |
---|---|
BasketMarketParams |
BasketMarketParams class extends the BaketMarketParamsRef for a specific scenario.
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CalibrationParams |
CalibrationParams the calibration parameters - the measure to be calibrated, the type/nature of the
calibration to be performed, and the work-out date to which the calibration is done.
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ComponentMarketParams |
ComponentMarketParams abstract class provides stub for the ComponentMarketParamsRef interface.
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ComponentQuote |
ComponentQuote abstract class holds the different types of quotes for a given component.
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CreditManifestMeasureTweak |
CreditManifestMeasureTweak contains the place holder for the credit curve scenario tweak parameters: in
addition to the ResponseValueTweakParams fields, this exposes the calibration manifest measure, the curve
node, and the nodal calibration type (entire curve/flat or a given tenor point).
|
MarketParams |
MarketParams is the place holder for the comprehensive suite of the market set of curves for the given
date.
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Quote |
Quote interface contains the stubs corresponding to a product quote.
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ResponseValueTweakParams |
ResponseValueTweakParams contains the place holder for the scenario tweak parameters, for either a specific curve
node, or the entire curve (flat).
|
ScenarioCreditCurve |
ScenarioCreditCurve abstract class exposes the bump parameters and the curves for the following credit
curve scenarios:
- Base, Flat Spread/Recovery bumps
- Spread/Recovery Tenor bumped up/down credit curve sets keyed using the tenor.
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ScenarioDiscountCurve |
ScenarioDiscountCurve abstract class exposes the interface the constructs scenario discount curves.
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ScenarioForwardCurve |
ScenarioForwardCurve abstract class exposes the interface the constructs scenario Forward curves.
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