Modifier and Type | Method and Description |
---|---|
WengertJacobian |
DiscountCurve.compPVDFJack(double dblDate)
Calculate the Jacobian of PV at the given date for each component in the calibration set to the DF
|
WengertJacobian |
DiscountCurve.compPVDFJack(JulianDate dt)
Calculate the Jacobian of PV at the given date for each component in the calibration set to the DF
|
WengertJacobian |
DiscountCurve.getForwardRateJack(double dblDate1,
double dblDate2)
Retrieve the Jacobian for the Forward Rate between the given dates
|
WengertJacobian |
DiscountCurve.getForwardRateJack(JulianDate dt1,
JulianDate dt2)
Retrieve the Jacobian for the Forward Rate between the given dates
|
WengertJacobian |
DiscountCurve.getZeroRateJack(double dblDate)
Retrieve the Jacobian for the Zero Rate to the given date
|
WengertJacobian |
DiscountCurve.getZeroRateJack(JulianDate dt)
Retrieve the Jacobian for the Zero Rate to the given date
|
abstract WengertJacobian |
DiscountCurve.jackDDFDQuote(double dblDate)
Retrieve the Quote Jacobian of the Discount Factor to the given date
|
WengertJacobian |
DiscountCurve.jackDDFDQuote(JulianDate dt)
Retrieve the Quote Jacobian of the Discount Factor to the given date
|
WengertJacobian |
DiscountCurve.jackDDFDQuote(java.lang.String strTenor)
Retrieve the Quote Jacobian of the Discount Factor to the date implied by the given Tenor
|
Modifier and Type | Method and Description |
---|---|
WengertJacobian |
CDSComponent.calcPVDFMicroJack(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
WengertJacobian |
BondComponent.calcPVDFMicroJack(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
WengertJacobian |
CDSComponent.calcQuoteDFMicroJack(java.lang.String strQuote,
ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
WengertJacobian |
BondComponent.calcQuoteDFMicroJack(java.lang.String strQuote,
ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams) |
Modifier and Type | Method and Description |
---|---|
abstract WengertJacobian |
CalibratableComponent.calcPVDFMicroJack(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Compute the micro-Jacobian of the PV to the DF
|
abstract WengertJacobian |
CalibratableComponent.calcQuoteDFMicroJack(java.lang.String strQuote,
ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Compute the micro-Jacobian of the given measure to the DF
|
Modifier and Type | Method and Description |
---|---|
boolean |
WengertJacobian.cumulativeMerge(WengertJacobian wjOther)
Accumulate and merge partial entries from the other CurveWengertJacobian
|
Modifier and Type | Method and Description |
---|---|
static WengertJacobian |
CollectionUtil.AppendWengert(java.util.List<WengertJacobian> lsWJ)
Append the Wengert Jacobians inside the list onto one single composite
|
Modifier and Type | Method and Description |
---|---|
static WengertJacobian |
CollectionUtil.AppendWengert(java.util.List<WengertJacobian> lsWJ)
Append the Wengert Jacobians inside the list onto one single composite
|
Modifier and Type | Method and Description |
---|---|
WengertJacobian |
Span.jackDResponseDQuote(double dblPredictorOrdinate,
int iOrder)
Calculate the Response Derivative to the Quote at the specified Ordinate
|
WengertJacobian |
OverlappingStretchSpan.jackDResponseDQuote(double dblPredictorOrdinate,
int iOrder) |
Modifier and Type | Method and Description |
---|---|
WengertJacobian |
ConstitutiveState.jackDCoeffDEdgeInputs()
Calculate the Jacobian of the Segment's Response Basis Function Coefficients to the Edge Inputs
|
WengertJacobian |
ConstitutiveState.jackDCoeffDEdgeParams(ConstitutiveState csPrev,
double dblRightStateValue,
double dblRightStateQuoteSensitivity,
SegmentBestFitResponse sbfrState,
SegmentBestFitResponse sbfrQuoteSensitivity)
Calibrate the coefficients from the prior Segment and the Response Value at the Right Predictor
Ordinate and calculate the Jacobian of the Segment's Response Basis Function Coefficients to the Edge
Parameters
|
WengertJacobian |
ConstitutiveState.jackDCoeffDEdgeParams(double[] adblPredictorOrdinate,
double[] adblResponseValue,
double[] adblLeftEdgeDeriv,
double[] adblRightEdgeDeriv,
SegmentBasisFlexureConstraint[] aSIBC,
SegmentBestFitResponse sbfr)
Calibrate the segment and calculate the Jacobian of the Segment's Response Basis Function Coefficients
to the Edge Parameters
|
WengertJacobian |
ConstitutiveState.jackDCoeffDEdgeParams(double dblLeftValue,
double dblLeftQuoteSensitivity,
double dblLeftSlope,
double dblLeftSlopeQuoteSensitivity,
double dblRightValue,
double dblRightQuoteSensitivity,
SegmentBestFitResponse sbfrState,
SegmentBestFitResponse sbfrQuoteSensitivity)
Calibrate the Coefficients from the Edge Response Values and the Left Edge Response Value Slope and
calculate the Jacobian of the Segment's Response Basis Function Coefficients to the Edge Parameters
|
WengertJacobian |
ConstitutiveState.jackDResponseDBasisCoeff(double dblPredictorOrdinate,
int iOrder)
Calculate the Jacobian of the Response to the Basis Coefficients at the given Predictor Ordinate
|
WengertJacobian |
ConstitutiveState.jackDResponseDEdgeInputs(double dblPredictorOrdinate,
int iOrder)
Calculate the Jacobian of the Response to the Edge Inputs at the given Predictor Ordinate
|
Modifier and Type | Method and Description |
---|---|
WengertJacobian |
SingleSegmentSequence.jackDResponseDCalibrationInput(double dblPredictorOrdinate,
int iOrder)
Calculate the Response Derivative to the Calibration Inputs at the specified Ordinate
|
WengertJacobian |
SingleSegmentLagrangePolynomial.jackDResponseDCalibrationInput(double dblPredictorOrdinate,
int iOrder) |
WengertJacobian |
CalibratableMultiSegmentSequence.jackDResponseDCalibrationInput(double dblPredictorOrdinate,
int iOrder) |
WengertJacobian |
SingleSegmentSequence.jackDResponseDQuote(double dblPredictorOrdinate,
int iOrder)
Calculate the Response Derivative to the Quote at the specified Ordinate
|
WengertJacobian |
SingleSegmentLagrangePolynomial.jackDResponseDQuote(double dblPredictorOrdinate,
int iOrder) |
WengertJacobian |
CalibratableMultiSegmentSequence.jackDResponseDQuote(double dblPredictorOrdinate,
int iOrder) |
Modifier and Type | Method and Description |
---|---|
WengertJacobian |
ZeroRateDiscountCurve.jackDDFDQuote(double dblDate) |
WengertJacobian |
NonlinearDiscountFactorDiscountCurve.jackDDFDQuote(double dblDate) |
WengertJacobian |
FlatForwardDiscountCurve.jackDDFDQuote(double dblDate) |
WengertJacobian |
DiscountFactorDiscountCurve.jackDDFDQuote(double dblDate) |
WengertJacobian |
DerivedZeroRate.jackDDFDQuote(double dblDate) |