Package | Description |
---|---|
org.drip.analytics.period | |
org.drip.analytics.support | |
org.drip.product.credit | |
org.drip.product.definition |
Modifier and Type | Method and Description |
---|---|
static LossPeriodCurveFactors |
LossPeriodCurveFactors.MakeDefaultPeriod(double dblStart,
double dblEnd,
double dblEffectiveDCF,
double dblEffectiveNotional,
DiscountCurve dc,
CreditCurve cc,
int iDefaultLag)
Creates a LossPeriodCurveFactors instance from the period dates and the curve measures
|
static LossPeriodCurveFactors |
LossPeriodCurveFactors.MakeDefaultPeriod(double dblStart,
double dblEnd,
double dblEffectiveDCF,
double dblEffectiveNotional,
double dblEffectiveRecovery,
DiscountCurve dc,
CreditCurve cc,
int iDefaultLag)
Creates an instance of the LossPeriodCurveFactors class using the period's dates and curves to
generate the curve measures
|
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
|
Modifier and Type | Method and Description |
---|---|
java.util.List<LossPeriodCurveFactors> |
CDSComponent.getLossFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams) |
java.util.List<LossPeriodCurveFactors> |
BondComponent.getLossFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams) |
java.util.List<LossPeriodCurveFactors> |
BondComponent.getLossFlowFromPrice(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice) |
Modifier and Type | Method and Description |
---|---|
abstract java.util.List<LossPeriodCurveFactors> |
CreditComponent.getLossFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams)
Generates the loss flow for the credit component based on the pricer parameters
|
abstract java.util.List<LossPeriodCurveFactors> |
Bond.getLossFlowFromPrice(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Gets the bond's loss flow from price
|