Package | Description |
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org.drip.param.creator | |
org.drip.param.definition | |
org.drip.param.market | |
org.drip.service.env |
Modifier and Type | Method and Description |
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static ComponentQuote |
ComponentQuoteBuilder.CreateComponentQuote()
Constructor: Constructs an Empty Component Quote instance.
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static ComponentQuote |
ComponentQuoteBuilder.FromByteArray(byte[] ab)
Create a Component Quote Instance from the byte array
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Modifier and Type | Method and Description |
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static ComponentMarketParams |
ComponentMarketParamsBuilder.CreateComponentMarketParams(DiscountCurve dc,
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 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.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
|
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.
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.CreateComponentMarketParams(DiscountCurve dc,
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 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.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
|
Modifier and Type | Method and Description |
---|---|
abstract ComponentQuote |
ComponentMarketParams.getComponentQuote()
Retrieve the Component Quote
|
abstract ComponentQuote |
BasketMarketParams.getComponentQuote(java.lang.String strName)
Retrieve the Named Component Quote
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abstract ComponentQuote |
MarketParams.getCompQuote(java.lang.String strCompID)
Retrieve the quote for the given component
|
abstract ComponentQuote |
MarketParams.getTSYQuote(java.lang.String strBenchmark)
Get the named Treasury Quote Map corresponding to the desired benchmark
|
Modifier and Type | Method and Description |
---|---|
abstract CaseInsensitiveTreeMap<ComponentQuote> |
MarketParams.getCompQuotes()
Retrieve the full map of component quotes
|
abstract CaseInsensitiveTreeMap<ComponentQuote> |
ComponentMarketParams.getTSYBenchmarkQuotes()
Retrieve the TSY Benchmark Quotes
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abstract CaseInsensitiveTreeMap<ComponentQuote> |
MarketParams.getTSYQuotes()
Get the full set of named Treasury Quote Map
|
Modifier and Type | Method and Description |
---|---|
abstract boolean |
BasketMarketParams.addComponentQuote(java.lang.String strName,
ComponentQuote cq)
Add a named Component Quote
|
abstract boolean |
MarketParams.addCompQuote(java.lang.String strCompID,
ComponentQuote cqComp)
Add the component quote
|
abstract boolean |
MarketParams.addTSYQuote(java.lang.String strBenchmark,
ComponentQuote cqTSY)
Add the named Treasury Quote
|
abstract boolean |
ComponentMarketParams.setComponentQuote(ComponentQuote compQuote)
(Re)-set the Component Quote
|
Modifier and Type | Method and Description |
---|---|
abstract boolean |
MarketParams.addCompQuotes(CaseInsensitiveTreeMap<ComponentQuote> mCompQuotes)
Add the full map of component quotes
|
abstract boolean |
MarketParams.setTSYQuotes(CaseInsensitiveTreeMap<ComponentQuote> mapCQTSY)
Set the full set of named Treasury Quote Map
|
Modifier and Type | Class and Description |
---|---|
class |
ComponentMultiMeasureQuote
ComponentMultiMeasureQuote holds the different types of quotes for a given component.
|
Modifier and Type | Method and Description |
---|---|
ComponentQuote |
ComponentTickQuote.getComponentQuote()
Retrieve the Component Quote
|
ComponentQuote |
ComponentMarketParamSet.getComponentQuote() |
ComponentQuote |
BasketMarketParamSet.getComponentQuote(java.lang.String strName) |
ComponentQuote |
MarketParamsContainer.getCompQuote(java.lang.String strCompID) |
ComponentQuote |
MarketParamsContainer.getTSYQuote(java.lang.String strBenchmark) |
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<ComponentQuote> |
MarketParamsContainer.getCompQuotes() |
CaseInsensitiveTreeMap<ComponentQuote> |
ComponentMarketParamSet.getTSYBenchmarkQuotes() |
CaseInsensitiveTreeMap<ComponentQuote> |
MarketParamsContainer.getTSYQuotes() |
Modifier and Type | Method and Description |
---|---|
boolean |
BasketMarketParamSet.addComponentQuote(java.lang.String strName,
ComponentQuote cq) |
boolean |
MarketParamsContainer.addCompQuote(java.lang.String strCompID,
ComponentQuote cqComp) |
boolean |
MarketParamsContainer.addTSYQuote(java.lang.String strBenchmark,
ComponentQuote cqTSY) |
boolean |
ComponentMarketParamSet.setComponentQuote(ComponentQuote compQuote) |
Modifier and Type | Method and Description |
---|---|
boolean |
MarketParamsContainer.addCompQuotes(CaseInsensitiveTreeMap<ComponentQuote> mCompQuotes) |
boolean |
MarketParamsContainer.setTSYQuotes(CaseInsensitiveTreeMap<ComponentQuote> mapCQTSY) |
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.
|
ComponentTickQuote(java.lang.String strProductID,
ComponentQuote cq,
java.lang.String strCounterParty,
java.lang.String strSource,
boolean bIsMark)
ComponentTickQuote constructor
|
Constructor and Description |
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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.
|
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.
|
Modifier and Type | Method and Description |
---|---|
static CaseInsensitiveTreeMap<ComponentQuote> |
EODCurves.GetTSYQuotes(java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency)
Retrieve the treasury quotes for the specified EOD and currency
|