public abstract class Bond extends CreditComponent
NULL_SER_STRING, VERSION
Constructor and Description |
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Bond() |
Modifier and Type | Method and Description |
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abstract double |
calcAccrued(double dblDate,
ComponentMarketParams mktParams)
Calculate the bond's accrued for the period identified by the valuation date
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abstract double |
calcBondBasisFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the Bond Basis from credit basis to Maturity
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abstract double |
calcBondBasisFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the Bond Basis from credit basis to Work-out
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abstract double |
calcBondBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the Bond Basis from Discount Margin to Maturity
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abstract double |
calcBondBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the Bond Basis from Discount Margin to Work-out
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abstract double |
calcBondBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Bond Basis from G Spread to Maturity
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abstract double |
calcBondBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the Bond Basis from G Spread to Work-out
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abstract double |
calcBondBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Bond Basis from I Spread to Maturity
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abstract double |
calcBondBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the Bond Basis from I Spread to Work-out
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abstract double |
calcBondBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the Bond Basis from Option Adjusted Spread to Maturity
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abstract double |
calcBondBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the Bond Basis from Option Adjusted Spread to Work-out
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abstract double |
calcBondBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Bond Basis from Par ASW to Maturity
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abstract double |
calcBondBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the Bond Basis from Par ASW to Work-out
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abstract double |
calcBondBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Basis from PECS to Maturity
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abstract double |
calcBondBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Basis from PECS to Work-out
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abstract double |
calcBondBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Bond Basis to maturity from price
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abstract double |
calcBondBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the Bond Basis to Work-out from price
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abstract double |
calcBondBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Bond Basis from spread treasury benchmark to Maturity
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abstract double |
calcBondBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the Bond Basis from spread treasury benchmark to Work-out
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abstract double |
calcBondBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Basis from yield to maturity
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abstract double |
calcBondBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the Bond Basis from Yield to work-out
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abstract double |
calcBondBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond Basis from Yield Spread to Maturity
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abstract double |
calcBondBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the Bond Basis from Yield Spread to Work-out
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abstract double |
calcBondBasisFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Basis from yield to maturity
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abstract double |
calcBondBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Bond Basis from Z Spread to Maturity
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abstract double |
calcBondBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the Bond Basis from Z Spread to Work-out
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abstract double |
calcConvexityFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the Bond Convexity from Bond Basis to maturity
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abstract double |
calcConvexityFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the Bond Convexity from Bond Basis to Work-out
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abstract double |
calcConvexityFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond convexity from credit basis to Maturity
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abstract double |
calcConvexityFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond convexity from credit basis to Work-out
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abstract double |
calcConvexityFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond convexity from Discount Margin to Maturity
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abstract double |
calcConvexityFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond convexity from Discount Margin to Work-out
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abstract double |
calcConvexityFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond convexity from G Spread to Maturity
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abstract double |
calcConvexityFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond convexity from G Spread to Work-out
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abstract double |
calcConvexityFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond convexity from I Spread to Maturity
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abstract double |
calcConvexityFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond convexity from I Spread to Work-out
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abstract double |
calcConvexityFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond convexity from Option Adjusted Spread to maturity
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abstract double |
calcConvexityFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond convexity from Option Adjusted Spread to Work-out
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abstract double |
calcConvexityFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond convexity from Par ASW to Maturity
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abstract double |
calcConvexityFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond convexity from Par ASW to Work-out
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abstract double |
calcConvexityFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Convexity from credit basis to Maturity
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abstract double |
calcConvexityFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Convexity from PECS to Work-out
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abstract double |
calcConvexityFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond convexity to maturity from price
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abstract double |
calcConvexityFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond convexity to Work-out from price
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abstract double |
calcConvexityFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond convexity from spread treasury benchmark to Maturity
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abstract double |
calcConvexityFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond convexity from spread treasury benchmark to Work-out
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abstract double |
calcConvexityFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond convexity from Yield to maturity
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abstract double |
calcConvexityFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond convexity from Work-out Yield
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abstract double |
calcConvexityFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond Convexity from Yield Spread to maturity
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abstract double |
calcConvexityFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the Bond Convexity from Yield Spread to Work-out
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abstract double |
calcConvexityFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond convexity from Yield to maturity
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abstract double |
calcConvexityFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond convexity from Z Spread to maturity
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abstract double |
calcConvexityFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond convexity from Z Spread to Work-out
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abstract double |
calcCreditBasisFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond credit basis from Bond Basis to maturity
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abstract double |
calcCreditBasisFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond credit basis from Bond Basis to Work-out
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abstract double |
calcCreditBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Credit Basis from Discount Margin to Maturity
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abstract double |
calcCreditBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond Credit Basis from Discount Margin to Work-out
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abstract double |
calcCreditBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Credit Basis from G Spread to Maturity
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abstract double |
calcCreditBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Credit Basis from G Spread to Work-out
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abstract double |
calcCreditBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Credit Basis from I Spread to Maturity
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abstract double |
calcCreditBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Credit Basis from I Spread to Work-out
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abstract double |
calcCreditBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond credit basis from Option Adjusted Spread to maturity
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abstract double |
calcCreditBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond credit basis from Option Adjusted Spread to Work-out
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abstract double |
calcCreditBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Credit Basis from Par ASW to Maturity
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abstract double |
calcCreditBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Credit Basis from Par ASW to Work-out
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abstract double |
calcCreditBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Credit Basis from PECS to Maturity
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abstract double |
calcCreditBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Credit Basis from PECS to Work-out
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abstract double |
calcCreditBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond credit basis to maturity from price
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abstract double |
calcCreditBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond credit basis to Work-out from price
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abstract double |
calcCreditBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Credit Basis from spread treasury benchmark to Maturity
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abstract double |
calcCreditBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond Credit Basis from spread treasury benchmark to Work-out
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abstract double |
calcCreditBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond credit basis from Yield to maturity
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abstract double |
calcCreditBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond credit basis from Yield to work-out
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abstract double |
calcCreditBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond credit basis from Yield Spread to maturity
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abstract double |
calcCreditBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond credit basis from Yield Spread to Work-out
|
abstract double |
calcCreditBasisFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond credit basis from Yield to maturity
|
abstract double |
calcCreditBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond credit basis from Z Spread to maturity
|
abstract double |
calcCreditBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond credit basis from Z Spread to Work-out
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abstract JulianDate |
calcCurrentCouponDate(JulianDate dt)
Returns the coupon date for the period containing the specified date
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abstract double |
calcCurrentCouponRate(JulianDate dt,
ComponentMarketParams mktParams)
Returns the coupon rate for the period corresponding to the specified date
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abstract double |
calcDiscountMarginFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Discount Margin from Bond Basis to maturity
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abstract double |
calcDiscountMarginFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond Discount Margin from Bond Basis to Work-out
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abstract double |
calcDiscountMarginFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Discount Margin from credit basis to Maturity
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abstract double |
calcDiscountMarginFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond Discount Margin from credit basis to Work-out
|
abstract double |
calcDiscountMarginFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond Discount Margin from G Spread to Maturity
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abstract double |
calcDiscountMarginFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Discount Margin from G Spread to Work-out
|
abstract double |
calcDiscountMarginFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond Discount Margin from Option Adjusted Spread to maturity
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abstract double |
calcDiscountMarginFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond Discount Margin from Option Adjusted Spread to Work-out
|
abstract double |
calcDiscountMarginFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond Discount Margin from Par ASW to Maturity
|
abstract double |
calcDiscountMarginFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Discount Margin from Par ASW to Work-out
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abstract double |
calcDiscountMarginFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Discount Margin from PECS to Maturity
|
abstract double |
calcDiscountMarginFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Discount Margin from PECS to Work-out
|
abstract double |
calcDiscountMarginFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond Discount Margin to maturity from price
|
abstract double |
calcDiscountMarginFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond Discount Margin to Work-out from price
|
abstract double |
calcDiscountMarginFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond Discount Margin from spread treasury benchmark to Maturity
|
abstract double |
calcDiscountMarginFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond Discount Margin from spread treasury benchmark to Work-out
|
abstract double |
calcDiscountMarginFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond Discount Margin from Yield to maturity
|
abstract double |
calcDiscountMarginFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond Discount Margin from Work-out Yield
|
abstract double |
calcDiscountMarginFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond Discount Margin from Yield Spread to maturity
|
abstract double |
calcDiscountMarginFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond Discount Margin from Yield Spread to Work-out
|
abstract double |
calcDiscountMarginFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond Discount Margin from Yield to maturity
|
abstract double |
calcDiscountMarginFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond Discount Margin from Z Spread to maturity
|
abstract double |
calcDiscountMarginFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond Discount Margin from Z Spread to Work-out
|
abstract double |
calcDurationFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond duration from Bond Basis to maturity
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abstract double |
calcDurationFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond duration from Bond Basis to Work-out
|
abstract double |
calcDurationFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond Duration from credit basis to Maturity
|
abstract double |
calcDurationFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond Duration from credit basis to Work-out
|
abstract double |
calcDurationFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Duration from Discount Margin to Maturity
|
abstract double |
calcDurationFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond Duration from Discount Margin to Work-out
|
abstract double |
calcDurationFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Duration from G Spread to Maturity
|
abstract double |
calcDurationFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Duration from G Spread to Work-out
|
abstract double |
calcDurationFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Duration from I Spread to Maturity
|
abstract double |
calcDurationFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Duration from I Spread to Work-out
|
abstract double |
calcDurationFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond duration from Option Adjusted Spread to maturity
|
abstract double |
calcDurationFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond duration from Option Adjusted Spread to Work-out
|
abstract double |
calcDurationFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Duration from Par ASW to Maturity
|
abstract double |
calcDurationFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Duration from Par ASW to Work-out
|
abstract double |
calcDurationFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Duration from PECS to Maturity
|
abstract double |
calcDurationFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Duration from PECS to Work-out
|
abstract double |
calcDurationFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond duration to maturity from price
|
abstract double |
calcDurationFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond duration to Work-out from price
|
abstract double |
calcDurationFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond duration from spread treasury benchmark to Maturity
|
abstract double |
calcDurationFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond duration from spread treasury benchmark to Work-out
|
abstract double |
calcDurationFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond duration from Yield to maturity
|
abstract double |
calcDurationFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond duration from Work-out Yield
|
abstract double |
calcDurationFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond Duration from Yield Spread to maturity
|
abstract double |
calcDurationFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond duration from Yield Spread to Work-out
|
abstract double |
calcDurationFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond duration from Yield to maturity
|
abstract double |
calcDurationFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond duration from Z Spread to maturity
|
abstract double |
calcDurationFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond duration from Z Spread to Work-out
|
abstract double |
calcExerciseBondBasisFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the Bond Basis from credit basis to Exercise
|
abstract double |
calcExerciseBondBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the Bond Basis from Discount Margin to Exercise
|
abstract double |
calcExerciseBondBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Bond Basis from G Spread to Exercise
|
abstract double |
calcExerciseBondBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Bond Basis from I Spread to Exercise
|
abstract double |
calcExerciseBondBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the Bond Basis from Option Adjusted Spread to Exercise
|
abstract double |
calcExerciseBondBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Bond Basis from Par ASW to Exercise
|
abstract double |
calcExerciseBondBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Basis from PECS to Exercise
|
abstract double |
calcExerciseBondBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Bond Basis to exercise from price
|
abstract double |
calcExerciseBondBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Bond Basis from spread treasury benchmark to Exercise
|
abstract double |
calcExerciseBondBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Basis from yield to exercise
|
abstract double |
calcExerciseBondBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond Basis from Yield Spread to Exercise
|
abstract double |
calcExerciseBondBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Bond Basis from Z Spread to Exercise
|
abstract double |
calcExerciseConvexityFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond convexity from Bond Basis to exercise
|
abstract double |
calcExerciseConvexityFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond convexity from credit basis to Exercise
|
abstract double |
calcExerciseConvexityFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond convexity from Discount Margin to Exercise
|
abstract double |
calcExerciseConvexityFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond convexity from G Spread to Exercise
|
abstract double |
calcExerciseConvexityFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond convexity from I Spread to Exercise
|
abstract double |
calcExerciseConvexityFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond convexity from Option Adjusted Spread to exercise
|
abstract double |
calcExerciseConvexityFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond convexity from Par ASW to Exercise
|
abstract double |
calcExerciseConvexityFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Convexity from credit basis to Exercise
|
abstract double |
calcExerciseConvexityFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond convexity to exercise from price
|
abstract double |
calcExerciseConvexityFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond convexity from spread treasury benchmark to Exercise
|
abstract double |
calcExerciseConvexityFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond convexity from Yield to exercise
|
abstract double |
calcExerciseConvexityFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond convexity from Yield Spread to exercise
|
abstract double |
calcExerciseConvexityFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond convexity from Z Spread to exercise
|
abstract double |
calcExerciseCreditBasisFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond credit basis from Bond Basis to exercise
|
abstract double |
calcExerciseCreditBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Credit Basis from Discount Margin to Exercise
|
abstract double |
calcExerciseCreditBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Credit Basis from G Spread to Exercise
|
abstract double |
calcExerciseCreditBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Credit Basis from I Spread to Exercise
|
abstract double |
calcExerciseCreditBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond credit basis from Option Adjusted Spread to exercise
|
abstract double |
calcExerciseCreditBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Credit Basis from Par ASW to Exercise
|
abstract double |
calcExerciseCreditBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Credit Basis from PECS to Exercise
|
abstract double |
calcExerciseCreditBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond credit basis to exercise from price
|
abstract double |
calcExerciseCreditBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Credit Basis from spread treasury benchmark to Exercise
|
abstract double |
calcExerciseCreditBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond credit basis from Yield to exercise
|
abstract double |
calcExerciseCreditBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond credit basis from Yield Spread to exercise
|
abstract double |
calcExerciseCreditBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond credit basis from Z Spread to exercise
|
abstract double |
calcExerciseDiscountMarginFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Discount Margin from Bond Basis to exercise
|
abstract double |
calcExerciseDiscountMarginFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Discount Margin from credit basis to Exercise
|
abstract double |
calcExerciseDiscountMarginFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond Discount Margin from G Spread to Exercise
|
abstract double |
calcExerciseDiscountMarginFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond Discount Margin from Option Adjusted Spread to exercise
|
abstract double |
calcExerciseDiscountMarginFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond Discount Margin from Par ASW to Exercise
|
abstract double |
calcExerciseDiscountMarginFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Discount Margin from PECS to Exercise
|
abstract double |
calcExerciseDiscountMarginFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond Discount Margin to exercise from price
|
abstract double |
calcExerciseDiscountMarginFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond Discount Margin from spread treasury benchmark to Exercise
|
abstract double |
calcExerciseDiscountMarginFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond Discount Margin from Yield to exercise
|
abstract double |
calcExerciseDiscountMarginFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond Discount Margin from Yield Spread to exercise
|
abstract double |
calcExerciseDiscountMarginFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond Discount Margin from Z Spread to exercise
|
abstract double |
calcExerciseDurationFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond duration from Bond Basis to exercise
|
abstract double |
calcExerciseDurationFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond Duration from credit basis to Exercise
|
abstract double |
calcExerciseDurationFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Duration from Discount Margin to Exercise
|
abstract double |
calcExerciseDurationFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Duration from G Spread to Exercise
|
abstract double |
calcExerciseDurationFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Duration from I Spread to Exercise
|
abstract double |
calcExerciseDurationFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond duration from Option Adjusted Spread to exercise
|
abstract double |
calcExerciseDurationFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Duration from Par ASW to Exercise
|
abstract double |
calcExerciseDurationFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Duration from PECS to Exercise
|
abstract double |
calcExerciseDurationFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond duration to exercise from price
|
abstract double |
calcExerciseDurationFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond duration from spread treasury benchmark to Exercise
|
abstract double |
calcExerciseDurationFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond duration from Yield to exercise
|
abstract double |
calcExerciseDurationFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Duration from Yield Spread to exercise
|
abstract double |
calcExerciseDurationFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond duration from Z Spread to exercise
|
abstract double |
calcExerciseGSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond G Spread from Bond Basis to Exercise
|
abstract double |
calcExerciseGSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond G Spread from credit basis to Exercise
|
abstract double |
calcExerciseGSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblDiscountMargin)
Calculate the bond G Spread from Discount Margin to Exercise
|
abstract double |
calcExerciseGSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond G Spread from I Spread to Exercise
|
abstract double |
calcExerciseGSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond G Spread from Option Adjusted Spread to Exercise
|
abstract double |
calcExerciseGSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond G Spread from Par ASW to Exercise
|
abstract double |
calcExerciseGSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond G Spread from PECS to Exercise
|
abstract double |
calcExerciseGSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond G spread to exercise from price
|
abstract double |
calcExerciseGSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond G Spread from spread treasury benchmark to Exercise
|
abstract double |
calcExerciseGSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond G spread from Yield to exercise
|
abstract double |
calcExerciseGSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond G Spread from Yield Spread to Exercise
|
abstract double |
calcExerciseGSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond G Spread from Z Spread to Exercise
|
abstract double |
calcExerciseISpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond I Spread from Bond Basis to exercise
|
abstract double |
calcExerciseISpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond I Spread from credit basis to Exercise
|
abstract double |
calcExerciseISpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond I Spread from G Spread to Exercise
|
abstract double |
calcExerciseISpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond I Spread from Option Adjusted Spread to exercise
|
abstract double |
calcExerciseISpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond I Spread from Par ASW to Exercise
|
abstract double |
calcExerciseISpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond I Spread from PECS to Exercise
|
abstract double |
calcExerciseISpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond I spread to exercise from price
|
abstract double |
calcExerciseISpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond I Spread from spread treasury benchmark to Exercise
|
abstract double |
calcExerciseISpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond I spread from Yield to exercise
|
abstract double |
calcExerciseISpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond I Spread from Yield Spread to exercise
|
abstract double |
calcExerciseISpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond I Spread from Z Spread to exercise
|
abstract double |
calcExerciseOASFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Option Adjusted Spread from Bond Basis to exercise
|
abstract double |
calcExerciseOASFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Option Adjusted Spread from credit basis to Exercise
|
abstract double |
calcExerciseOASFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Option Adjusted Spread from Discount Margin to Exercise
|
abstract double |
calcExerciseOASFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Option Adjusted Spread from G Spread to Exercise
|
abstract double |
calcExerciseOASFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Option Adjusted Spread from I Spread to Exercise
|
abstract double |
calcExerciseOASFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Option Adjusted Spread from Par ASW to Exercise
|
abstract double |
calcExerciseOASFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the bond Option Adjusted Spread from PECS to Exercise
|
abstract double |
calcExerciseOASFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond Option Adjusted spread to exercise from price
|
abstract double |
calcExerciseOASFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Option Adjusted Spread from spread treasury benchmark to Exercise
|
abstract double |
calcExerciseOASFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Option Adjusted Spread from yield to exercise
|
abstract double |
calcExerciseOASFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond Option Adjusted Spread from Yield Spread to exercise
|
abstract double |
calcExerciseOASFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond OAS from Z Spread to Exercise
|
abstract double |
calcExerciseParASWFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the Bond Par ASW from Bond Basis to exercise
|
abstract double |
calcExerciseParASWFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond par ASW from credit basis to Exercise
|
abstract double |
calcExerciseParASWFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Par ASW from Discount Margin to Exercise
|
abstract double |
calcExerciseParASWFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Par ASW from G Spread to Exercise
|
abstract double |
calcExerciseParASWFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Par ASW from I Spread to Exercise
|
abstract double |
calcExerciseParASWFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond par ASW from Option Adjusted Spread to exercise
|
abstract double |
calcExerciseParASWFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Par ASW from PECS to Exercise
|
abstract double |
calcExerciseParASWFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond par ASW to exercise from price
|
abstract double |
calcExerciseParASWFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond par ASW from spread treasury benchmark to Exercise
|
abstract double |
calcExerciseParASWFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond par ASW from Yield to exercise
|
abstract double |
calcExerciseParASWFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond Par ASW from Yield Spread to exercise
|
abstract double |
calcExerciseParASWFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond par ASW from Z Spread to exercise
|
abstract double |
calcExercisePECSFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the Bond PECS from Bond Basis to exercise
|
abstract double |
calcExercisePECSFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the Bond PECS from credit basis to Exercise
|
abstract double |
calcExercisePECSFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the Bond PECS from Discount Margin to Exercise
|
abstract double |
calcExercisePECSFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Bond PECS from G Spread to Exercise
|
abstract double |
calcExercisePECSFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Bond PECS from I Spread to Exercise
|
abstract double |
calcExercisePECSFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the Bond PECS from Option Adjusted Spread to exercise
|
abstract double |
calcExercisePECSFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Bond PECS from Par ASW to Exercise
|
abstract double |
calcExercisePECSFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Bond PECS to exercise from price
|
abstract double |
calcExercisePECSFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Bond PECS from spread treasury benchmark to Exercise
|
abstract double |
calcExercisePECSFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the Bond PECS from Yield to exercise
|
abstract double |
calcExercisePECSFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond PECS from Yield Spread to exercise
|
abstract double |
calcExercisePECSFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Bond PECS from Z Spread to exercise
|
abstract double |
calcExercisePriceFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond price from Bond Basis to Exercise
|
abstract double |
calcExercisePriceFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond price from credit basis to Exercise
|
abstract double |
calcExercisePriceFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond price from Discount Margin to Exercise
|
abstract double |
calcExercisePriceFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond price from G Spread to Exercise
|
abstract double |
calcExercisePriceFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond price from I Spread to Exercise
|
abstract double |
calcExercisePriceFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond price from Option Adjusted Spread to Exercise
|
abstract double |
calcExercisePriceFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond price from Par ASW to Exercise
|
abstract double |
calcExercisePriceFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Price from PECS to Exercise
|
abstract double |
calcExercisePriceFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond price from spread treasury benchmark to Exercise
|
abstract double |
calcExercisePriceFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond price from exercise yield
|
abstract double |
calcExercisePriceFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond price from Yield Spread to Exercise
|
abstract double |
calcExercisePriceFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond price from Z Spread to Exercise
|
abstract double |
calcExerciseTSYSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond spread to treasury from Bond Basis to exercise
|
abstract double |
calcExerciseTSYSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Spread to Treasury from credit basis to Exercise
|
abstract double |
calcExerciseTSYSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblDiscountMargin)
Calculate the bond Spread to Treasury from Discount Margin to Exercise
|
abstract double |
calcExerciseTSYSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond Spread to Treasury from G Spread to Exercise
|
abstract double |
calcExerciseTSYSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond Spread to Treasury from I Spread to Exercise
|
abstract double |
calcExerciseTSYSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond spread to treasury from Option Adjusted Spread to exercise
|
abstract double |
calcExerciseTSYSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Spread to Treasury Benchmark from Par ASW to Exercise
|
abstract double |
calcExerciseTSYSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Spread to Treasury from PECS to Exercise
|
abstract double |
calcExerciseTSYSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond spread to treasury to exercise from price
|
abstract double |
calcExerciseTSYSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond spread to treasury from exercise Yield
|
abstract double |
calcExerciseTSYSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond spread to treasury from Yield Spread to exercise
|
abstract double |
calcExerciseTSYSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond spread to treasury from Z Spread to exercise
|
abstract double |
calcExerciseYieldFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond yield from Bond Basis to Exercise
|
abstract double |
calcExerciseYieldFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond yield from credit basis to Exercise
|
abstract double |
calcExerciseYieldFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblDiscountMargin)
Calculate the bond yield from Discount Margin to Exercise
|
abstract double |
calcExerciseYieldFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond yield from G Spread to Exercise
|
abstract double |
calcExerciseYieldFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond yield from I Spread to Exercise
|
abstract double |
calcExerciseYieldFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond yield from Option Adjusted Spread to Exercise
|
abstract double |
calcExerciseYieldFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond yield from Par ASW to Exercise
|
abstract double |
calcExerciseYieldFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Yield from PECS to Exercise
|
abstract WorkoutInfo |
calcExerciseYieldFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond yield to exercise from price
|
abstract double |
calcExerciseYieldFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond yield from spread treasury benchmark to Exercise
|
abstract double |
calcExerciseYieldFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond yield from Yield Spread to Exercise
|
abstract double |
calcExerciseYieldFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond yield from Z Spread to Exercise
|
abstract double |
calcExerciseYieldSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Yield Spread from Bond Basis to Exercise
|
abstract double |
calcExerciseYieldSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the Yield Spread from credit basis to Exercise
|
abstract double |
calcExerciseYieldSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the Yield Spread from Discount Margin to Exercise
|
abstract double |
calcExerciseYieldSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Yield Spread from G Spread to Exercise
|
abstract double |
calcExerciseYieldSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Yield Spread from I Spread to Exercise
|
abstract double |
calcExerciseYieldSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the Yield Spread from Option Adjusted Spread to Exercise
|
abstract double |
calcExerciseYieldSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Yield Spread from Par ASW to Exercise
|
abstract double |
calcExerciseYieldSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Yield Spread from PECS to Exercise
|
abstract double |
calcExerciseYieldSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Yield Spread to exercise from price
|
abstract double |
calcExerciseYieldSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Yield Spread from spread treasury benchmark to Exercise
|
abstract double |
calcExerciseYieldSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the Yield Spread from yield to exercise
|
abstract double |
calcExerciseYieldSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Yield Spread from Z Spread to Exercise
|
abstract double |
calcExerciseZSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Z Spread from Bond Basis to exercise
|
abstract double |
calcExerciseZSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Z Spread from credit basis to Exercise
|
abstract double |
calcExerciseZSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Z Spread from Discount Margin to Exercise
|
abstract double |
calcExerciseZSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Z Spread from G Spread to Exercise
|
abstract double |
calcExerciseZSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Z Spread from I Spread to Exercise
|
abstract double |
calcExerciseZSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond z spread to exercise from OAS
|
abstract double |
calcExerciseZSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Z Spread from Par ASW to Exercise
|
abstract double |
calcExerciseZSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Z Spread from PECS to Exercise
|
abstract double |
calcExerciseZSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond z spread to exercise from price
|
abstract double |
calcExerciseZSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Z Spread from spread treasury benchmark to Exercise
|
abstract double |
calcExerciseZSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Z Spread from yield to exercise
|
abstract double |
calcExerciseZSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond Z Spread from Yield Spread to exercise
|
abstract double |
calcGSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond G Spread from Bond Basis to Maturity
|
abstract double |
calcGSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond G Spread from Bond Basis to Work-out
|
abstract double |
calcGSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond G Spread from credit basis to Maturity
|
abstract double |
calcGSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond G Spread from credit basis to Work-out
|
abstract double |
calcGSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblDiscountMargin)
Calculate the bond G Spread from Discount Margin to Maturity
|
abstract double |
calcGSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond G Spread from Discount Margin to Work-out
|
abstract double |
calcGSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond G Spread from I Spread to Maturity
|
abstract double |
calcGSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond G Spread from I Spread to Work-out
|
abstract double |
calcGSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond G Spread from Option Adjusted Spread to Maturity
|
abstract double |
calcGSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond G Spread from Option Adjusted Spread to Work-out
|
abstract double |
calcGSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond G Spread from Par ASW to Maturity
|
abstract double |
calcGSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond G Spread from Par ASW to Work-out
|
abstract double |
calcGSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond G Spread from PECS to Maturity
|
abstract double |
calcGSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond G Spread from PECS to Work-out
|
abstract double |
calcGSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond G spread to maturity from price
|
abstract double |
calcGSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond G spread to Work-out from price
|
abstract double |
calcGSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond G Spread from spread treasury benchmark to Maturity
|
abstract double |
calcGSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond G Spread from spread treasury benchmark to Work-out
|
abstract double |
calcGSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond G spread from Yield to maturity
|
abstract double |
calcGSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond G spread from Work-out Yield
|
abstract double |
calcGSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond G Spread from Yield Spread to Maturity
|
abstract double |
calcGSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond G Spread from Yield Spread to Work-out
|
abstract double |
calcGSpreadFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond G spread from Yield to maturity
|
abstract double |
calcGSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond G Spread from Z Spread to Maturity
|
abstract double |
calcGSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond G Spread from Z Spread to Work-out
|
abstract double |
calcISpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond I Spread from Bond Basis to maturity
|
abstract double |
calcISpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond I Spread from Bond Basis to Work-out
|
abstract double |
calcISpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond I Spread from credit basis to Maturity
|
abstract double |
calcISpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond I Spread from credit basis to Work-out
|
abstract double |
calcISpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond I Spread from G Spread to Maturity
|
abstract double |
calcISpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond I Spread from G Spread to Work-out
|
abstract double |
calcISpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond I Spread from Option Adjusted Spread to maturity
|
abstract double |
calcISpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond I Spread from Option Adjusted Spread to Work-out
|
abstract double |
calcISpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond I Spread from Par ASW to Maturity
|
abstract double |
calcISpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond I Spread from Par ASW to Work-out
|
abstract double |
calcISpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond I Spread from PECS to Maturity
|
abstract double |
calcISpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond I Spread from PECS to Work-out
|
abstract double |
calcISpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond I spread to maturity from price
|
abstract double |
calcISpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond I spread to Work-out from price
|
abstract double |
calcISpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond I Spread from spread treasury benchmark to Maturity
|
abstract double |
calcISpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond I Spread from spread treasury benchmark to Work-out
|
abstract double |
calcISpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond I spread from Yield to maturity
|
abstract double |
calcISpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond I spread from Work-out Yield
|
abstract double |
calcISpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond I Spread from Yield Spread to maturity
|
abstract double |
calcISpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond I Spread from Yield Spread to Work-out
|
abstract double |
calcISpreadFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond I spread from Yield to maturity
|
abstract double |
calcISpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond I Spread from Z Spread to maturity
|
abstract double |
calcISpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond I Spread from Z Spread to Work-out
|
abstract JulianDate |
calcNextCouponDate(JulianDate dt)
Returns the coupon date for the period subsequent to the specified date
|
abstract double |
calcNextCouponRate(JulianDate dt,
ComponentMarketParams mktParams)
Returns the coupon rate for the period subsequent to the specified date
|
abstract ExerciseInfo |
calcNextValidExerciseDateOfType(JulianDate dt,
boolean bGetPut)
Returns the next exercise info of the given exercise type (call/put) subsequent to the specified date
|
abstract ExerciseInfo |
calcNextValidExerciseInfo(JulianDate dt)
Returns the next exercise info subsequent to the specified date
|
abstract double |
calcOASFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Option Adjusted Spread from Bond Basis to maturity
|
abstract double |
calcOASFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond Option Adjusted Spread from Bond Basis to work-out
|
abstract double |
calcOASFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Option Adjusted Spread from credit basis to Maturity
|
abstract double |
calcOASFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond Option Adjusted Spread from credit basis to Work-out
|
abstract double |
calcOASFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Option Adjusted Spread from Discount Margin to Maturity
|
abstract double |
calcOASFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond Option Adjusted Spread from Discount Margin to Work-out
|
abstract double |
calcOASFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Option Adjusted Spread from G Spread to Maturity
|
abstract double |
calcOASFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Option Adjusted Spread from G Spread to Work-out
|
abstract double |
calcOASFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Option Adjusted Spread from I Spread to Maturity
|
abstract double |
calcOASFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Option Adjusted Spread from I Spread to Work-out
|
abstract double |
calcOASFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Option Adjusted Spread from Par ASW to Maturity
|
abstract double |
calcOASFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Option Adjusted Spread from Par ASW to Work-out
|
abstract double |
calcOASFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the bond Option Adjusted Spread from PECS to Maturity
|
abstract double |
calcOASFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Option Adjusted Spread from PECS to Work-out
|
abstract double |
calcOASFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond Option Adjusted spread to maturity from price
|
abstract double |
calcOASFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond Option Adjusted spread to Work-out from price
|
abstract double |
calcOASFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Option Adjusted Spread from spread treasury benchmark to Maturity
|
abstract double |
calcOASFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond Option Adjusted Spread from spread treasury benchmark to Work-out
|
abstract double |
calcOASFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Option Adjusted Spread from yield to maturity
|
abstract double |
calcOASFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond Option Adjusted Spread from Yield to work-out
|
abstract double |
calcOASFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond Option Adjusted Spread from Yield Spread to maturity
|
abstract double |
calcOASFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond Option Adjusted Spread from Yield Spread to work-out
|
abstract double |
calcOASFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Option Adjusted Spread from yield to maturity
|
abstract double |
calcOASFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond OAS from Z Spread to Maturity
|
abstract double |
calcOASFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the Bond Option Adjusted Spread from Z Spread to Work-out
|
abstract double |
calcParASWFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the Bond Par ASW from Bond Basis to maturity
|
abstract double |
calcParASWFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the Bond Par ASW from Bond Basis to Work-out
|
abstract double |
calcParASWFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond par ASW from credit basis to Maturity
|
abstract double |
calcParASWFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond par ASW from credit basis to Work-out
|
abstract double |
calcParASWFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Par ASW from Discount Margin to Maturity
|
abstract double |
calcParASWFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond Par ASW from Discount Margin to Work-out
|
abstract double |
calcParASWFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Par ASW from G Spread to Maturity
|
abstract double |
calcParASWFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Par ASW from G Spread to Work-out
|
abstract double |
calcParASWFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Par ASW from I Spread to Maturity
|
abstract double |
calcParASWFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Par ASW from I Spread to Work-out
|
abstract double |
calcParASWFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond par ASW from Option Adjusted Spread to maturity
|
abstract double |
calcParASWFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond par ASW from Option Adjusted Spread to Work-out
|
abstract double |
calcParASWFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Par ASW from credit basis to Maturity
|
abstract double |
calcParASWFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Par ASW from PECS to Work-out
|
abstract double |
calcParASWFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond par ASW to maturity from price
|
abstract double |
calcParASWFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond par ASW to Work-out from price
|
abstract double |
calcParASWFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond par ASW from spread treasury benchmark to Maturity
|
abstract double |
calcParASWFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond par ASW from spread treasury benchmark to Work-out
|
abstract double |
calcParASWFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond par ASW from Yield to maturity
|
abstract double |
calcParASWFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond par ASW from Work-out Yield
|
abstract double |
calcParASWFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond Par ASW from Yield Spread to maturity
|
abstract double |
calcParASWFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the Bond Par ASW from Yield Spread to Work-out
|
abstract double |
calcParASWFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond par ASW from Yield to maturity
|
abstract double |
calcParASWFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond par ASW from Z Spread to maturity
|
abstract double |
calcParASWFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond par ASW from Z Spread to Work-out
|
abstract double |
calcPECSFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the Bond PECS from Bond Basis to maturity
|
abstract double |
calcPECSFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the Bond PECS from Bond Basis to Work-out
|
abstract double |
calcPECSFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the Bond PECS from credit basis to Maturity
|
abstract double |
calcPECSFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the Bond PECS from credit basis to Work-out
|
abstract double |
calcPECSFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the Bond PECS from Discount Margin to Maturity
|
abstract double |
calcPECSFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the Bond PECS from Discount Margin to Work-out
|
abstract double |
calcPECSFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Bond PECS from G Spread to Maturity
|
abstract double |
calcPECSFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the Bond PECS from G Spread to Work-out
|
abstract double |
calcPECSFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Bond PECS from I Spread to Maturity
|
abstract double |
calcPECSFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the Bond PECS from I Spread to Work-out
|
abstract double |
calcPECSFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the Bond PECS from Option Adjusted Spread to maturity
|
abstract double |
calcPECSFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the Bond PECS from Option Adjusted Spread to Work-out
|
abstract double |
calcPECSFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Bond PECS from Par ASW to Maturity
|
abstract double |
calcPECSFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the Bond PECS from Par ASW to Work-out
|
abstract double |
calcPECSFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Bond PECS to maturity from price
|
abstract double |
calcPECSFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the Bond PECS to Work-out from price
|
abstract double |
calcPECSFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Bond PECS from spread treasury benchmark to Maturity
|
abstract double |
calcPECSFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the Bond PECS from spread treasury benchmark to Work-out
|
abstract double |
calcPECSFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the Bond PECS from Yield to maturity
|
abstract double |
calcPECSFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the Bond PECS from Yield to work-out
|
abstract double |
calcPECSFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond PECS from Yield Spread to maturity
|
abstract double |
calcPECSFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the Bond PECS from Yield Spread to Work-out
|
abstract double |
calcPECSFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the Bond PECS from Yield to maturity
|
abstract double |
calcPECSFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Bond PECS from Z Spread to maturity
|
abstract double |
calcPECSFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the Bond PECS from Z Spread to Work-out
|
abstract JulianDate |
calcPreviousCouponDate(JulianDate dt)
Returns the coupon date for the period prior to the specified date
|
abstract double |
calcPreviousCouponRate(JulianDate dt,
ComponentMarketParams mktParams)
Returns the coupon rate for the period prior to the specified date
|
abstract double |
calcPriceFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond price from Bond Basis to Maturity
|
abstract double |
calcPriceFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond price from Bond Basis to Work-out
|
abstract double |
calcPriceFromBumpedCC(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis,
boolean bFlat)
Calculate the bond's credit risky theoretical price from the bumped credit curve
|
abstract double |
calcPriceFromBumpedDC(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDCBump)
Calculate the bond's non-credit risky theoretical price from the bumped discount curve
|
abstract double |
calcPriceFromBumpedZC(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZCBump)
Calculate the bond's non-credit risky theoretical price from the bumped zero curve
|
abstract double |
calcPriceFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond price from credit basis to Maturity
|
abstract double |
calcPriceFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond price from credit basis to Work-out
|
abstract double |
calcPriceFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond price from Discount Margin to Maturity
|
abstract double |
calcPriceFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond price from Discount Margin to Work-out
|
abstract double |
calcPriceFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond price from G Spread to Maturity
|
abstract double |
calcPriceFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond price from G Spread to Work-out
|
abstract double |
calcPriceFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond price from I Spread to Maturity
|
abstract double |
calcPriceFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond price from I Spread to Work-out
|
abstract double |
calcPriceFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond price from Option Adjusted Spread to Maturity
|
abstract double |
calcPriceFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond price from Option Adjusted Spread to Work-out
|
abstract double |
calcPriceFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond price from Par ASW to Maturity
|
abstract double |
calcPriceFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond price from Par ASW to Work-out
|
abstract double |
calcPriceFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Price from PECS to Maturity
|
abstract double |
calcPriceFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Price from PECS to Work-out
|
abstract double |
calcPriceFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond price from spread treasury benchmark to Maturity
|
abstract double |
calcPriceFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond price from spread treasury benchmark to Work-out
|
abstract double |
calcPriceFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond price from yield to maturity
|
abstract double |
calcPriceFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond price from yield to work-out
|
abstract double |
calcPriceFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond price from Yield Spread to Maturity
|
abstract double |
calcPriceFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond price from Yield Spread to Work-out
|
abstract double |
calcPriceFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond price from yield to maturity
|
abstract double |
calcPriceFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond price from Z Spread to Maturity
|
abstract double |
calcPriceFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond price from Z Spread to Work-out
|
abstract double |
calcTSYSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond spread to treasury from Bond Basis to maturity
|
abstract double |
calcTSYSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond spread to treasury from Bond Basis to Work-out
|
abstract double |
calcTSYSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Spread to Treasury from credit basis to Maturity
|
abstract double |
calcTSYSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond Spread to Treasury from credit basis to Work-out
|
abstract double |
calcTSYSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblDiscountMargin)
Calculate the bond Spread to Treasury from Discount Margin to Maturity
|
abstract double |
calcTSYSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond Spread to Treasury from Discount Margin to Work-out
|
abstract double |
calcTSYSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond Spread to Treasury from G Spread to Maturity
|
abstract double |
calcTSYSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Spread to Treasury from G Spread to Work-out
|
abstract double |
calcTSYSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond Spread to Treasury from I Spread to Maturity
|
abstract double |
calcTSYSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Spread to Treasury from I Spread to Work-out
|
abstract double |
calcTSYSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond spread to treasury from Option Adjusted Spread to maturity
|
abstract double |
calcTSYSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond spread to treasury from Option Adjusted Spread to Work-out
|
abstract double |
calcTSYSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Spread to Treasury Benchmark from Par ASW to Maturity
|
abstract double |
calcTSYSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Spread to Treasury Benchmark from Par ASW to Work-out
|
abstract double |
calcTSYSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Spread to Treasury from PECS to Maturity
|
abstract double |
calcTSYSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Spread to Treasury from PECS to Work-out
|
abstract double |
calcTSYSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond spread to treasury to maturity from price
|
abstract double |
calcTSYSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond spread to treasury to Work-out from price
|
abstract double |
calcTSYSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond spread to treasury from Yield to maturity
|
abstract double |
calcTSYSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond spread to treasury from Work-out Yield
|
abstract double |
calcTSYSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond spread to treasury from Yield Spread to maturity
|
abstract double |
calcTSYSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond spread to treasury from Yield Spread to Work-out
|
abstract double |
calcTSYSpreadFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond spread to treasury from Yield to maturity
|
abstract double |
calcTSYSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond spread to treasury from Z Spread to maturity
|
abstract double |
calcTSYSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond spread to treasury from Z Spread to Work-out
|
abstract double |
calcYieldFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond yield from Bond Basis to Maturity
|
abstract double |
calcYieldFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond yield from Bond Basis to Work-out
|
abstract double |
calcYieldFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond yield from credit basis to Maturity
|
abstract double |
calcYieldFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond yield from credit basis to Work-out
|
abstract double |
calcYieldFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblDiscountMargin)
Calculate the bond yield from Discount Margin to Maturity
|
abstract double |
calcYieldFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond yield from Discount Margin to Work-out
|
abstract double |
calcYieldFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond yield from G Spread to Maturity
|
abstract double |
calcYieldFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond yield from G Spread to Work-out
|
abstract double |
calcYieldFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond yield from I Spread to Maturity
|
abstract double |
calcYieldFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond yield from I Spread to Work-out
|
abstract double |
calcYieldFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond yield from Option Adjusted Spread to Maturity
|
abstract double |
calcYieldFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond yield from Option Adjusted Spread to Work-out
|
abstract double |
calcYieldFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond yield from Par ASW to Maturity
|
abstract double |
calcYieldFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond yield from Par ASW to Work-out
|
abstract double |
calcYieldFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Yield from PECS to Maturity
|
abstract double |
calcYieldFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Yield from PECS to Work-out
|
abstract double |
calcYieldFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond yield to maturity from price
|
abstract double |
calcYieldFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond yield to Work-out from price
|
abstract double |
calcYieldFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond yield from spread treasury benchmark to Maturity
|
abstract double |
calcYieldFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond yield from spread treasury benchmark to Work-out
|
abstract double |
calcYieldFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond yield from Yield Spread to Maturity
|
abstract double |
calcYieldFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond yield from Yield Spread to Work-out
|
abstract double |
calcYieldFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond yield from Z Spread to Maturity
|
abstract double |
calcYieldFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond yield from Z Spread to Work-out
|
abstract double |
calcYieldSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Yield Spread from Bond Basis to Maturity
|
abstract double |
calcYieldSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond Yield Spread from Bond Basis to Work-out
|
abstract double |
calcYieldSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the Yield Spread from credit basis to Maturity
|
abstract double |
calcYieldSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the Yield Spread from credit basis to Work-out
|
abstract double |
calcYieldSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the Yield Spread from Discount Margin to Maturity
|
abstract double |
calcYieldSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the Yield Spread from Discount Margin to Work-out
|
abstract double |
calcYieldSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Yield Spread from G Spread to Maturity
|
abstract double |
calcYieldSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the Yield Spread from G Spread to Work-out
|
abstract double |
calcYieldSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Yield Spread from I Spread to Maturity
|
abstract double |
calcYieldSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the Yield Spread from I Spread to Work-out
|
abstract double |
calcYieldSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the Yield Spread from Option Adjusted Spread to Maturity
|
abstract double |
calcYieldSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the Yield Spread from Option Adjusted Spread to Work-out
|
abstract double |
calcYieldSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Yield Spread from Par ASW to Maturity
|
abstract double |
calcYieldSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the Yield Spread from Par ASW to Work-out
|
abstract double |
calcYieldSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Yield Spread from PECS to Maturity
|
abstract double |
calcYieldSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Yield Spread from PECS to Work-out
|
abstract double |
calcYieldSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Yield Spread to maturity from price
|
abstract double |
calcYieldSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the Yield Spread to Work-out from price
|
abstract double |
calcYieldSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Yield Spread from spread treasury benchmark to Maturity
|
abstract double |
calcYieldSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the Yield Spread from spread treasury benchmark to Work-out
|
abstract double |
calcYieldSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the Yield Spread from yield to maturity
|
abstract double |
calcYieldSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the Yield Spread from Yield to work-out
|
abstract double |
calcYieldSpreadFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the Yield Spread from yield to maturity
|
abstract double |
calcYieldSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Yield Spread from Z Spread to Maturity
|
abstract double |
calcYieldSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the Yield Spread from Z Spread to Work-out
|
abstract double |
calcYTMFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond yield to maturity from price
|
abstract double |
calcZSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Z Spread from Bond Basis to maturity
|
abstract double |
calcZSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond Z Spread from Bond Basis to work-out
|
abstract double |
calcZSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Z Spread from credit basis to Maturity
|
abstract double |
calcZSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond Z Spread from credit basis to Work-out
|
abstract double |
calcZSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Z Spread from Discount Margin to Maturity
|
abstract double |
calcZSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond Z Spread from Discount Margin to Work-out
|
abstract double |
calcZSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Z Spread from G Spread to Maturity
|
abstract double |
calcZSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Z Spread from G Spread to Work-out
|
abstract double |
calcZSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Z Spread from I Spread to Maturity
|
abstract double |
calcZSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Z Spread from I Spread to Work-out
|
abstract double |
calcZSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond z spread to maturity from OAS
|
abstract double |
calcZSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond z spread to Work-out from OAS
|
abstract double |
calcZSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Z Spread from Par ASW to Maturity
|
abstract double |
calcZSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Z Spread from Par ASW to Work-out
|
abstract double |
calcZSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Z Spread from PECS to Maturity
|
abstract double |
calcZSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Z Spread from PECS to Work-out
|
abstract double |
calcZSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond z spread to maturity from price
|
abstract double |
calcZSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond z spread to Work-out from price
|
abstract double |
calcZSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Z Spread from spread treasury benchmark to Maturity
|
abstract double |
calcZSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond Z Spread from spread treasury benchmark to Work-out
|
abstract double |
calcZSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Z Spread from yield to maturity
|
abstract double |
calcZSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond Z Spread from Yield to work-out
|
abstract double |
calcZSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond Z Spread from Yield Spread to maturity
|
abstract double |
calcZSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond Z Spread from Yield Spread to work-out
|
abstract double |
calcZSpreadFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Z Spread from yield to maturity
|
abstract java.lang.String |
getAccrualDC()
Return the bond's accrual day count
|
abstract java.lang.String |
getCalculationType()
Return the bond's calculation type
|
abstract java.lang.String |
getCouponCurrency()
Return the bond's coupon currency
|
abstract java.lang.String |
getCouponDC()
Return the bond's coupon day count
|
abstract int |
getCouponFreq()
Return the bond's coupon frequency
|
abstract java.lang.String |
getCouponType()
Return the bond's coupon type
|
abstract double |
getCurrentCoupon()
Returns the current bond coupon
|
abstract java.lang.String |
getCUSIP()
Gets the CUSIP
|
abstract double |
getEffectiveTsyBmkYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Retrieves the effective treasury benchmark yield from the valuation, the component market parameters,
and the market price
|
abstract EmbeddedOptionSchedule |
getEmbeddedCallSchedule()
Return the bond's embedded call schedule
|
abstract EmbeddedOptionSchedule |
getEmbeddedPutSchedule()
Return the bond's embedded put schedule
|
abstract JulianDate |
getFinalMaturity()
Return the bond's final maturity
|
abstract java.lang.String |
getFloatCouponConvention()
Return the bond's floating coupon convention
|
abstract double |
getFloatSpread()
Returns the floating spread of the bond
|
abstract java.lang.String |
getISIN()
Gets the ISIN
|
abstract java.util.List<LossPeriodCurveFactors> |
getLossFlowFromPrice(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Gets the bond's loss flow from price
|
abstract java.lang.String |
getMaturityType()
Return the bond's maturity type
|
abstract JulianDate |
getPeriodResetDate(double dblValue)
Get the bond's reset date for the period identified by the valuation date
|
abstract java.lang.String |
getRateIndex()
Returns the rate index of the bond
|
abstract java.lang.String |
getRedemptionCurrency()
Return the bond's redemption currency
|
abstract double |
getRedemptionValue()
Return the bond's redemption value
|
abstract double[] |
getSecTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams)
Retrieves the array of double for the bond's secondary treasury spreads from the Valuation
Parameters and the component market parameters
|
abstract java.lang.String |
getTicker()
Returns the bond ticker
|
abstract java.lang.String |
getTradeCurrency()
Return the bond's trade currency
|
abstract boolean |
hasBeenExercised()
Indicates if the bond has been exercised
|
abstract boolean |
hasDefaulted()
Indicates if the bond has defaulted
|
abstract boolean |
hasVariableCoupon()
Indicates if the bond has variable coupon
|
abstract boolean |
inFirstCouponPeriod(double dblDate)
Indicates whether the given date is in the first coupon period
|
abstract boolean |
inLastCouponPeriod(double dblDate)
Indicates whether the given date is in the final coupon period
|
abstract boolean |
isCallable()
Indicates if the bond is callable
|
abstract boolean |
isFloater()
Returns whether the bond is a floater
|
abstract boolean |
isPerpetual()
Indicates if the bond is perpetual
|
abstract boolean |
isPutable()
Indicates if the bond is putable
|
abstract boolean |
isSinkable()
Indicates if the bond is sinkable
|
abstract boolean |
isTradeable(ValuationParams valParams)
Calculates if the bond is tradeable on the given date
|
abstract void |
showPeriods()
Displays all the coupon periods onto stdout
|
abstract BondRVMeasures |
standardMeasures(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
WorkoutInfo wi,
double dblPrice)
Calculate the full set of Bond RV Measures from the Price Input
|
getCouponFlow, getCRValParams, getLossFlow, getRecovery, getRecovery
getPrimaryCode, getSecondaryCode, setPrimaryCode
calcCustomScenarioMeasures, calcMeasures, calcMeasureValue, getCashSettleParams, getCoupon, getCouponPeriod, getEffectiveDate, getFirstCouponDate, getInitialNotional, getMaturityDate, getNotional, getNotional, setCurves, value
deserialize, getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer, serialize
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
getComponentName, getCreditCurveName, getEDSFCurveName, getIRCurveName, getTreasuryCurveName
public abstract double[] getSecTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams)
valParams
- ValuationParamsmktParams
- ComponentMarketParamspublic abstract double getEffectiveTsyBmkYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- ComponentMarketParamsquotingParams
- Bond Quoting parametersdblPrice
- Market pricejava.lang.Exception
- Thrown if the effective benchmark cannot be calculatedpublic abstract java.lang.String getISIN()
public abstract java.lang.String getCUSIP()
public abstract java.util.List<LossPeriodCurveFactors> getLossFlowFromPrice(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice)
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- ComponentMarketParamsquotingParams
- Bond Quoting parametersdblPrice
- Input pricepublic abstract boolean isFloater()
public abstract java.lang.String getRateIndex()
public abstract double getCurrentCoupon()
public abstract double getFloatSpread()
public abstract java.lang.String getTicker()
public abstract boolean isCallable()
public abstract boolean isPutable()
public abstract boolean isSinkable()
public abstract boolean hasVariableCoupon()
public abstract boolean hasBeenExercised()
public abstract boolean hasDefaulted()
public abstract boolean isPerpetual()
public abstract boolean isTradeable(ValuationParams valParams) throws java.lang.Exception
valParams
- Valuation Parametersjava.lang.Exception
- Thrown if inputs are invalidpublic abstract EmbeddedOptionSchedule getEmbeddedCallSchedule()
public abstract EmbeddedOptionSchedule getEmbeddedPutSchedule()
public abstract java.lang.String getCouponType()
public abstract java.lang.String getCouponDC()
public abstract java.lang.String getAccrualDC()
public abstract java.lang.String getMaturityType()
public abstract int getCouponFreq()
public abstract JulianDate getFinalMaturity()
public abstract java.lang.String getCalculationType()
public abstract double getRedemptionValue()
public abstract java.lang.String getCouponCurrency()
public abstract java.lang.String getRedemptionCurrency()
public abstract boolean inFirstCouponPeriod(double dblDate) throws java.lang.Exception
dblDate
- Valuation Datejava.lang.Exception
- Thrown if inputs are invalidpublic abstract boolean inLastCouponPeriod(double dblDate) throws java.lang.Exception
dblDate
- Valuation Datejava.lang.Exception
- Thrown if inputs are invalidpublic abstract java.lang.String getTradeCurrency()
public abstract java.lang.String getFloatCouponConvention()
public abstract JulianDate getPeriodResetDate(double dblValue)
dblValue
- Valuation Datepublic abstract JulianDate calcPreviousCouponDate(JulianDate dt)
dt
- Valuation Datepublic abstract double calcPreviousCouponRate(JulianDate dt, ComponentMarketParams mktParams) throws java.lang.Exception
dt
- Valuation DatemktParams
- Component Market Paramsjava.lang.Exception
- Thrown if the previous coupon rate cannot be calculatedpublic abstract JulianDate calcCurrentCouponDate(JulianDate dt)
dt
- Valuation Datepublic abstract JulianDate calcNextCouponDate(JulianDate dt)
dt
- Valuation Datepublic abstract ExerciseInfo calcNextValidExerciseDateOfType(JulianDate dt, boolean bGetPut)
dt
- Valuation DatebGetPut
- TRUE => Gets the next put datepublic abstract ExerciseInfo calcNextValidExerciseInfo(JulianDate dt)
dt
- Valuation Datepublic abstract double calcCurrentCouponRate(JulianDate dt, ComponentMarketParams mktParams) throws java.lang.Exception
dt
- Valuation DatemktParams
- Component Market Paramsjava.lang.Exception
- Thrown if the current period coupon rate cannot be calculatedpublic abstract double calcNextCouponRate(JulianDate dt, ComponentMarketParams mktParams) throws java.lang.Exception
dt
- Valuation DatemktParams
- Component Market Paramsjava.lang.Exception
- Thrown if the subsequent coupon rate cannot be calculatedpublic abstract double calcAccrued(double dblDate, ComponentMarketParams mktParams) throws java.lang.Exception
dblDate
- Valuation DatemktParams
- Bond market parametersjava.lang.Exception
- Thrown if accrual cannot be calculatedpublic abstract double calcPriceFromBumpedZC(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZCBump) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- ComponentMarketParamsquotingParams
- Quoting ParametersdblWorkoutDate
- Double Work-out datedblWorkoutFactor
- Double Work-out factordblZCBump
- Bump to be applied to the zero curvejava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcPriceFromBumpedDC(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDCBump) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- ComponentMarketParamsdblWorkoutDate
- Double Work-out datedblWorkoutFactor
- Double Work-out factordblDCBump
- Bump to be applied to the DCjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcPriceFromBumpedCC(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis, boolean bFlat) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- ComponentMarketParamsdblWorkoutDate
- Double Work-out datedblWorkoutFactor
- Double Work-out factordblCreditBasis
- Bump to be applied to the credit curvebFlat
- Is the CDS Curve flat (for PECS)java.lang.Exception
- Thrown if the bond's credit risky theoretical price cannot be calculatedpublic abstract double calcPriceFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcPriceFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcPriceFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcExercisePriceFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Exercise Yield inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcZSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcExerciseZSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcOASFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcOASFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcOASFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcExerciseOASFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcBondBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcExerciseBondBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcYieldSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcExerciseYieldSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcCreditBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcExerciseCreditBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcPECSFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcExercisePECSFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcTSYSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic abstract double calcTSYSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic abstract double calcTSYSpreadFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic abstract double calcExerciseTSYSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic abstract double calcGSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the G spread cannot be calculatedpublic abstract double calcGSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the G spread cannot be calculatedpublic abstract double calcGSpreadFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the G spread cannot be calculatedpublic abstract double calcExerciseGSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the G spread cannot be calculatedpublic abstract double calcISpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the I spread cannot be calculatedpublic abstract double calcISpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the I spread cannot be calculatedpublic abstract double calcISpreadFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the I spread cannot be calculatedpublic abstract double calcExerciseISpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the I spread cannot be calculatedpublic abstract double calcDiscountMarginFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcExerciseDiscountMarginFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDurationFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic abstract double calcDurationFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic abstract double calcDurationFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic abstract double calcExerciseDurationFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic abstract double calcParASWFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic abstract double calcParASWFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic abstract double calcParASWFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic abstract double calcExerciseParASWFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic abstract double calcConvexityFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcConvexityFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcConvexityFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcExerciseConvexityFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcYieldFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the yield to Work-out cannot be calculatedpublic abstract double calcYieldFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the yield to maturity cannot be calculatedpublic abstract double calcYTMFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the yield to maturity cannot be calculatedpublic abstract WorkoutInfo calcExerciseYieldFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice)
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the yield to exercise cannot be calculatedpublic abstract double calcZSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the z spread to Work-out cannot be calculatedpublic abstract double calcZSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the z spread to maturity cannot be calculatedpublic abstract double calcExerciseZSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the z spread to exercise cannot be calculatedpublic abstract double calcOASFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the Option Adjusted spread to Work-out cannot be calculatedpublic abstract double calcOASFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Option Adjusted spread to maturity cannot be calculatedpublic abstract double calcExerciseOASFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Option Adjusted spread to exercise cannot be calculatedpublic abstract double calcBondBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the Bond Basis to Work-out cannot be calculatedpublic abstract double calcBondBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Bond Basis to maturity cannot be calculatedpublic abstract double calcExerciseBondBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Bond Basis to exercise cannot be calculatedpublic abstract double calcYieldSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the Yield Spread to Work-out cannot be calculatedpublic abstract double calcYieldSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Yield Spread to maturity cannot be calculatedpublic abstract double calcExerciseYieldSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Yield Spread to exercise cannot be calculatedpublic abstract double calcCreditBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the credit basis to Work-out cannot be calculatedpublic abstract double calcCreditBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the credit basis to maturity cannot be calculatedpublic abstract double calcExerciseCreditBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the credit basis to exercise cannot be calculatedpublic abstract double calcPECSFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the PECS to Work-out cannot be calculatedpublic abstract double calcPECSFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the PECS to maturity cannot be calculatedpublic abstract double calcExercisePECSFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the PECS to exercise cannot be calculatedpublic abstract double calcTSYSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the spread to treasury to Work-out cannot be calculatedpublic abstract double calcTSYSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the spread to treasury to maturity cannot be calculatedpublic abstract double calcExerciseTSYSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the spread to treasury to exercise cannot be calculatedpublic abstract double calcGSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the G spread to Work-out cannot be calculatedpublic abstract double calcGSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the G spread to maturity cannot be calculatedpublic abstract double calcExerciseGSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the G spread to exercise cannot be calculatedpublic abstract double calcISpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the I spread to Work-out cannot be calculatedpublic abstract double calcISpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the I spread to maturity cannot be calculatedpublic abstract double calcExerciseISpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the I spread to exercise cannot be calculatedpublic abstract double calcDiscountMarginFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the Discount Margin to Work-out cannot be calculatedpublic abstract double calcDiscountMarginFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Discount Margin to maturity cannot be calculatedpublic abstract double calcExerciseDiscountMarginFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Discount Margin to exercise cannot be calculatedpublic abstract double calcDurationFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the duration to Work-out cannot be calculatedpublic abstract double calcDurationFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the duration to maturity cannot be calculatedpublic abstract double calcExerciseDurationFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the duration to exercise cannot be calculatedpublic abstract double calcParASWFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the par ASW to Work-out cannot be calculatedpublic abstract double calcParASWFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the par ASW to maturity cannot be calculatedpublic abstract double calcExerciseParASWFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the par ASW to exercise cannot be calculatedpublic abstract double calcConvexityFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the convexity to Work-out cannot be calculatedpublic abstract double calcConvexityFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the convexity to maturity cannot be calculatedpublic abstract double calcExerciseConvexityFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the convexity to exercise cannot be calculatedpublic abstract double calcPriceFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcPriceFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcExercisePriceFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcBondBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcExerciseBondBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcYieldSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcExerciseYieldSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcYieldFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcExerciseYieldFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcOASFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcOASFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcExerciseOASFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcCreditBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic abstract double calcCreditBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic abstract double calcExerciseCreditBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic abstract double calcPECSFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcExercisePECSFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcTSYSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic abstract double calcTSYSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic abstract double calcExerciseTSYSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic abstract double calcGSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcExerciseGSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcISpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcExerciseISpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcDiscountMarginFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcExerciseDiscountMarginFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcDurationFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic abstract double calcDurationFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic abstract double calcExerciseDurationFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic abstract double calcParASWFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic abstract double calcParASWFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic abstract double calcExerciseParASWFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic abstract double calcConvexityFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcConvexityFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcExerciseConvexityFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcPriceFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcPriceFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcExercisePriceFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcZSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Bond OASjava.lang.Exception
- Thrown if the z spread to Work-out cannot be calculatedpublic abstract double calcZSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Bond OAS inputjava.lang.Exception
- Thrown if the z spread to maturity cannot be calculatedpublic abstract double calcExerciseZSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Bond OAS Inputjava.lang.Exception
- Thrown if the z spread to exercise cannot be calculatedpublic abstract double calcBondBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcExerciseBondBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcYieldSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcExerciseYieldSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- OAS to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcYieldFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcExerciseYieldFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcCreditBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic abstract double calcCreditBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic abstract double calcExerciseCreditBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic abstract double calcPECSFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcExercisePECSFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcTSYSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic abstract double calcTSYSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic abstract double calcExerciseTSYSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic abstract double calcGSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcExerciseGSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcISpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcExerciseISpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcDiscountMarginFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcExerciseDiscountMarginFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDurationFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic abstract double calcDurationFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic abstract double calcExerciseDurationFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic abstract double calcParASWFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic abstract double calcParASWFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic abstract double calcExerciseParASWFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic abstract double calcConvexityFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcConvexityFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcExerciseConvexityFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcPriceFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcPriceFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcExercisePriceFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcZSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcExerciseZSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcOASFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcOASFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcExerciseOASFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcYieldFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcYieldFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcExerciseYieldFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcYieldSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcExerciseYieldSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcCreditBasisFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic abstract double calcCreditBasisFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic abstract double calcExerciseCreditBasisFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic abstract double calcPECSFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic abstract double calcPECSFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcExercisePECSFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcTSYSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic abstract double calcTSYSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic abstract double calcExerciseTSYSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic abstract double calcGSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcExerciseGSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcISpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcExerciseISpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcDiscountMarginFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcExerciseDiscountMarginFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDurationFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic abstract double calcDurationFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic abstract double calcExerciseDurationFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic abstract double calcParASWFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic abstract double calcParASWFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic abstract double calcExerciseParASWFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic abstract double calcConvexityFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcConvexityFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcExerciseConvexityFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic abstract double calcPriceFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcPriceFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcExercisePriceFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcZSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- YieldSpread to work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcExerciseZSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcOASFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcOASFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcExerciseOASFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcYieldFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcYieldFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcExerciseYieldFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcBondBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcExerciseBondBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcCreditBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic abstract double calcCreditBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic abstract double calcExerciseCreditBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic abstract double calcPECSFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcExercisePECSFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcTSYSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic abstract double calcTSYSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic abstract double calcExerciseTSYSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic abstract double calcGSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcExerciseGSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcISpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcExerciseISpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcDiscountMarginFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcExerciseDiscountMarginFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDurationFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic abstract double calcDurationFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic abstract double calcExerciseDurationFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic abstract double calcParASWFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic abstract double calcParASWFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic abstract double calcExerciseParASWFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic abstract double calcConvexityFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcConvexityFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcExerciseConvexityFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic abstract double calcPriceFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcPriceFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcExercisePriceFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcYieldFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcYieldFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcExerciseYieldFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcZSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcExerciseZSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcOASFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcOASFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcExerciseOASFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcBondBasisFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcExerciseBondBasisFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcYieldSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcExerciseYieldSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcTSYSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic abstract double calcTSYSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic abstract double calcExerciseTSYSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic abstract double calcGSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcExerciseGSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcISpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcExerciseISpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcDiscountMarginFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcExerciseDiscountMarginFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcPECSFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcExercisePECSFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcDurationFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic abstract double calcDurationFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic abstract double calcExerciseDurationFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic abstract double calcParASWFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic abstract double calcParASWFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic abstract double calcExerciseParASWFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic abstract double calcConvexityFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcConvexityFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcExerciseConvexityFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcPriceFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Price cannot be calculatedpublic abstract double calcPriceFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Price cannot be calculatedpublic abstract double calcExercisePriceFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Price cannot be calculatedpublic abstract double calcYieldFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Yield cannot be calculatedpublic abstract double calcYieldFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Yield cannot be calculatedpublic abstract double calcExerciseYieldFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Yield cannot be calculatedpublic abstract double calcZSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcExerciseZSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcOASFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcOASFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcExerciseOASFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcBondBasisFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcExerciseBondBasisFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcYieldSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcExerciseYieldSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcTSYSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic abstract double calcTSYSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic abstract double calcExerciseTSYSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic abstract double calcGSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcExerciseGSpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcISpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcExerciseISpreadFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcDiscountMarginFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcExerciseDiscountMarginFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcCreditBasisFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcExerciseCreditBasisFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcDurationFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic abstract double calcDurationFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic abstract double calcExerciseDurationFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic abstract double calcParASWFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic abstract double calcParASWFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic abstract double calcExerciseParASWFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic abstract double calcConvexityFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPECS
- PECS to Work-out inputjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic abstract double calcConvexityFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblPECS
- PECS to Maturity inputjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic abstract double calcExerciseConvexityFromPECS(ValuationParams valParams, ComponentMarketParams mktParams, double dblPECS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblPECS
- PECS to Exercise inputjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic abstract double calcPriceFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcPriceFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcExercisePriceFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcYieldFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcYieldFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcExerciseYieldFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcZSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcExerciseZSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcOASFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcOASFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcExerciseOASFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcBondBasisFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcExerciseBondBasisFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcYieldSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcExerciseYieldSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcCreditBasisFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcExerciseCreditBasisFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcPECSFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcExercisePECSFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcGSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcExerciseGSpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcISpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcExerciseISpreadFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcDiscountMarginFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcExerciseDiscountMarginFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDurationFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic abstract double calcDurationFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic abstract double calcExerciseDurationFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic abstract double calcParASWFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic abstract double calcParASWFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic abstract double calcExerciseParASWFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic abstract double calcConvexityFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblTSYSpread
- The spread treasury benchmark to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcConvexityFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcExerciseConvexityFromTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblTSYSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblTSYSpread
- The spread treasury benchmark to Exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcPriceFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The G Spread to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcPriceFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcExercisePriceFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcYieldFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The G Spread to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcYieldFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblGSpread
- The G Spread to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcExerciseYieldFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblGSpread
- The G Spread to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcZSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The G Spread to Work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcExerciseZSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcOASFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The G Spread to Work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcOASFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcExerciseOASFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcBondBasisFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The G Spread to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcExerciseBondBasisFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcYieldSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The G Spread to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcExerciseYieldSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcCreditBasisFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The Credit Basis to Work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcCreditBasisFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The Credit Basis to Maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcExerciseCreditBasisFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The Credit Basis to Exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcPECSFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The PECS to Work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcPECSFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcExercisePECSFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The G Spread to Exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcTSYSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The Credit Basis to Work-out inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic abstract double calcTSYSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblGSpread
- The Credit Basis to Maturity inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic abstract double calcExerciseTSYSpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblGSpread
- The Credit Basis to Exercise inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic abstract double calcISpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The Credit Basis to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblGSpread
- The Credit Basis to Maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcExerciseISpreadFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblGSpread
- The Credit Basis to Exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcDiscountMarginFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The Credit Basis to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblGSpread
- The Credit Basis to Maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcExerciseDiscountMarginFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblGSpread
- The Credit Basis to Exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDurationFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The Credit Basis to Work-out inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic abstract double calcDurationFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The Credit Basis to Maturity inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic abstract double calcExerciseDurationFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The Credit Basis to Exercise inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic abstract double calcParASWFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The Credit Basis to Work-out inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic abstract double calcParASWFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The Credit Basis to Maturity inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic abstract double calcExerciseParASWFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The Credit Basis to Exercise inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic abstract double calcConvexityFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblGSpread
- The Credit Basis to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcConvexityFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The Credit Basis to Maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcExerciseConvexityFromGSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblGSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblGSpread
- The Credit Basis to Exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcPriceFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcPriceFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcExercisePriceFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcYieldFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcYieldFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcExerciseYieldFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcZSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcExerciseZSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcOASFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcOASFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcExerciseOASFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcBondBasisFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcExerciseBondBasisFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcYieldSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcExerciseYieldSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcCreditBasisFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcExerciseCreditBasisFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcPECSFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcExercisePECSFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcTSYSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic abstract double calcTSYSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic abstract double calcExerciseTSYSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic abstract double calcGSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcExerciseGSpreadFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcDurationFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic abstract double calcDurationFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic abstract double calcExerciseDurationFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic abstract double calcParASWFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic abstract double calcParASWFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic abstract double calcExerciseParASWFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic abstract double calcConvexityFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblISpread
- The I Spread to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcConvexityFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcExerciseConvexityFromISpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblISpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblISpread
- The I Spread to Exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcPriceFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcPriceFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcExercisePriceFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcYieldFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcYieldFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcExerciseYieldFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcZSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcExerciseZSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcOASFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcOASFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcExerciseOASFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcBondBasisFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcExerciseBondBasisFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcYieldSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcExerciseYieldSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcCreditBasisFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcExerciseCreditBasisFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcPECSFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcExercisePECSFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcTSYSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic abstract double calcTSYSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic abstract double calcExerciseTSYSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the Spread to Treasury cannot be calculatedpublic abstract double calcGSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcExerciseGSpreadFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcDurationFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic abstract double calcDurationFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic abstract double calcExerciseDurationFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic abstract double calcParASWFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic abstract double calcParASWFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic abstract double calcExerciseParASWFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic abstract double calcConvexityFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblDiscountMargin
- The Discount Margin to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcConvexityFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcExerciseConvexityFromDiscountMargin(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblDiscountMargin) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblDiscountMargin
- The Discount Margin to Exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcPriceFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcPriceFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcExercisePriceFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic abstract double calcYieldFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcYieldFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcExerciseYieldFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic abstract double calcZSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcZSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcExerciseZSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic abstract double calcOASFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcOASFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcExerciseOASFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic abstract double calcBondBasisFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcBondBasisFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcExerciseBondBasisFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic abstract double calcYieldSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcYieldSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcExerciseYieldSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic abstract double calcCreditBasisFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcCreditBasisFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcExerciseCreditBasisFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic abstract double calcPECSFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcPECSFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcExercisePECSFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic abstract double calcTSYSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the Spread to Treasury Benchmark cannot be calculatedpublic abstract double calcTSYSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the Spread to Treasury Benchmark cannot be calculatedpublic abstract double calcExerciseTSYSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the Spread to Treasury Benchmark cannot be calculatedpublic abstract double calcGSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcGSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcExerciseGSpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic abstract double calcISpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcISpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcExerciseISpreadFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic abstract double calcDiscountMarginFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDiscountMarginFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcExerciseDiscountMarginFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic abstract double calcDurationFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic abstract double calcDurationFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic abstract double calcExerciseDurationFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the Duration cannot be calculatedpublic abstract double calcConvexityFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblParASW
- The Par ASW to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcConvexityFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract double calcExerciseConvexityFromParASW(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblParASW) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblParASW
- The Par ASW to Exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic abstract BondRVMeasures standardMeasures(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams, WorkoutInfo wi, double dblPrice)
valParams
- ValuationParamspricerParams
- Pricing ParametersmktParams
- Bond market parametersquotingParams
- Bond Quoting parameterswi
- Work out InformationdblPrice
- Input Pricepublic abstract void showPeriods() throws java.lang.Exception
java.lang.Exception
- Thrown if the coupon periods cannot be displayed onto stdout