Modifier and Type | Method and Description |
---|---|
PricerParams |
CurveSpanConstructionInput.getPricerParameter()
Retrieve the Pricer Parameters
|
Modifier and Type | Method and Description |
---|---|
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 |
---|
CurveSpanConstructionInput(StretchRepresentationSpec[] aSRS,
ValuationParams valParam,
PricerParams pricerParam,
QuotingParams quotingParam,
ComponentMarketParams cmp)
CurveSpanConstructionInput constructor
|
ShapePreservingCCIS(LinearCurveCalibrator lccShapePreserving,
StretchRepresentationSpec[] aSRS,
ValuationParams valParam,
PricerParams pricerParam,
QuotingParams quotingParam,
ComponentMarketParams cmp)
ShapePreservingCCIS constructor
|
Constructor and Description |
---|
SmoothingCCIS(DiscountCurve dcShapePreserver,
SmoothingCurveStretchParams scsp,
LinearCurveCalibrator lccShapePreserving,
StretchRepresentationSpec[] aRBS,
ValuationParams valParam,
PricerParams pricerParam,
QuotingParams quotingParam,
ComponentMarketParams cmp)
SmoothingCCIS constructor
|
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)
Create a set of loss period measures
|
Modifier and Type | Method and Description |
---|---|
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.ShapePreservingDFBuild(LinearCurveCalibrator lcc,
StretchRepresentationSpec[] aSRS,
ValuationParams valParam,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam,
double dblEpochResponse)
Build the Shape Preserving Discount Curve using the Custom Parameters
|
static ForwardCurve |
RatesScenarioCurveBuilder.ShapePreservingForwardCurve(LinearCurveCalibrator lcc,
StretchRepresentationSpec[] aSRS,
FloatingRateIndex fri,
ValuationParams valParam,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam,
double dblEpochResponse)
Build the Shape Preserving Forward Curve using the Custom Parameters
|
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.
|
static DiscountCurve |
RatesScenarioCurveBuilder.SmoothingGlobalControlBuild(DiscountCurve dcShapePreserver,
LinearCurveCalibrator lcc,
GlobalControlCurveParams gccp,
StretchRepresentationSpec[] aSRS,
ValuationParams valParam,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam)
Build a Globally Smoothed Instance of the Discount Curve using the Custom Parameters
|
static DiscountCurve |
RatesScenarioCurveBuilder.SmoothingLocalControlBuild(DiscountCurve dcShapePreserver,
LinearCurveCalibrator lcc,
LocalControlCurveParams lccp,
StretchRepresentationSpec[] aSRS,
ValuationParams valParam,
PricerParams pricerParam,
ComponentMarketParams cmp,
QuotingParams quotingParam)
Build a Locally Smoothed Instance of the Discount Curve using the Custom Parameters
|
Modifier and Type | Method and Description |
---|---|
static PricerParams |
PricerParams.MakeStdPricerParams()
Create the standard pricer parameters object instance
|
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveTreeMap<java.lang.Double> |
Component.calcCustomScenarioMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
java.lang.String strCustomScenName,
QuotingParams quotingParams,
CaseInsensitiveTreeMap<java.lang.Double> mapBaseOP)
Generate a full list of custom measures for the set of scenario market parameters present in
the org.drip.param.definition.MarketParams
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketProduct.calcCustomScenarioMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
java.lang.String strCustomScenName,
QuotingParams quotingParams,
CaseInsensitiveTreeMap<java.lang.Double> mapBase)
Compute Basket's Custom Scenario Measures
|
ComponentMeasures |
Component.calcMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
QuotingParams quotingParams)
Generate a full list of the component measures for the set of scenario market parameters present in
the org.drip.param.definition.MarketParams
|
BasketMeasures |
BasketProduct.calcMeasures(ValuationParams valParams,
PricerParams pricerParams,
MarketParams mpc,
QuotingParams quotingParams)
Generate a full list of the basket product measures for the set of scenario market parameters present
in the org.drip.param.definition.MarketParams
|
double |
BasketProduct.calcMeasureValue(ValuationParams valParams,
PricerParams pricerParams,
BasketMarketParams bmp,
QuotingParams quotingParams,
java.lang.String strMeasure)
Calculate the value of the given basket product measure
|
double |
Component.calcMeasureValue(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
java.lang.String strMeasure)
Calculate the value of the given component measure
|
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
|
abstract double |
CreditDefaultSwap.calibFlatSpread(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Calibrate the CDS's flat spread from the calculated up-front points
|
abstract PredictorResponseWeightConstraint |
CalibratableComponent.generateCalibPRLC(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
LatentStateMetricMeasure lsmm)
Generate the Calibratable Linearized Predictor/Response Constraints for the Component from the Market
Inputs.
|
abstract java.util.List<CashflowPeriodCurveFactors> |
CreditComponent.getCouponFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams)
Get the coupon flow for the credit component
|
abstract java.util.List<LossPeriodCurveFactors> |
CreditComponent.getLossFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams)
Generate 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)
Get the bond's loss flow from price
|
abstract BondRVMeasures |
Bond.standardMeasures(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
WorkoutInfo wi,
double dblPrice)
Calculate the full set of Bond RV Measures from the Price Input
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketProduct.value(ValuationParams valParams,
PricerParams pricerParams,
BasketMarketParams bmp,
QuotingParams quotingParams)
Generate a full list of the basket product measures for the full input set of market parameters
|
abstract CaseInsensitiveTreeMap<java.lang.Double> |
Component.value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Generate a full list of the component measures for the full input set of market parameters
|
abstract CaseInsensitiveTreeMap<java.lang.Double> |
CreditDefaultSwap.valueFromQuotedSpread(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblFixCoupon,
double dblQuotedSpread)
Value the CDS from the Quoted Spread
|
Modifier and Type | Method and Description |
---|---|
PricerParams |
CreditAnalyticsRequest.getPricerParams()
Retrieve the Pricer Parameters
|
Constructor and Description |
---|
CreditAnalyticsRequest(Component comp,
ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams cmp,
QuotingParams quotingParams)
CreditAnalyticsRequest constructor
|
Modifier and Type | Method and Description |
---|---|
boolean |
NonlinearCurveCalibrator.bootstrapHazardRate(ExplicitBootCreditCurve cc,
Component comp,
int iInstr,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
PricerParams pricerParamsIn,
java.lang.String strMeasure,
double dblCalibValue,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Calibrate a single Hazard Rate Node from the corresponding Component
|
OverlappingStretchSpan |
LinearCurveCalibrator.calibrateSpan(StretchRepresentationSpec[] aSRS,
double dblEpochResponse,
ValuationParams valParams,
PricerParams pricerParams,
QuotingParams quotingParams,
ComponentMarketParams cmp)
Calibrate the Span from the Instruments in the Stretches, and their Cash Flows.
|
Constructor and Description |
---|
RatesSegmentSequenceBuilder(double dblEpochResponse,
StretchRepresentationSpec srs,
ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams cmp,
QuotingParams quotingParams,
MultiSegmentSequence mssPrev,
StretchBestFitResponse sbfr,
StretchBestFitResponse sbfrQuoteSensitivity,
BoundarySettings bs)
RatesSegmentSequenceBuilder constructor
|