Package | Description |
---|---|
org.drip.analytics.period | |
org.drip.analytics.support |
Modifier and Type | Class and Description |
---|---|
class |
CouponPeriod
CouponPeriod extends the period class with the following coupon day-count specific parameters: frequency,
reset date, and accrual day-count convention.
|
class |
CouponPeriodCurveFactors
CouponPeriodCurveFactors is an enhancement of the period class using the following period measures: start/end survival
probabilities, start/end notionals, and period start/end discount factor
|
class |
LossPeriodCurveFactors
LossPeriodCurveFactors is an implementation of the period class enhanced by the following period measures:
start/end survival probabilities, period effective notional/recovery/discount factor
|
Modifier and Type | Method and Description |
---|---|
int |
Period.compareTo(Period periodOther) |
Modifier and Type | Method and Description |
---|---|
static java.util.List<LossPeriodCurveFactors> |
AnalyticsHelper.GenerateLossPeriods(CreditComponent comp,
ValuationParams valParams,
PricerParams pricerParams,
Period period,
double dblWorkoutDate,
ComponentMarketParams mktParams)
Creates a set of loss period measures
|