Class and Description |
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CurrencyPair
CurrencyPair class contains the numerator currency, the denominator currency, the quote currency, and the
PIP Factor
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Class and Description |
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CurrencyPair
CurrencyPair class contains the numerator currency, the denominator currency, the quote currency, and the
PIP Factor
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Class and Description |
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CurrencyPair
CurrencyPair class contains the numerator currency, the denominator currency, the quote currency, and the
PIP Factor
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Class and Description |
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CDXRefDataParams
This class contains all the reference data that corresponds to the contract of a standard CDX.
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CouponSetting
Contains the coupon type, schedule, and the coupon amount for the component.
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CreditSetting
CreditSetting contains the credit related valuation parameters - use default pay lag, use
curve or the component recovery, component recovery, credit curve name, and whether there is accrual
on default
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CurrencyPair
CurrencyPair class contains the numerator currency, the denominator currency, the quote currency, and the
PIP Factor
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CurrencySet
This class contains the component's trade, the coupon, and the redemption currencies.
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FactorSchedule
Contains array of dates and factors
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FloaterSetting
Contains the component's floating rate parameters.
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IdentifierSet
This class contains the component's identifier parameters - ISIN, CUSIP, ID, and ticker.
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NotionalSetting
This class contains the notional schedule and the amount.
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PeriodGenerator
Class the generates the component coupon periods from flexible inputs
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PeriodSet
This is the place-holder for the component’s period generation parameters.
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QuoteConvention
Contains the Component Market Convention Parameters - the quote convention, the calculation type, the
first settle date, and the redemption amount.
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RatesSetting
Component Rates Valuation Parameters contains the interest rates related valuation parameters - the
discount curves to be used for discounting the coupon, the redemption, the principal, and the settle
cash flows.
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TerminationSetting
This class contains the current "liveness" state of the component, and, if inactive, how it entered that
state.
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TreasuryBenchmark
Class contains component treasury benchmark parameters - the treasury benchmark set, and the names of the
treasury and the EDF IR curves.
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Validatable
Interface defining the validate function - that which validates the current object state
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Class and Description |
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CouponSetting
Contains the coupon type, schedule, and the coupon amount for the component.
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CreditSetting
CreditSetting contains the credit related valuation parameters - use default pay lag, use
curve or the component recovery, component recovery, credit curve name, and whether there is accrual
on default
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CurrencySet
This class contains the component's trade, the coupon, and the redemption currencies.
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EmbeddedOptionSchedule
This class is a place holder for the embedded option schedule for the component.
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FactorSchedule
Contains array of dates and factors
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FloaterSetting
Contains the component's floating rate parameters.
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IdentifierSet
This class contains the component's identifier parameters - ISIN, CUSIP, ID, and ticker.
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NotionalSetting
This class contains the notional schedule and the amount.
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PeriodSet
This is the place-holder for the component’s period generation parameters.
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QuoteConvention
Contains the Component Market Convention Parameters - the quote convention, the calculation type, the
first settle date, and the redemption amount.
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RatesSetting
Component Rates Valuation Parameters contains the interest rates related valuation parameters - the
discount curves to be used for discounting the coupon, the redemption, the principal, and the settle
cash flows.
|
TerminationSetting
This class contains the current "liveness" state of the component, and, if inactive, how it entered that
state.
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TreasuryBenchmark
Class contains component treasury benchmark parameters - the treasury benchmark set, and the names of the
treasury and the EDF IR curves.
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Class and Description |
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CouponSetting
Contains the coupon type, schedule, and the coupon amount for the component.
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CreditSetting
CreditSetting contains the credit related valuation parameters - use default pay lag, use
curve or the component recovery, component recovery, credit curve name, and whether there is accrual
on default
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CurrencyPair
CurrencyPair class contains the numerator currency, the denominator currency, the quote currency, and the
PIP Factor
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CurrencySet
This class contains the component's trade, the coupon, and the redemption currencies.
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EmbeddedOptionSchedule
This class is a place holder for the embedded option schedule for the component.
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FloaterSetting
Contains the component's floating rate parameters.
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IdentifierSet
This class contains the component's identifier parameters - ISIN, CUSIP, ID, and ticker.
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NotionalSetting
This class contains the notional schedule and the amount.
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PeriodSet
This is the place-holder for the component’s period generation parameters.
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QuoteConvention
Contains the Component Market Convention Parameters - the quote convention, the calculation type, the
first settle date, and the redemption amount.
|
RatesSetting
Component Rates Valuation Parameters contains the interest rates related valuation parameters - the
discount curves to be used for discounting the coupon, the redemption, the principal, and the settle
cash flows.
|
TerminationSetting
This class contains the current "liveness" state of the component, and, if inactive, how it entered that
state.
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TreasuryBenchmark
Class contains component treasury benchmark parameters - the treasury benchmark set, and the names of the
treasury and the EDF IR curves.
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Class and Description |
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CurrencyPair
CurrencyPair class contains the numerator currency, the denominator currency, the quote currency, and the
PIP Factor
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Class and Description |
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CDXIdentifier
This class implements the creation and the static details of the all the NA, EU, SovX, EMEA, and ASIA
standardized CDS indicies.
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CDXRefDataParams
This class contains all the reference data that corresponds to the contract of a standard CDX.
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EmbeddedOptionSchedule
This class is a place holder for the embedded option schedule for the component.
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FactorSchedule
Contains array of dates and factors
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PeriodSet
This is the place-holder for the component’s period generation parameters.
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TsyBmkSet
Contains the treasury benchmark set - the primary treasury benchmark, and an array of secondary treasury
benchmarks
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Validatable
Interface defining the validate function - that which validates the current object state
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Class and Description |
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FactorSchedule
Contains array of dates and factors
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Class and Description |
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EmbeddedOptionSchedule
This class is a place holder for the embedded option schedule for the component.
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