public class RatesCurveScenarioContainer extends ScenarioDiscountCurve
DC_BASE, DC_FLAT_DN, DC_FLAT_UP, DC_TENOR_DN, DC_TENOR_UP
Constructor and Description |
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RatesCurveScenarioContainer(RatesCurveScenarioGenerator irsg)
Constructs an IRCurveScenarioContainer instance from the corresponding IRCurveScenarioGenerator
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Modifier and Type | Method and Description |
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boolean |
cookCustomDC(java.lang.String strCurveName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
ResponseValueTweakParams mmtpTSY,
ResponseValueTweakParams mmtpEDSF,
ResponseValueTweakParams mmtpDC)
Cook a custom discount curve according to the desired tweak parameters
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boolean |
cookScenarioDC(ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblBump,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
int iDCMode)
Generate the set of discount curves from the scenario specified, and the instrument quotes
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DiscountCurve |
getDCBase()
Return the base Discount Curve
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DiscountCurve |
getDCBumpDn()
Return the Bump Down Discount Curve
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DiscountCurve |
getDCBumpUp()
Return the Bump Up Discount Curve
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CaseInsensitiveTreeMap<DiscountCurve> |
getTenorDCBumpDn()
Return the map of the tenor Bump Down Discount Curve
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CaseInsensitiveTreeMap<DiscountCurve> |
getTenorDCBumpUp()
Return the map of the tenor Bump Up Discount Curve
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public RatesCurveScenarioContainer(RatesCurveScenarioGenerator irsg) throws java.lang.Exception
irsg
- IRCurveScenarioGenerator instancejava.lang.Exception
- Thrown if the IRCurveScenarioGenerator instance is invalidpublic boolean cookScenarioDC(ValuationParams valParams, DiscountCurve dcTSY, DiscountCurve dcEDSF, double[] adblQuotes, double dblBump, java.lang.String[] astrCalibMeasure, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, QuotingParams quotingParams, int iDCMode)
ScenarioDiscountCurve
cookScenarioDC
in class ScenarioDiscountCurve
valParams
- Valuation ParametersdcTSY
- The Treasury Discount CurvedcEDSF
- The EDSF 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 ParametersiDCMode
- One of the values in the DC_ enum listed above.public boolean cookCustomDC(java.lang.String strCurveName, java.lang.String strCustomName, ValuationParams valParams, DiscountCurve dcTSY, DiscountCurve dcEDSF, double[] adblQuotes, java.lang.String[] astrCalibMeasure, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, QuotingParams quotingParams, ResponseValueTweakParams mmtpTSY, ResponseValueTweakParams mmtpEDSF, ResponseValueTweakParams mmtpDC)
ScenarioDiscountCurve
cookCustomDC
in class ScenarioDiscountCurve
strCurveName
- Scenario Discount Curve NamestrCustomName
- Custom Scenario NamevalParams
- Valuation ParametersdcTSY
- TSY Discount CurvedcEDSF
- EDSF Discount CurveadblQuotes
- Double array of input quotesastrCalibMeasure
- Array of calibration measuresmmFixings
- Date/Index fixingsquotingParams
- Calibration quoting parametersmmtpTSY
- Node Tweak Parameters for the TSY Discount CurvemmtpEDSF
- Node Tweak Parameters for the EDSF Discount CurvemmtpDC
- Node Tweak Parameters for the Base Discount Curvepublic DiscountCurve getDCBase()
ScenarioDiscountCurve
getDCBase
in class ScenarioDiscountCurve
public DiscountCurve getDCBumpUp()
ScenarioDiscountCurve
getDCBumpUp
in class ScenarioDiscountCurve
public DiscountCurve getDCBumpDn()
ScenarioDiscountCurve
getDCBumpDn
in class ScenarioDiscountCurve
public CaseInsensitiveTreeMap<DiscountCurve> getTenorDCBumpUp()
ScenarioDiscountCurve
getTenorDCBumpUp
in class ScenarioDiscountCurve
public CaseInsensitiveTreeMap<DiscountCurve> getTenorDCBumpDn()
ScenarioDiscountCurve
getTenorDCBumpDn
in class ScenarioDiscountCurve