Package | Description |
---|---|
org.drip.param.creator | |
org.drip.param.definition | |
org.drip.param.market | |
org.drip.state.curve |
Modifier and Type | Method and Description |
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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
|
static ForwardCurve |
RatesScenarioCurveBuilder.ShapePreservingForwardCurve(java.lang.String strName,
FloatingRateIndex fri,
ValuationParams valParams,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam,
java.lang.String strBasisType,
FunctionSetBuilderParams fsbp,
CalibratableComponent[] aCalibComp,
double[] adblQuote,
double dblEpochResponse)
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
|
Modifier and Type | Method and Description |
---|---|
static ComponentMarketParams |
ComponentMarketParamsBuilder.CreateComponentMarketParams(DiscountCurve dc,
ForwardCurve fc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Create a CMP with the rates discount curve, the forward discount curve, the treasury discount curve,
the EDSF discount curve, the credit curve, the component quote, the map of treasury benchmark quotes,
and the double map of date/rate index and fixings
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.MakeFloaterDiscountCMP(DiscountCurve dc,
ForwardCurve fc)
Create a CMP with the discount curve and the forward Curve
|
Modifier and Type | Method and Description |
---|---|
static BasketMarketParams |
BasketMarketParamsBuilder.CreateBasketMarketParams(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<ForwardCurve> mapFC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Construct a BasketMarketParams instance from the map of discount curve, the map of Forward curve, the
map of credit curve, and a double map of date/rate index and fixings.
|
Modifier and Type | Method and Description |
---|---|
abstract ForwardCurve |
ScenarioForwardCurve.getFCBase()
Return the Base Forward Curve
|
abstract ForwardCurve |
ScenarioForwardCurve.getFCBumpDn()
Return the Bump Down Forward Curve
|
abstract ForwardCurve |
ScenarioForwardCurve.getFCBumpUp()
Return the Bump Up Forward Curve
|
abstract ForwardCurve |
ComponentMarketParams.getForwardCurve()
Retrieve the Component Forward Curve
|
abstract ForwardCurve |
BasketMarketParams.getForwardCurve(java.lang.String strName)
Retrieve the Named Forward Curve
|
Modifier and Type | Method and Description |
---|---|
abstract CaseInsensitiveTreeMap<ForwardCurve> |
ScenarioForwardCurve.getTenorFCBumpDn()
Return the map of the tenor Bump Down Forward Curve
|
abstract CaseInsensitiveTreeMap<ForwardCurve> |
ScenarioForwardCurve.getTenorFCBumpUp()
Return the map of the tenor Bump Up Forward Curve
|
Modifier and Type | Method and Description |
---|---|
abstract boolean |
BasketMarketParams.addForwardCurve(java.lang.String strName,
ForwardCurve fc)
Add a named Forward curve
|
abstract boolean |
ComponentMarketParams.setForwardCurve(ForwardCurve fc)
(Re)-set the Component Forward Curve
|
Modifier and Type | Method and Description |
---|---|
ForwardCurve |
ComponentMarketParamSet.getForwardCurve() |
ForwardCurve |
BasketMarketParamSet.getForwardCurve(java.lang.String strName) |
Modifier and Type | Method and Description |
---|---|
boolean |
BasketMarketParamSet.addForwardCurve(java.lang.String strName,
ForwardCurve fc) |
boolean |
ComponentMarketParamSet.setForwardCurve(ForwardCurve fc) |
Constructor and Description |
---|
ComponentMarketParamSet(DiscountCurve dc,
ForwardCurve fc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Create a CMP with the rates discount curve, the forward discount curve, the treasury discount curve,
the EDSF discount curve, the credit curve, the component quote, the map of treasury benchmark quotes,
and the double map of date/rate index and fixings.
|
Constructor and Description |
---|
BasketMarketParamSet(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<ForwardCurve> mapFC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Construct the BasketMarketParamSet object from the map of discount curve, the map of forward curve,
the map of credit curve, a double map of date/rate index and fixings, and a map of the component
quotes.
|
Modifier and Type | Class and Description |
---|---|
class |
BasisSplineForwardRate
BasisSplineForwardRate manages the Forward Latent State, using the Forward Rate as the State Response
Representation.
|