Modifier and Type | Method and Description |
---|---|
CalibratableComponent[] |
Curve.calibComp()
Retrieve the Calibration Components
|
CalibratableComponent[] |
CreditCurve.calibComp() |
CalibratableComponent[] |
CurveSpanConstructionInput.getComponent() |
CalibratableComponent[] |
CurveConstructionInputSet.getComponent()
Retrieve the Array of the Calibration Components
|
CalibratableComponent[] |
BootCurveConstructionInput.getComponent() |
Modifier and Type | Method and Description |
---|---|
static BootCurveConstructionInput |
BootCurveConstructionInput.Create(ValuationParams valParam,
QuotingParams quotingParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing)
Create an Instance of BootCurveConstructionInput from the given Calibration Inputs
|
void |
CreditCurve.setInstrCalibInputs(ValuationParams valParam,
boolean bFlat,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
PricerParams pricerParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams)
Set the calibration inputs for the CreditCurve
|
Constructor and Description |
---|
BootCurveConstructionInput(ValuationParams valParam,
QuotingParams quotingParam,
CalibratableComponent[] aCalibInst,
CaseInsensitiveTreeMap<java.lang.Double> mapQuote,
CaseInsensitiveTreeMap<java.lang.String> mapMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing)
BootCurveConstructionInput constructor
|
Modifier and Type | Method and Description |
---|---|
CalibratableComponent[] |
ForwardCurve.calibComp() |
CalibratableComponent[] |
ExplicitBootDiscountCurve.calibComp() |
Modifier and Type | Method and Description |
---|---|
static ScenarioCreditCurve |
CreditScenarioCurveBuilder.CreateCCSC(CalibratableComponent[] aCalibInst)
Create CreditScenarioCurve from the array of calibration instruments
|
static CreditCurve |
CreditScenarioCurveBuilder.CreateCreditCurve(java.lang.String strName,
JulianDate dt,
CalibratableComponent[] aCalibInst,
DiscountCurve dc,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
double dblRecovery,
boolean bFlat)
Calibrate the base credit curve from the input credit instruments, measures, and the quotes
|
static DiscountCurve |
RatesScenarioCurveBuilder.CubicKLKHyperbolicDFRateShapePreserver(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
boolean bZeroSmooth)
Construct an instance of the Shape Preserver of the KLK Hyperbolic Tension Type, using the specified
basis set builder parameters.
|
static DiscountCurve |
RatesScenarioCurveBuilder.CubicKLKHyperbolicDFRateShapePreserver(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
boolean bZeroSmooth)
Construct an instance of the Shape Preserver of the KLK Hyperbolic Tension Type, using the specified
basis set builder parameters.
|
static DiscountCurve |
RatesScenarioCurveBuilder.CubicPolyDFRateShapePreserver(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
boolean bZeroSmooth)
Construct an instance of the Shape Preserver of the Cubic Polynomial Type, using the specified
basis set builder parameters.
|
static DiscountCurve |
RatesScenarioCurveBuilder.CubicPolyDFRateShapePreserver(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
boolean bZeroSmooth)
Construct an instance of the Shape Preserver of the Cubic Polynomial Type, using the specified
basis set builder parameters.
|
static DiscountCurve |
RatesScenarioCurveBuilder.CustomDENSE(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
java.lang.String strTenor1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
java.lang.String strTenor2,
TurnListDiscountFactor tldf)
Customizable DENSE Curve Creation Methodology - the references are:
- Sankar, L.
|
static DiscountCurve |
RatesScenarioCurveBuilder.CustomDENSE(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
java.lang.String strTenor1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
java.lang.String strTenor2,
TurnListDiscountFactor tldf)
Customizable DENSE Curve Creation Methodology - the references are:
- Sankar, L.
|
static DiscountCurve |
RatesScenarioCurveBuilder.DENSE(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
TurnListDiscountFactor tldf)
The Standard DENSE Curve Creation Methodology - this uses no re-construction set for the short term,
and uses 3M dense re-construction for the Swap Set.
|
static DiscountCurve |
RatesScenarioCurveBuilder.DENSE(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
TurnListDiscountFactor tldf)
The Standard DENSE Curve Creation Methodology - this uses no re-construction set for the short term,
and uses 3M dense re-construction for the Swap Set.
|
static DiscountCurve |
RatesScenarioCurveBuilder.DFRateShapePreserver(java.lang.String strName,
ValuationParams valParams,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam,
java.lang.String strBasisType,
FunctionSetBuilderParams fsbp,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
double dblEpochResponse,
boolean bZeroSmooth)
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
|
static DiscountCurve |
RatesScenarioCurveBuilder.DFRateShapePreserver(java.lang.String strName,
ValuationParams valParams,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam,
java.lang.String strBasisType,
FunctionSetBuilderParams fsbp,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
double dblEpochResponse,
boolean bZeroSmooth)
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
|
static DiscountCurve |
RatesScenarioCurveBuilder.DUALDENSE(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
java.lang.String strTenor1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
java.lang.String strTenor2,
TurnListDiscountFactor tldf)
The DUAL DENSE Curve Creation Methodology - this uses configurable re-construction set for the short
term, and another configurable re-construction for the Swap Set.
|
static DiscountCurve |
RatesScenarioCurveBuilder.DUALDENSE(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
java.lang.String strTenor1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
java.lang.String strTenor2,
TurnListDiscountFactor tldf)
The DUAL DENSE Curve Creation Methodology - this uses configurable re-construction set for the short
term, and another configurable re-construction for the Swap Set.
|
static DiscountCurve |
RatesScenarioCurveBuilder.ForwardRateShapePreserver(java.lang.String strName,
ValuationParams valParams,
java.lang.String strBasisType,
FunctionSetBuilderParams fsbp,
CalibratableComponent[] aCalibComp,
double[] adblQuote)
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
|
static ScenarioDiscountCurve |
RatesScenarioCurveBuilder.FromIRCSG(java.lang.String strCurrency,
java.lang.String strBootstrapMode,
CalibratableComponent[] aCalibInst)
Create an RatesScenarioCurve Instance from the currency and the array of the calibration
instruments
|
static DiscountCurve |
RatesScenarioCurveBuilder.NonlinearBuild(JulianDate dt,
java.lang.String strCurrency,
java.lang.String strBootstrapMode,
CalibratableComponent[] aCalibInst,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Create Discount Curve from the Rates Calibration Instruments
|
static ForwardCurve |
RatesScenarioCurveBuilder.ShapePreservingForwardCurve(java.lang.String strName,
FloatingRateIndex fri,
ValuationParams valParams,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam,
java.lang.String strBasisType,
FunctionSetBuilderParams fsbp,
CalibratableComponent[] aCalibComp,
double[] adblQuote,
double dblEpochResponse)
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
|
Constructor and Description |
---|
CreditCurveScenarioContainer(CalibratableComponent[] aCalibInst,
double dblCouponBump,
double dblRecoveryBump)
Construct CreditCurveScenarioContainer from the array of calibration instruments, the coupon bump
parameter, and the recovery bump parameter
|
Modifier and Type | Class and Description |
---|---|
class |
BondComponent
BondComponent is the base class that extends CreditComponent abstract class and implements the functionality behind
bonds of all kinds.
|
class |
CDSComponent
CDSComponent implements the credit default swap product contract details.
|
Modifier and Type | Class and Description |
---|---|
class |
Bond
Bond abstract class implements the pricing, the valuation, and the RV analytics functionality for the bond
product.
|
class |
CreditComponent
CreditComponent is the base abstract class on top of which all credit components are implemented.
|
class |
CreditDefaultSwap
CreditDefaultSwap is the base abstract class implements the pricing, the valuation, and the RV analytics
functionality for the CDS product.
|
class |
RatesComponent
RatesComponent is the abstract class that extends CalibratableComponent on top of which all rates
components are implemented.
|
Modifier and Type | Class and Description |
---|---|
class |
CashComponent
CashComponent contains the implementation of the Cash IR product and its contract/valuation details.
|
class |
EDFComponent
EDFComponent contains the implementation of the Euro-dollar future contract/valuation (EDF).
|
class |
FixedStream
FixedStream contains an implementation of the Fixed leg cash flow stream.
|
class |
FloatFloatComponent
FloatFloatComponent contains the implementation of the Float-Float Index Basis Swap product
contract/valuation details.
|
class |
FloatingStream
FloatingStream contains an implementation of the Floating leg cash flow stream.
|
class |
IRSComponent
IRSComponent contains the implementation of the Interest Rate Swap product contract/valuation details.
|
Modifier and Type | Method and Description |
---|---|
CalibratableComponent[] |
ZeroRateDiscountCurve.calibComp() |
CalibratableComponent[] |
DiscountFactorDiscountCurve.calibComp() |
CalibratableComponent[] |
DerivedZeroRate.calibComp() |
CalibratableComponent[] |
DerivedFXForward.calibComp() |
CalibratableComponent[] |
DerivedFXBasis.calibComp() |
Modifier and Type | Method and Description |
---|---|
CalibratableComponent[] |
StretchRepresentationSpec.getCalibComp()
Retrieve the Array of the Calibratable Components
|
CalibratableComponent |
StretchRepresentationSpec.getCalibComp(int iIndex)
Retrieve the Calibration Component corresponding to the given Instrument index
|
Modifier and Type | Method and Description |
---|---|
static StretchRepresentationSpec |
StretchRepresentationSpec.CreateStretchBuilderSet(java.lang.String strName,
java.lang.String strLatentStateID,
java.lang.String strLatentStateQuantificationMetric,
CalibratableComponent[] aCalibComp,
java.lang.String strManifestMeasure,
double[] adblQuote,
TurnListDiscountFactor tldf)
Make a StretchRepresentationSpec instance from the given components, quotes, and the measure.
|
Constructor and Description |
---|
CreditCurveScenarioGenerator(CalibratableComponent[] aCalibInst)
Construct a CreditCurveScenarioGenerator instance from the calibratable instrument array
|
RatesCurveScenarioGenerator(java.lang.String strCurrency,
java.lang.String strBootstrapMode,
CalibratableComponent[] aCalibInst)
Construct a RatesCurveScenarioGenerator instance from the calibratable instrument array
|
StretchRepresentationSpec(java.lang.String strName,
java.lang.String strLatentStateID,
java.lang.String strLatentStateQuantificationMetric,
CalibratableComponent[] aCalibComp,
java.lang.String[] astrManifestMeasure,
double[] adblQuote,
TurnListDiscountFactor tldf)
StretchRepresentationSpec constructor
|