Constructor and Description |
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CreditCurveScenarioGenerator(CalibratableComponent[] aCalibInst)
Constructs a CreditCurveScenarioGenerator instance from the calibratable instrument array
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RatesCurveScenarioGenerator(java.lang.String strCurrency,
java.lang.String strBootstrapMode,
CalibratableComponent[] aCalibInst)
Constructs a CreditCurveScenarioGenerator instance from the calibratable instrument array
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Modifier and Type | Method and Description |
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CalibratableComponent[] |
PolynomialSplineDF.getCalibComponents() |
CalibratableComponent[] |
PolynomialForwardRate.getCalibComponents() |
CalibratableComponent[] |
HyperbolicTensionForwardRate.getCalibComponents() |
CalibratableComponent[] |
DerivedZeroRate.getCalibComponents() |
CalibratableComponent[] |
DerivedFXForward.getCalibComponents() |
CalibratableComponent[] |
DerivedFXBasis.getCalibComponents() |
CalibratableComponent[] |
ConstantForwardRate.getCalibComponents() |
CalibratableComponent[] |
ConstantForwardHazard.getCalibComponents() |
Modifier and Type | Method and Description |
---|---|
void |
ConstantForwardHazard.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) |
void |
PolynomialSplineDF.setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams) |
void |
PolynomialForwardRate.setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams) |
void |
HyperbolicTensionForwardRate.setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams) |
void |
DerivedZeroRate.setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams) |
void |
ConstantForwardRate.setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams) |
Modifier and Type | Method and Description |
---|---|
CalibratableComponent[] |
Curve.getCalibComponents()
Retrieve all the calibration components
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Modifier and Type | Method and Description |
---|---|
abstract 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)
Sets the calibration inputs for the CreditCurve
|
abstract void |
DiscountCurve.setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams)
Set the calibration inputs
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Modifier and Type | Method and Description |
---|---|
static CreditScenarioCurve |
CreditScenarioCurveBuilder.CreateCCSC(CalibratableComponent[] aCalibInst)
Creates 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)
Calibrates the base credit curve from the input credit instruments, measures, and the quotes
|
static DiscountCurve |
RatesScenarioCurveBuilder.CreateDiscountCurve(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)
Creates Discount Curve from the Rates Calibration Instruments
|
static RatesScenarioCurve |
RatesScenarioCurveBuilder.FromIRCSG(java.lang.String strCurrency,
java.lang.String strBootstrapMode,
CalibratableComponent[] aCalibInst)
Creates an RatesScenarioCurve Instance from the currency and the array of the calibration
instruments
|
Constructor and Description |
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CreditCurveScenarioContainer(CalibratableComponent[] aCalibInst,
double dblCouponBump,
double dblRecoveryBump)
Constructs CreditCurveScenarioContainer from the array of calibration instruments, the coupon bump
parameter, and the recovery bump parameter
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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.
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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 |
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.
|