public abstract class ScenarioDiscountCurve
extends java.lang.Object
Modifier and Type | Field and Description |
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static int |
DC_BASE
Base Discount Curve
|
static int |
DC_FLAT_DN
Discount Curve Parallel Bump Down
|
static int |
DC_FLAT_UP
Discount Curve Parallel Bump Up
|
static int |
DC_TENOR_DN
Discount Curve Tenor Bump Down
|
static int |
DC_TENOR_UP
Discount Curve Tenor Bump Up
|
Constructor and Description |
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ScenarioDiscountCurve() |
Modifier and Type | Method and Description |
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abstract boolean |
cookCustomDC(java.lang.String strCurveName,
java.lang.String strCustomName,
ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
ResponseValueTweakParams ntpTSY,
ResponseValueTweakParams ntpEDSF,
ResponseValueTweakParams ntpDC)
Cook a custom discount curve according to the desired tweak parameters
|
abstract boolean |
cookScenarioDC(ValuationParams valParams,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblBump,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
int iDCMode)
Generate the set of discount curves from the scenario specified, and the instrument quotes
|
abstract DiscountCurve |
getDCBase()
Return the base Discount Curve
|
abstract DiscountCurve |
getDCBumpDn()
Return the Bump Down Discount Curve
|
abstract DiscountCurve |
getDCBumpUp()
Return the Bump Up Discount Curve
|
abstract CaseInsensitiveTreeMap<DiscountCurve> |
getTenorDCBumpDn()
Return the map of the tenor Bump Down Discount Curve
|
abstract CaseInsensitiveTreeMap<DiscountCurve> |
getTenorDCBumpUp()
Return the map of the tenor Bump Up Discount Curve
|
public static final int DC_BASE
public static final int DC_FLAT_UP
public static final int DC_FLAT_DN
public static final int DC_TENOR_UP
public static final int DC_TENOR_DN
public abstract boolean cookScenarioDC(ValuationParams valParams, DiscountCurve dcTSY, DiscountCurve dcEDSF, double[] adblQuotes, double dblBump, java.lang.String[] astrCalibMeasure, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, QuotingParams quotingParams, int iDCMode)
valParams
- Valuation ParametersdcTSY
- The Treasury Discount CurvedcEDSF
- The EDSF Discount CurveadblQuotes
- Matched array of the calibration instrument quotesdblBump
- Amount of bump to be appliedastrCalibMeasure
- Matched array of the calibration instrument measuresmmFixings
- Double map of date/rate index and fixingsquotingParams
- Quoting ParametersiDCMode
- One of the values in the DC_ enum listed above.public abstract boolean cookCustomDC(java.lang.String strCurveName, java.lang.String strCustomName, ValuationParams valParams, DiscountCurve dcTSY, DiscountCurve dcEDSF, double[] adblQuotes, java.lang.String[] astrCalibMeasure, java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings, QuotingParams quotingParams, ResponseValueTweakParams ntpTSY, ResponseValueTweakParams ntpEDSF, ResponseValueTweakParams ntpDC)
strCurveName
- Scenario Discount Curve NamestrCustomName
- Custom Scenario NamevalParams
- Valuation ParametersdcTSY
- TSY Discount CurvedcEDSF
- EDSF Discount CurveadblQuotes
- Double array of input quotesastrCalibMeasure
- Array of calibration measuresmmFixings
- Date/Index fixingsquotingParams
- Calibration quoting parametersntpTSY
- Node Tweak Parameters for the TSY Discount CurventpEDSF
- Node Tweak Parameters for the EDSF Discount CurventpDC
- Node Tweak Parameters for the Base Discount Curvepublic abstract DiscountCurve getDCBase()
public abstract DiscountCurve getDCBumpUp()
public abstract DiscountCurve getDCBumpDn()
public abstract CaseInsensitiveTreeMap<DiscountCurve> getTenorDCBumpUp()
public abstract CaseInsensitiveTreeMap<DiscountCurve> getTenorDCBumpDn()