public class CreditCurveScenarioContainer extends ScenarioCreditCurve
CC_BASE, CC_FLAT_DN, CC_FLAT_UP, CC_RR_FLAT_DN, CC_RR_FLAT_UP, CC_TENOR_DN, CC_TENOR_UP
Constructor and Description |
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CreditCurveScenarioContainer(CalibratableComponent[] aCalibInst,
double dblCouponBump,
double dblRecoveryBump)
Construct CreditCurveScenarioContainer from the array of calibration instruments, the coupon bump
parameter, and the recovery bump parameter
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Modifier and Type | Method and Description |
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boolean |
cookCustomCC(java.lang.String strName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblRecovery,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat,
ResponseValueTweakParams mmtpDC,
ResponseValueTweakParams mmtpTSY,
ResponseValueTweakParams mmtpEDSF,
ResponseValueTweakParams mmtpCC)
Cook the credit curve according to the desired tweak parameters
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boolean |
cookScenarioCC(java.lang.String strName,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblRecovery,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat,
int iCCScenario)
Cook and save the credit curves corresponding to the scenario specified
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CreditCurve |
getCCBase()
Return the base credit curve
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CreditCurve |
getCCBumpDn()
Return the bump down credit curve
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CreditCurve |
getCCBumpUp()
Return the bump up credit curve
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CreditCurve |
getCCRecoveryDn()
Return the recovery bump down credit curve
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CreditCurve |
getCCRecoveryUp()
Return the recovery bump up credit curve
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CaseInsensitiveTreeMap<CreditCurve> |
getTenorCCBumpDn()
Return the tenor bump down credit curve map
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CaseInsensitiveTreeMap<CreditCurve> |
getTenorCCBumpUp()
Return the tenor bump up credit curve map
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public CreditCurveScenarioContainer(CalibratableComponent[] aCalibInst, double dblCouponBump, double dblRecoveryBump) throws java.lang.Exception
aCalibInst
- Array of calibration instrumentsdblCouponBump
- Coupon BumpdblRecoveryBump
- Recovery Bumpjava.lang.Exception
- Thrown if inputs are invalidpublic boolean cookScenarioCC(java.lang.String strName, ValuationParams valParams, DiscountCurve dc, DiscountCurve dcTSY, DiscountCurve dcEDSF, double[] adblQuotes, double dblRecovery, java.lang.String[] astrCalibMeasure, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, QuotingParams quotingParams, boolean bFlat, int iCCScenario)
ScenarioCreditCurve
cookScenarioCC
in class ScenarioCreditCurve
strName
- Credit Curve NamevalParams
- ValuationParamsdc
- Base Discount CurvedcTSY
- Treasury Discount CurvedcEDSF
- EDSF Discount CurveadblQuotes
- Matched array of QuotesdblRecovery
- Curve RecoveryastrCalibMeasure
- Matched array of Calibration measuresmmFixings
- Double map of date/rate index and fixingsquotingParams
- Quoting ParametersbFlat
- Whether the calibration is to a flat curveiCCScenario
- One of the values in the CC_ enum listed above.public boolean cookCustomCC(java.lang.String strName, java.lang.String strCustomName, ValuationParams valParams, DiscountCurve dc, DiscountCurve dcTSY, DiscountCurve dcEDSF, double[] adblQuotes, double dblRecovery, java.lang.String[] astrCalibMeasure, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, QuotingParams quotingParams, boolean bFlat, ResponseValueTweakParams mmtpDC, ResponseValueTweakParams mmtpTSY, ResponseValueTweakParams mmtpEDSF, ResponseValueTweakParams mmtpCC)
ScenarioCreditCurve
cookCustomCC
in class ScenarioCreditCurve
strName
- Scenario Credit Curve NamestrCustomName
- Scenario NamevalParams
- Valuation Parametersdc
- Discount CurvedcTSY
- TSY Discount CurvedcEDSF
- EDSF Discount CurveadblQuotes
- Double array of input quotesdblRecovery
- Recovery RateastrCalibMeasure
- Array of calibration measuresmmFixings
- Date/Index fixingsquotingParams
- Calibration quoting parametersbFlat
- Whether the calibration is flatmmtpDC
- Node Tweak Parameters for the Base Discount CurvemmtpTSY
- Node Tweak Parameters for the TSY Discount CurvemmtpEDSF
- Node Tweak Parameters for the EDSF Discount CurvemmtpCC
- Node Tweak Parameters for the Credit Curvepublic CreditCurve getCCBase()
ScenarioCreditCurve
getCCBase
in class ScenarioCreditCurve
public CreditCurve getCCBumpUp()
ScenarioCreditCurve
getCCBumpUp
in class ScenarioCreditCurve
public CreditCurve getCCBumpDn()
ScenarioCreditCurve
getCCBumpDn
in class ScenarioCreditCurve
public CreditCurve getCCRecoveryUp()
ScenarioCreditCurve
getCCRecoveryUp
in class ScenarioCreditCurve
public CreditCurve getCCRecoveryDn()
ScenarioCreditCurve
getCCRecoveryDn
in class ScenarioCreditCurve
public CaseInsensitiveTreeMap<CreditCurve> getTenorCCBumpUp()
ScenarioCreditCurve
getTenorCCBumpUp
in class ScenarioCreditCurve
public CaseInsensitiveTreeMap<CreditCurve> getTenorCCBumpDn()
ScenarioCreditCurve
getTenorCCBumpDn
in class ScenarioCreditCurve