public abstract class CalibratableComponent extends Component
NULL_SER_STRING, VERSION
Constructor and Description |
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CalibratableComponent() |
Modifier and Type | Method and Description |
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abstract WengertJacobian |
calcPVDFMicroJack(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Compute the micro-Jacobian of the PV to the DF
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abstract WengertJacobian |
calcQuoteDFMicroJack(java.lang.String strQuote,
ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Compute the micro-Jacobian of the given measure to the DF
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abstract PredictorResponseWeightConstraint |
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.
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abstract java.lang.String |
getPrimaryCode()
Return the primary code
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java.lang.String[] |
getSecondaryCode()
Get the component's secondary codes
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abstract void |
setPrimaryCode(java.lang.String strCode)
Set the component's primary code
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JulianDate |
terminalDate()
Return the last Date that is relevant for the Calibration
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calcCustomScenarioMeasures, calcMeasures, calcMeasureValue, getCashFlowPeriod, getCashSettleParams, getCoupon, getEffectiveDate, getFirstCouponDate, getInitialNotional, getMaturityDate, getMeasureNames, getNotional, getNotional, setCurves, tenor, value
deserialize, getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer, serialize
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
getComponentName, getCreditCurveName, getEDSFCurveName, getForwardCurveName, getIRCurveName, getTreasuryCurveName
public abstract java.lang.String getPrimaryCode()
public abstract void setPrimaryCode(java.lang.String strCode)
strCode
- Primary Codepublic java.lang.String[] getSecondaryCode()
public abstract WengertJacobian calcPVDFMicroJack(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams)
valParams
- Valuation ParameterspricerParams
- Pricer ParametersmktParams
- Component Market ParametersquotingParams
- Component Quoting Parameterspublic abstract WengertJacobian calcQuoteDFMicroJack(java.lang.String strQuote, ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams)
strQuote
- Quote NamevalParams
- Valuation ParameterspricerParams
- Pricer ParametersmktParams
- Component Market ParametersquotingParams
- Component Quoting Parameterspublic abstract PredictorResponseWeightConstraint generateCalibPRLC(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams, LatentStateMetricMeasure lsmm)
valParams
- Valuation ParameterspricerParams
- Pricer ParametersmktParams
- Component Market ParametersquotingParams
- Component Quoting Parameterslsmm
- The Latent State Metric and the Component Measurepublic JulianDate terminalDate()