Package | Description |
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org.drip.analytics.period | |
org.drip.product.credit | |
org.drip.product.params | |
org.drip.product.rates |
Modifier and Type | Method and Description |
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static java.util.List<Period> |
CouponPeriod.GeneratePeriodsBackward(double dblEffective,
double dblMaturity,
DateAdjustParams dapEffective,
DateAdjustParams dapMaturity,
DateAdjustParams dapPeriodStart,
DateAdjustParams dapPeriodEnd,
DateAdjustParams dapAccrualStart,
DateAdjustParams dapAccrualEnd,
DateAdjustParams dapPay,
DateAdjustParams dapReset,
int iFreq,
java.lang.String strCouponDC,
boolean bApplyCpnEOMAdj,
java.lang.String strAccrualDC,
boolean bApplyAccEOMAdj,
boolean bFullStub,
java.lang.String strCalendar)
Generates the period list backward starting from the end.
|
static java.util.List<Period> |
CouponPeriod.GeneratePeriodsForward(double dblEffective,
double dblMaturity,
DateAdjustParams dapEffective,
DateAdjustParams dapMaturity,
DateAdjustParams dapPeriodStart,
DateAdjustParams dapPeriodEnd,
DateAdjustParams dapAccrualStart,
DateAdjustParams dapAccrualEnd,
DateAdjustParams dapPay,
DateAdjustParams dapReset,
int iFreq,
java.lang.String strCouponDC,
boolean bApplyCpnEOMAdj,
java.lang.String strAccrualDC,
boolean bApplyAccEOMAdj,
java.lang.String strCalendar)
Generates the period list forward starting from the start.
|
Constructor and Description |
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CDSComponent(double dblEffective,
double dblMaturity,
double dblCoupon,
int iFreq,
java.lang.String strCouponDC,
java.lang.String strAccrualDC,
java.lang.String strFloatingRateIndex,
boolean bConvCDS,
DateAdjustParams dapEffective,
DateAdjustParams dapMaturity,
DateAdjustParams dapPeriodStart,
DateAdjustParams dapPeriodEnd,
DateAdjustParams dapAccrualStart,
DateAdjustParams dapAccrualEnd,
DateAdjustParams dapPay,
DateAdjustParams dapReset,
FactorSchedule notlSchedule,
double dblNotional,
java.lang.String strIR,
CreditSetting crValParams,
java.lang.String strCalendar)
Most generic CDS creation functionality
|
Constructor and Description |
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PeriodGenerator(double dblMaturity,
double dblEffective,
double dblFinalMaturity,
double dblFirstCouponDate,
double dblInterestAccrualStart,
int iFreq,
java.lang.String strCouponDC,
java.lang.String strAccrualDC,
DateAdjustParams dapPay,
DateAdjustParams dapReset,
DateAdjustParams dapMaturity,
DateAdjustParams dapEffective,
DateAdjustParams dapPeriodEnd,
DateAdjustParams dapAccrualEnd,
DateAdjustParams dapPeriodStart,
DateAdjustParams dapAccrualStart,
java.lang.String strMaturityType,
boolean bPeriodsFromForward,
java.lang.String strCalendar)
Generates the coupon periods from the date rules and the date adjustment rules for the different
period dates
|
Constructor and Description |
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IRSComponent(double dblEffective,
double dblMaturity,
double dblCoupon,
int iFreq,
java.lang.String strCouponDC,
java.lang.String strAccrualDC,
java.lang.String strFloatingRateIndex,
boolean bFullStub,
DateAdjustParams dapEffective,
DateAdjustParams dapMaturity,
DateAdjustParams dapPeriodStart,
DateAdjustParams dapPeriodEnd,
DateAdjustParams dapAccrualStart,
DateAdjustParams dapAccrualEnd,
DateAdjustParams dapPay,
DateAdjustParams dapReset,
FactorSchedule notlSchedule,
double dblNotional,
java.lang.String strIR,
java.lang.String strCalendar) |