Class | Description |
---|---|
CreditCurveScenarioGenerator |
CreditCurveScenarioGenerator uses the hazard rate calibration instruments along with the component
calibrator to produce scenario hazard rate curves.
|
CurveStretch |
CurveStretch expands the regular Multi-Segment Stretch to aid the calibration of Boot-strapped
Instruments.
|
GlobalControlCurveParams |
GlobalControlCurveParams enhances the SmoothingCurveStretchParams to produce globally customized curve
smoothing.
|
LinearCurveCalibrator |
LinearCurveCalibrator creates the discount curve span from the instrument cash flows.
|
LocalControlCurveParams |
LocalControlCurveParams enhances the SmoothingCurveStretchParams to produce locally customized curve
smoothing.
|
NonlinearCurveCalibrator |
NonlinearCurveCalibrator calibrates the discount and credit/hazard curves from the components and their
quotes.
|
PredictorResponseWeightConstraint |
PredictorResponseWeightConstraint holds the Linearized Constraints (and, optionally, their quote
sensitivities) necessary needed for the Linear Calibration.
|
RatesCurveScenarioGenerator |
RatesCurveScenarioGenerator uses the interest rate calibration instruments along with the component
calibrator to produce scenario interest rate curves.
|
RatesSegmentSequenceBuilder |
RatesSegmentSequenceBuilder holds the logic behind building the bootstrap segments contained in the given
Stretch.
|
SmoothingCurveStretchParams |
SmoothingCurveStretchParams contains the Parameters needed to hold the Stretch.
|
StretchRepresentationSpec |
StretchRepresentationSpec carries the calibration instruments and the corresponding calibration parameter
set in LSMM instances.
|