Modifier and Type | Method and Description |
---|---|
boolean |
CurveCalibrator.bootstrapHazardRate(CreditCurve 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
|
boolean |
CurveCalibrator.bootstrapInterestRateSequence(DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
Component[] aCalibComp,
ValuationParams valParams,
java.lang.String[] astrCalibMeasure,
double[] adblCalibValue,
double dblBump,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Boot-strap an interest rate curve from the set of calibration components
|
double |
CurveCalibrator.calibrateIRNode(DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
Component comp,
int iInstr,
ValuationParams valParams,
java.lang.String strMeasure,
double dblCalibValue,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat,
double dblSearchStart)
Calibrate a single Interest Rate Node from the corresponding Component
|
CreditCurve |
CreditCurveScenarioGenerator.createCC(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)
Calibrates a create curve
|
DiscountCurve |
RatesCurveScenarioGenerator.createIRCurve(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)
Calibrates a discount curve
|
CreditCurve[] |
CreditCurveScenarioGenerator.createTenorCC(java.lang.String strName,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblBump,
double dblRecovery,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Creates an array of tenor bumped credit curves
|
CaseInsensitiveTreeMap<CreditCurve> |
CreditCurveScenarioGenerator.createTenorCCMap(java.lang.String strName,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
double[] adblQuotes,
double dblBump,
double dblRecovery,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Creates an tenor named map of tenor bumped credit curves
|
CaseInsensitiveTreeMap<DiscountCurve> |
RatesCurveScenarioGenerator.createTenorIRCurveMap(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)
Calibrates a tenor map of tenor bumped discount curves
|
DiscountCurve[] |
RatesCurveScenarioGenerator.createTenorIRCurves(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)
Calibrates an array of tenor bumped discount curves
|
Modifier and Type | Method and Description |
---|---|
static DiscountCurve |
DiscountCurveBuilder.BuildFromDF(JulianDate dtStart,
java.lang.String strCurrency,
double[] adblDate,
double[] adblDF,
java.lang.String strBootstrapMode)
Builds a Discount Curve from an array of discount factors
|
static CreditCurve |
CreditCurveBuilder.CreateCreditCurve(JulianDate dtStart,
java.lang.String strName,
double[] adblDate,
double[] adblHazardRate,
double dblRecovery)
Creates a credit curve from an array of dates and hazard rates
|
static DiscountCurve |
DiscountCurveBuilder.CreateDC(JulianDate dtStart,
java.lang.String strCurrency,
double[] adblDate,
double[] adblRate,
java.lang.String strBootstrapMode)
Creates a discount curve from an array of dates/rates
|
static DiscountCurve |
DiscountCurveBuilder.CreateFromFlatRate(JulianDate dtStart,
java.lang.String strCurrency,
double dblRate)
Creates a discount curve from the flat rate
|
static FXBasisCurve |
FXBasisCurveBuilder.CreateFXBasisCurve(CurrencyPair cp,
JulianDate dtSpot,
double dblFXSpot,
double[] adblDate,
double[] adblFXBasis,
boolean bIsFXBasisBootstrapped)
Constructs an FXBasis instance from the currency pair, FX Spot, and FX basis parameters
|
static FXForwardCurve |
FXForwardCurveBuilder.CreateFXForwardCurve(CurrencyPair cp,
JulianDate dtSpot,
double dblFXSpot,
double[] adblDate,
double[] adblFXFwd,
boolean[] abIsPIP)
Creates an FXForwardCurve from the CurrencyPair, FX Spot, and the FX Forward parameters
|
Modifier and Type | Method and Description |
---|---|
JulianDate |
PolynomialSplineDF.getNodeDate(int iNode) |
JulianDate |
PolynomialForwardRate.getNodeDate(int iNode) |
JulianDate |
HyperbolicTensionForwardRate.getNodeDate(int iNode) |
JulianDate |
DerivedZeroRate.getNodeDate(int iIndex) |
JulianDate |
DerivedFXForward.getNodeDate(int iIndex) |
JulianDate |
DerivedFXBasis.getNodeDate(int iIndex) |
JulianDate |
ConstantForwardRate.getNodeDate(int iNode) |
JulianDate |
ConstantForwardHazard.getNodeDate(int iNode) |
JulianDate |
DerivedFXForward.getSpotDate() |
JulianDate |
DerivedFXBasis.getSpotDate() |
JulianDate |
PolynomialSplineDF.getStartDate() |
JulianDate |
PolynomialForwardRate.getStartDate() |
JulianDate |
HyperbolicTensionForwardRate.getStartDate() |
JulianDate |
DerivedZeroRate.getStartDate() |
JulianDate |
DerivedFXForward.getStartDate() |
JulianDate |
DerivedFXBasis.getStartDate() |
JulianDate |
ConstantForwardRate.getStartDate() |
JulianDate |
ConstantForwardHazard.getStartDate() |
Modifier and Type | Method and Description |
---|---|
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
PolynomialSplineDF.getCalibFixings() |
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
PolynomialForwardRate.getCalibFixings() |
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
HyperbolicTensionForwardRate.getCalibFixings() |
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
DerivedZeroRate.getCalibFixings() |
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
ConstantForwardRate.getCalibFixings() |
Modifier and Type | Method and Description |
---|---|
double |
ConstantForwardHazard.calcHazard(JulianDate dt) |
double |
ConstantForwardHazard.calcHazard(JulianDate dt1,
JulianDate dt2) |
double |
DerivedZeroRate.getDF(JulianDate dt) |
double |
PolynomialSplineDF.getEffectiveDF(JulianDate dt1,
JulianDate dt2) |
double |
PolynomialForwardRate.getEffectiveDF(JulianDate dt1,
JulianDate dt2) |
double |
HyperbolicTensionForwardRate.getEffectiveDF(JulianDate dt1,
JulianDate dt2) |
double |
DerivedZeroRate.getEffectiveDF(JulianDate dt1,
JulianDate dt2) |
double |
ConstantForwardRate.getEffectiveDF(JulianDate dt1,
JulianDate dt2) |
double |
ConstantForwardHazard.getEffectiveRecovery(JulianDate dt1,
JulianDate dt2) |
double |
ConstantForwardHazard.getEffectiveSurvival(JulianDate dt1,
JulianDate dt2) |
double |
ConstantForwardHazard.getRecovery(JulianDate dt) |
double |
ConstantForwardHazard.getSurvival(JulianDate dt) |
Modifier and Type | Method and Description |
---|---|
void |
ConstantForwardHazard.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) |
void |
PolynomialSplineDF.setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams) |
void |
PolynomialForwardRate.setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams) |
void |
HyperbolicTensionForwardRate.setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams) |
void |
DerivedZeroRate.setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams) |
void |
ConstantForwardRate.setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams) |
Constructor and Description |
---|
ConstantForwardRate(JulianDate dtStart,
java.lang.String strCurrency,
double[] adblDate,
double[] adblRate)
Boot-straps a constant forward discount curve from an array of dates and discount rates
|
DerivedFXBasis(CurrencyPair cp,
JulianDate dtSpot,
double dblFXSpot,
double[] adblDate,
double[] adblFXBasis,
boolean bIsFXBasisBootstrapped)
Constructs an FXBasis instance from the currency pair, FX Spot, and FX basis parameters
|
DerivedFXForward(CurrencyPair cp,
JulianDate dtSpot,
double dblFXSpot,
double[] adblDate,
double[] adblFXFwd,
boolean[] abIsPIP)
Creates an FXCurve from the CurrencyPair, FX Spot, and the FX Forward parameters
|
HyperbolicTensionForwardRate(JulianDate dtStart,
java.lang.String strCurrency,
double[] adblDate)
HyperbolicTensionForwardRate constructor
|
HyperbolicTensionForwardRate(JulianDate dtStart,
java.lang.String strCurrency,
double[] adblDate,
double[] adblEndRate)
Boot-straps a Hyperbolic Tension forward discount curve from an array of dates and discount rates
|
PolynomialForwardRate(JulianDate dtStart,
java.lang.String strCurrency,
double[] adblDate,
double[] adblEndRate)
Boot-straps a polynomial forward discount curve from an array of dates and discount rates
|
PolynomialSplineDF(JulianDate dtStart,
java.lang.String strCurrency,
double[] adblDate,
double[] adblRate)
Constructs PolynomialSplineDF Curve from an array of dates and forward rates
|
Modifier and Type | Method and Description |
---|---|
JulianDate |
JulianDate.addBusDays(int iDays,
java.lang.String strCalendarSet)
Add the given number of business days and returns a new JulianDate
|
JulianDate |
JulianDate.addDays(int iDays)
Add the given number of days and returns a new JulianDate
|
JulianDate |
JulianDate.addMonths(int iNumMonths)
Add the given number of months and returns a new JulianDate
|
JulianDate |
JulianDate.addTenor(java.lang.String strTenor)
Adds the tenor to the JulianDate to create a new date
|
JulianDate |
JulianDate.addYears(int iNumYears)
Add the given number of years and returns a new JulianDate
|
static JulianDate |
JulianDate.CreateFromDDMMMYYYY(java.lang.String strDate)
Creates a JulianDate from a string containing date in the DDMMYYYY format
|
static JulianDate |
JulianDate.CreateFromYMD(int iYear,
int iMonth,
int iDay)
Creates a JulianDate from year, month, and date
|
JulianDate |
JulianDate.getFirstCreditIMMStartDate(int iNumRollMonths)
Generates the First Credit IMM roll date from this JulianDate
|
JulianDate |
JulianDate.getFirstEDFStartDate(int iNumRollMonths)
Generates the First EDSF start date from this JulianDate
|
JulianDate |
JulianDate.subtractBusDays(int iDays,
java.lang.String strCalendarSet)
Subtract the given number of business days and returns a new JulianDate
|
JulianDate |
JulianDate.subtractDays(int iDays)
Subtracts the given number of days and returns a new JulianDate
|
JulianDate |
JulianDate.subtractTenor(java.lang.String strTenor)
Subtracts the tenor to the JulianDate to create a new date
|
static JulianDate |
JulianDate.Today()
Returns a Julian Date corresponding to today
|
Modifier and Type | Method and Description |
---|---|
int |
JulianDate.compareTo(JulianDate dtOther) |
int |
JulianDate.daysDiff(JulianDate dt)
Difference in days between the current and the input date
|
Modifier and Type | Method and Description |
---|---|
JulianDate |
Curve.getNodeDate(int iIndex)
Get the date at the node specified by the index
|
abstract JulianDate |
FXForwardCurve.getSpotDate()
Returns the Spot Date
|
abstract JulianDate |
FXBasisCurve.getSpotDate()
Returns the Spot Date
|
JulianDate |
Curve.getStartDate()
Get the epoch date
|
Modifier and Type | Method and Description |
---|---|
abstract java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
DiscountCurve.getCalibFixings()
Retrieve the fixings object for calibration using floater instruments
|
Modifier and Type | Method and Description |
---|---|
abstract double |
CreditCurve.calcHazard(JulianDate dt)
Calculates the hazard rate to the given date
|
abstract double |
CreditCurve.calcHazard(JulianDate dt1,
JulianDate dt2)
Calculates the hazard rate between a pair of forward dates
|
WengertJacobian |
DiscountCurve.compPVDFJacobian(JulianDate dt)
Calculate the Jacobian of PV at the given date for each component in the calibration set to the DF
|
WengertJacobian |
DiscountCurve.compPVQuoteJacobian(JulianDate dt)
Calculate the Jacobian of Component PV at the given date for each component in the calibration set to
the Component Quote
|
WengertJacobian |
DiscountCurve.compQuoteDFJacobian(JulianDate dt)
Calculate the Jacobian of Component Quote at the given date for each component in the calibration set
to the DF
|
WengertJacobian |
DiscountCurve.compQuoteZeroJacobian(JulianDate dt)
Calculate the Jacobian of Component Quote at the given date for each component in the calibration set
to the Zero Rate
|
double |
DiscountCurve.getDF(JulianDate dt)
Calculate the discount factor to the given date
|
WengertJacobian |
DiscountCurve.getDFJacobian(JulianDate dt)
Retrieve the Jacobian for the DF for the given date
|
abstract double |
DiscountCurve.getEffectiveDF(JulianDate dt1,
JulianDate dt2)
Compute the time-weighted discount factor between 2 dates
|
abstract double |
CreditCurve.getEffectiveRecovery(JulianDate dt1,
JulianDate dt2)
Calculates the time-weighted recovery between a pair of dates
|
abstract double |
CreditCurve.getEffectiveSurvival(JulianDate dt1,
JulianDate dt2)
Calculates the time-weighted survival between a pair of 2 dates
|
WengertJacobian |
DiscountCurve.getForwardRateJacobian(JulianDate dt1,
JulianDate dt2)
Retrieve the Jacobian for the Forward Rate between the given dates
|
abstract double |
CreditCurve.getRecovery(JulianDate dt)
Calculates the recovery rate to the given date
|
abstract double |
CreditCurve.getSurvival(JulianDate dt)
Calculates the survival to the given date
|
WengertJacobian |
DiscountCurve.getZeroRateJacobian(JulianDate dt)
Retrieve the Jacobian for the Zero Rate to the given date
|
Modifier and Type | Method and Description |
---|---|
abstract 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)
Sets the calibration inputs for the CreditCurve
|
abstract void |
DiscountCurve.setInstrCalibInputs(ValuationParams valParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams)
Set the calibration inputs
|
Modifier and Type | Method and Description |
---|---|
boolean |
Locale.addStaticHoliday(JulianDate dt,
java.lang.String strDescription)
Adds the given date as a static holiday
|
Constructor and Description |
---|
Static(JulianDate dt,
java.lang.String strDescription)
Constructs a static holiday from the date and the description
|
Modifier and Type | Method and Description |
---|---|
static JulianDate |
AnalyticsHelper.MakeJulianDateFromBBGDate(java.lang.String strBBGDate)
Creates a JulianDate from Bloomberg date string
|
static JulianDate |
AnalyticsHelper.MakeJulianFromDDMMMYY(java.lang.String strDDMMMYY,
java.lang.String strDelim)
Create a JulianDate from the DD MMM YY
|
static JulianDate |
AnalyticsHelper.MakeJulianFromRSEntry(java.util.Date dt)
Create a JulianDate from the java Date
|
static JulianDate |
AnalyticsHelper.MakeJulianFromYYYYMMDD(java.lang.String strYYYYMMDD,
java.lang.String strDelim)
Create a JulianDate from the YYYY MM DD
|
Modifier and Type | Method and Description |
---|---|
static java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
AnalyticsHelper.CreateFixingsObject(Bond bond,
JulianDate dtValue,
double dblFix)
Creates the fixings object from the bond, the valuation date, and the fixing.
|
Modifier and Type | Method and Description |
---|---|
static java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
AnalyticsHelper.CreateFixingsObject(Bond bond,
JulianDate dtValue,
double dblFix)
Creates the fixings object from the bond, the valuation date, and the fixing.
|
Modifier and Type | Method and Description |
---|---|
static CreditCurve |
CreditScenarioCurveBuilder.CreateCreditCurve(java.lang.String strName,
JulianDate dt,
CalibratableComponent[] aCalibInst,
DiscountCurve dc,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
double dblRecovery,
boolean bFlat)
Calibrates the base credit curve from the input credit instruments, measures, and the quotes
|
static DiscountCurve |
RatesScenarioCurveBuilder.CreateDiscountCurve(JulianDate dt,
java.lang.String strCurrency,
java.lang.String strBootstrapMode,
CalibratableComponent[] aCalibInst,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Creates Discount Curve from the Rates Calibration Instruments
|
Modifier and Type | Method and Description |
---|---|
static BasketMarketParams |
BasketMarketParamsBuilder.CreateBasketMarketParams(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Constructs the BasketMarketParams object from the map of discount curve, the map of credit curve, and
a double map of date/rate index and fixings.
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.CreateComponentMarketParams(DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Creates a CMP with the rates discount curve, the treasury discount curve, the EDSF discount curve, the
credit curve, the component quote, the map of treasury benchmark quotes, and the double map of
date/rate index and fixings
|
static ComponentMarketParams |
ComponentMarketParamsBuilder.CreateComponentMarketParams(DiscountCurve dc,
DiscountCurve dcForward,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Creates a CMP with the rates discount curve, the forward discount curve, the treasury discount curve,
the EDSF discount curve, the credit curve, the component quote, the map of treasury benchmark quotes,
and the double map of date/rate index and fixings
|
static DiscountCurve |
RatesScenarioCurveBuilder.CreateDiscountCurve(JulianDate dt,
java.lang.String strCurrency,
java.lang.String strBootstrapMode,
CalibratableComponent[] aCalibInst,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Creates Discount Curve from the Rates Calibration Instruments
|
Modifier and Type | Method and Description |
---|---|
abstract java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
MarketParams.getFixings()
Retrieves the fixings double map
|
abstract java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMarketParams.getFixings()
Retrieves the Fixings
|
Modifier and Type | Method and Description |
---|---|
abstract boolean |
MarketParams.addFixings(JulianDate dtFix,
java.lang.String strIndex,
double dblFixing)
Adds the fixing for the given rate index and the given date
|
abstract boolean |
MarketParams.removeFixings(JulianDate dtFix,
java.lang.String strIndex)
Removes the fixing corresponding to the given date and index
|
Modifier and Type | Method and Description |
---|---|
abstract boolean |
CreditScenarioCurve.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,
NodeTweakParams ntpDC,
NodeTweakParams ntpTSY,
NodeTweakParams ntpEDSF,
NodeTweakParams ntpCC)
Cook the credit curve according to the desired tweak parameters
|
abstract boolean |
RatesScenarioCurve.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,
NodeTweakParams ntpTSY,
NodeTweakParams ntpEDSF,
NodeTweakParams ntpDC)
Cooks a custom discount curve according to the desired tweak parameters
|
abstract boolean |
CreditScenarioCurve.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)
Cooks and saves the credit curves corresponding to the scenario specified
|
abstract boolean |
RatesScenarioCurve.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)
Generates the set of discount curves from the scenario specified, and the instrument quotes
|
abstract boolean |
ComponentMarketParams.setFixings(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
(Re)-sets the Fixings
|
Modifier and Type | Method and Description |
---|---|
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
MarketParamsContainer.getFixings() |
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
ComponentMarketParamSet.getFixings() |
Modifier and Type | Method and Description |
---|---|
boolean |
MarketParamsContainer.addFixings(JulianDate dtFix,
java.lang.String strIndex,
double dblFixing) |
boolean |
MarketParamsContainer.removeFixings(JulianDate dtFix,
java.lang.String strIndex) |
Modifier and Type | Method and Description |
---|---|
boolean |
CreditCurveScenarioContainer.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,
NodeTweakParams ntpDC,
NodeTweakParams ntpTSY,
NodeTweakParams ntpEDSF,
NodeTweakParams ntpCC) |
boolean |
RatesCurveScenarioContainer.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,
NodeTweakParams ntpTSY,
NodeTweakParams ntpEDSF,
NodeTweakParams ntpDC) |
boolean |
CreditCurveScenarioContainer.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) |
boolean |
RatesCurveScenarioContainer.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) |
boolean |
ComponentMarketParamSet.setFixings(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings) |
Constructor and Description |
---|
BasketMarketParamSet(CaseInsensitiveTreeMap<DiscountCurve> mapDC,
CaseInsensitiveTreeMap<CreditCurve> mapCC,
CaseInsensitiveTreeMap<ComponentQuote> mapCQComp,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Constructs the BasketMarketParamSet object from the map of discount curve, the map of credit curve, a
double map of date/rate index and fixings, and a map of the component quotes.
|
ComponentMarketParamSet(DiscountCurve dc,
DiscountCurve dcForward,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
CreditCurve cc,
ComponentQuote compQuote,
CaseInsensitiveTreeMap<ComponentQuote> mTSYQuotes,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Creates a CMP with the rates discount curve, the forward discount curve, the treasury discount curve,
the EDSF discount curve, the credit curve, the component quote, the map of treasury benchmark quotes,
and the double map of date/rate index and fixings.
|
Modifier and Type | Method and Description |
---|---|
static ValuationParams |
ValuationParams.CreateStdValParams(JulianDate dtValue,
java.lang.String strCalendar)
Create the standard T+2B settle parameters for the given valuation date and calendar
|
static ValuationParams |
ValuationParams.CreateValParams(JulianDate dtValue,
int iCashSettleLag,
java.lang.String strCalendar,
int iAdjustMode)
Creates the valuation parameters object instance from the valuation date, the cash settle lag, and the
settle calendar.
|
Constructor and Description |
---|
ValuationParams(JulianDate dtValue,
JulianDate dtCashPay,
java.lang.String strCalendar)
Constructs ValuationParams from the Valuation Date and the Cash Pay Date parameters
|
Modifier and Type | Field and Description |
---|---|
JulianDate |
BondRefDataBuilder._dtAnnounce
Announce Date
|
JulianDate |
BondProductBuilder._dtAnnounce
Announce Date
|
JulianDate |
BondRefDataBuilder._dtFinalMaturity
Final Maturity Date
|
JulianDate |
BondProductBuilder._dtFinalMaturity
Final Maturity Date
|
JulianDate |
BondRefDataBuilder._dtFirstCoupon
First Coupon Date
|
JulianDate |
BondProductBuilder._dtFirstCoupon
First Coupon Date
|
JulianDate |
BondRefDataBuilder._dtFirstSettle
First Settle Date
|
JulianDate |
BondProductBuilder._dtFirstSettle
First Settle Date
|
JulianDate |
BondRefDataBuilder._dtInterestAccrualStart
Interest Accrual Start Date
|
JulianDate |
BondProductBuilder._dtInterestAccrualStart
Interest Accrual Start Date
|
JulianDate |
BondRefDataBuilder._dtIssue
Issue Date
|
JulianDate |
BondProductBuilder._dtIssue
Issue Date
|
JulianDate |
BondRefDataBuilder._dtMaturity
Maturity
|
JulianDate |
BondProductBuilder._dtMaturity
Maturity
|
JulianDate |
BondRefDataBuilder._dtNextCouponDate
Next Coupon Date
|
JulianDate |
BondRefDataBuilder._dtPenultimateCouponDate
Penultimate Coupon Date
|
JulianDate |
BondRefDataBuilder._dtPrevCouponDate
Previous Coupon Date
|
Modifier and Type | Field and Description |
---|---|
static CaseInsensitiveTreeMap<java.util.Map<JulianDate,java.lang.Integer>> |
CDXRefDataHolder._mmCDXRDBFirstCouponSeries |
static CaseInsensitiveTreeMap<java.util.Map<java.lang.Integer,JulianDate>> |
CDXRefDataHolder._mmCDXRDBSeriesFirstCoupon |
Modifier and Type | Method and Description |
---|---|
static BasketProduct |
BondBasketBuilder.CreateBondBasket(java.lang.String strName,
Bond[] aBond,
double[] adblWeights,
JulianDate dtEffective,
double dblNotional)
BondBasket constructor
|
static BondComponent |
BondBuilder.CreateBondFromCF(java.lang.String strName,
JulianDate dtEffective,
java.lang.String strCurrency,
java.lang.String strDC,
int iFreq,
JulianDate[] adt,
double[] adblCouponAmount,
double[] adblPrincipal,
boolean bIsPrincipalPayDown)
Creates a bond from custom/user-defined cash flows and coupon conventions
|
static BondComponent |
BondBuilder.CreateBondFromCF(java.lang.String strName,
JulianDate dtEffective,
java.lang.String strCurrency,
java.lang.String strDC,
int iFreq,
JulianDate[] adt,
double[] adblCouponAmount,
double[] adblPrincipal,
boolean bIsPrincipalPayDown)
Creates a bond from custom/user-defined cash flows and coupon conventions
|
static RatesComponent |
CashBuilder.CreateCash(JulianDate dtEffective,
JulianDate dtMaturity,
java.lang.String strIR)
Creates a cash product from effective and maturity dates, and the IR curve
|
static RatesComponent |
CashBuilder.CreateCash(JulianDate dtEffective,
java.lang.String strTenor,
java.lang.String strIR)
Creates the cash product from the effective date, tenor, and the IR curve name.
|
static RatesComponent |
CashBuilder.CreateCash(JulianDate dtEffective,
java.lang.String strTenor,
java.lang.String strIR,
java.lang.String strCode)
Creates a cash product from effective date, tenor, IR curve name, and code.
|
static CreditDefaultSwap |
CDSBuilder.CreateCDS(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
java.lang.String strIR,
CreditSetting crValParams,
java.lang.String strCalendar,
boolean bAdjustDates)
Creates the credit default swap from the effective/maturity dates, coupon, IR curve name, and
component credit valuation parameters.
|
static CreditDefaultSwap |
CDSBuilder.CreateCDS(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
java.lang.String strIR,
double dblRecovery,
java.lang.String strCC,
java.lang.String strCalendar,
boolean bAdjustDates)
Creates the credit default swap from the effective/maturity dates, coupon, IR curve name, and
credit curve.
|
static CreditDefaultSwap |
CDSBuilder.CreateCDS(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strIR,
CreditSetting crValParams,
java.lang.String strCalendar)
Creates the credit default swap from the effective date, tenor, coupon, IR curve name, and
component credit valuation parameters.
|
static CreditDefaultSwap |
CDSBuilder.CreateCDS(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strIR,
java.lang.String strCC,
java.lang.String strCalendar)
Creates the credit default swap from the effective/maturity dates, coupon, IR curve name, and
credit curve.
|
static RatesComponent |
EDFutureBuilder.CreateEDF(JulianDate dtEffective,
JulianDate dtMaturity,
java.lang.String strIR)
Creates an EDF product from the effective and maturity dates, and the IR curve
|
static RatesComponent |
EDFutureBuilder.CreateEDF(JulianDate dtEffective,
java.lang.String strTenor,
java.lang.String strIR)
Creates an EDF product from the effective date, the tenor, and the IR curve
|
static RatesComponent |
EDFutureBuilder.CreateEDF(java.lang.String strFullEDCode,
JulianDate dt,
java.lang.String strIR)
Creates an EDF product from the effective date, the product code, and the IR curve
|
static RatesComponent |
RatesStreamBuilder.CreateFixedStream(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
java.lang.String strIR,
java.lang.String strCalendar)
Creates a Fixed Stream instance from effective/maturity dates, coupon, and IR curve name
|
static RatesComponent |
RatesStreamBuilder.CreateFloatingStream(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
java.lang.String strIR,
java.lang.String strFloatingRateIndex,
java.lang.String strCalendar)
Creates a Floating Stream instance from effective/maturity dates, coupon, IR curve name, and
floater index
|
static FXForward |
FXForwardBuilder.CreateFXForward(CurrencyPair ccyPair,
JulianDate dtEffective,
JulianDate dtMaturity)
Creates the FXForward object from Currency Pair, effective date, and maturity.
|
static FXForward |
FXForwardBuilder.CreateFXForward(CurrencyPair ccyPair,
JulianDate dtEffective,
java.lang.String strTenor)
Creates the FXForward object from Currency Pair, effective date, and tenor.
|
static FXSpot |
FXSpotBuilder.CreateFXSpot(JulianDate dtSpot,
CurrencyPair ccyPair)
Creates the FX spot object from the spot date and the currency pair.
|
static RatesComponent |
RatesStreamBuilder.CreateIRS(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
java.lang.String strIR,
java.lang.String strFloatingRateIndex,
java.lang.String strCalendar)
Creates an IRS product from effective/maturity dates, coupon, and IR curve name/rate index
|
static RatesComponent |
RatesStreamBuilder.CreateIRS(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strIR,
java.lang.String strFloatingRateIndex,
java.lang.String strCalendar)
Creates an IRS product from effective date, tenor, coupon, and IR curve name/rate index
|
static CreditDefaultSwap |
CDSBuilder.CreateSAPC(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strCC)
Creates an Standard Asia Pacific CDS contract with full first stub
|
static CreditDefaultSwap |
CDSBuilder.CreateSEUC(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strCC)
Creates an Standard EU CDS contract with full first stub
|
static BondComponent |
BondBuilder.CreateSimpleFixed(java.lang.String strName,
java.lang.String strCurrency,
double dblCoupon,
int iFreq,
java.lang.String strDayCount,
JulianDate dtEffective,
JulianDate dtMaturity,
FactorSchedule fsPrincipalOutstanding,
FactorSchedule fsCoupon)
Creates a simple fixed bond from parameters
|
static BondComponent |
BondBuilder.CreateSimpleFloater(java.lang.String strName,
java.lang.String strCurrency,
java.lang.String strRateIndex,
double dblSpread,
int iFreq,
java.lang.String strDayCount,
JulianDate dtEffective,
JulianDate dtMaturity,
FactorSchedule fsPrincipalOutstanding,
FactorSchedule fsCoupon)
Creates a simple floating rate bond
|
static CreditDefaultSwap |
CDSBuilder.CreateSNAC(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strCC)
Creates an SNAC style CDS contract with full first stub
|
static CreditDefaultSwap |
CDSBuilder.CreateSNAC(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strIR,
java.lang.String strCC,
java.lang.String strCalendar)
Creates an SNAC style CDS contract with full first stub
|
static CreditDefaultSwap |
CDSBuilder.CreateSTEM(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strCC,
java.lang.String strLocation)
Creates an Standard Emerging Market CDS contract with full first stub
|
static RatesComponent[] |
EDFutureBuilder.GenerateEDPack(JulianDate dt,
int iNumEDF,
java.lang.String strCurrency)
Generates a EDF pack with the specified number of contracts
|
static BasketProduct |
CDSBasketBuilder.MakeBasketDefaultSwap(JulianDate dtEffective,
JulianDate dtMaturity,
Component[] aComp)
Creates the basket default swap from effective, maturity, and an array of the credit components.
|
static BasketProduct |
CDSBasketBuilder.MakeCDX(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
java.lang.String strIR,
java.lang.String[] astrCC,
double[] adblWeight,
java.lang.String strName)
Creates the named CDX from effective, maturity, coupon, IR curve name, credit curve name set, and
their weights.
|
static BasketProduct |
CDSBasketBuilder.MakeCDX(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
java.lang.String strIR,
java.lang.String[] astrCC,
java.lang.String strName)
Creates the named CDX from effective, maturity, coupon, IR curve name, credit curve name set.
|
Modifier and Type | Method and Description |
---|---|
JulianDate |
BondComponent.calcCurrentCouponDate(JulianDate dt) |
JulianDate |
BondComponent.calcNextCouponDate(JulianDate dt) |
JulianDate |
BondComponent.calcPreviousCouponDate(JulianDate dt) |
JulianDate |
CDSComponent.getEffectiveDate() |
JulianDate |
BondComponent.getEffectiveDate() |
JulianDate |
BondComponent.getFinalMaturity() |
JulianDate |
CDSComponent.getFirstCouponDate() |
JulianDate |
BondComponent.getFirstCouponDate() |
JulianDate |
CDSComponent.getMaturityDate() |
JulianDate |
BondComponent.getMaturityDate() |
JulianDate |
BondComponent.getPeriodResetDate(double dblValue) |
Modifier and Type | Method and Description |
---|---|
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
BondComponent.getFixings() |
Modifier and Type | Method and Description |
---|---|
JulianDate |
BondComponent.calcCurrentCouponDate(JulianDate dt) |
double |
BondComponent.calcCurrentCouponRate(JulianDate dt,
ComponentMarketParams mktParams) |
JulianDate |
BondComponent.calcNextCouponDate(JulianDate dt) |
double |
BondComponent.calcNextCouponRate(JulianDate dt,
ComponentMarketParams mktParams) |
ExerciseInfo |
BondComponent.calcNextValidExerciseDateOfType(JulianDate dt,
boolean bGetPut) |
ExerciseInfo |
BondComponent.calcNextValidExerciseInfo(JulianDate dt) |
JulianDate |
BondComponent.calcPreviousCouponDate(JulianDate dt) |
double |
BondComponent.calcPreviousCouponRate(JulianDate dt,
ComponentMarketParams mktParams) |
Modifier and Type | Method and Description |
---|---|
boolean |
BondComponent.setFixings(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings) |
Constructor and Description |
---|
BondBasket(java.lang.String strName,
Bond[] aBond,
double[] adblWeights,
JulianDate dtEffective,
double dblNotional)
BondBasket constructor
|
CDSBasket(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
Component[] aComp,
double[] adblWeight,
java.lang.String strName)
Constructs a CDS Basket from the components and their weights
|
Modifier and Type | Method and Description |
---|---|
abstract JulianDate |
Bond.calcCurrentCouponDate(JulianDate dt)
Returns the coupon date for the period containing the specified date
|
abstract JulianDate |
Bond.calcNextCouponDate(JulianDate dt)
Returns the coupon date for the period subsequent to the specified date
|
abstract JulianDate |
Bond.calcPreviousCouponDate(JulianDate dt)
Returns the coupon date for the period prior to the specified date
|
abstract JulianDate |
FXForward.getEffectiveDate()
Gets the Effective Date
|
abstract JulianDate |
Component.getEffectiveDate()
Get the Effective Date
|
JulianDate |
BasketProduct.getEffectiveDate()
Returns the effective date of the basket product
|
abstract JulianDate |
Bond.getFinalMaturity()
Return the bond's final maturity
|
abstract JulianDate |
Component.getFirstCouponDate()
Get the First Coupon Date
|
JulianDate |
BasketProduct.getFirstCouponDate()
Gets the first coupon date
|
abstract JulianDate |
FXForward.getMaturityDate()
Gets the Maturity Date
|
abstract JulianDate |
Component.getMaturityDate()
Get the Maturity Date
|
JulianDate |
BasketProduct.getMaturityDate()
Returns the maturity date of the basket product
|
abstract JulianDate |
Bond.getPeriodResetDate(double dblValue)
Get the bond's reset date for the period identified by the valuation date
|
Modifier and Type | Method and Description |
---|---|
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
BondProduct.getFixings()
Retrieves the bond fixings
|
Modifier and Type | Method and Description |
---|---|
abstract JulianDate |
Bond.calcCurrentCouponDate(JulianDate dt)
Returns the coupon date for the period containing the specified date
|
abstract double |
Bond.calcCurrentCouponRate(JulianDate dt,
ComponentMarketParams mktParams)
Returns the coupon rate for the period corresponding to the specified date
|
abstract JulianDate |
Bond.calcNextCouponDate(JulianDate dt)
Returns the coupon date for the period subsequent to the specified date
|
abstract double |
Bond.calcNextCouponRate(JulianDate dt,
ComponentMarketParams mktParams)
Returns the coupon rate for the period subsequent to the specified date
|
abstract ExerciseInfo |
Bond.calcNextValidExerciseDateOfType(JulianDate dt,
boolean bGetPut)
Returns the next exercise info of the given exercise type (call/put) subsequent to the specified date
|
abstract ExerciseInfo |
Bond.calcNextValidExerciseInfo(JulianDate dt)
Returns the next exercise info subsequent to the specified date
|
abstract JulianDate |
Bond.calcPreviousCouponDate(JulianDate dt)
Returns the coupon date for the period prior to the specified date
|
abstract double |
Bond.calcPreviousCouponRate(JulianDate dt,
ComponentMarketParams mktParams)
Returns the coupon rate for the period prior to the specified date
|
Modifier and Type | Method and Description |
---|---|
boolean |
BondProduct.setFixings(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings)
Sets the bond fixings
|
Modifier and Type | Method and Description |
---|---|
JulianDate |
FXForwardContract.getEffectiveDate() |
JulianDate |
FXForwardContract.getMaturityDate() |
Constructor and Description |
---|
FXForwardContract(CurrencyPair ccyPair,
JulianDate dtEffective,
JulianDate dtMaturity)
Create an FXForward Contract from the currency pair, the effective and the maturity dates
|
FXSpotContract(JulianDate dtSpot,
CurrencyPair ccyPair)
Constructor: Creates the FX spot object from the spot date and the currency pair.
|
Modifier and Type | Field and Description |
---|---|
JulianDate |
CDXRefDataParams._dtIssue
Index Issue Date
|
JulianDate |
CDXRefDataParams._dtMaturity
Index Maturity Date
|
Modifier and Type | Method and Description |
---|---|
boolean |
CDXRefDataParams.setIssueDate(JulianDate dtIssue)
Sets the Index Issue Date
|
boolean |
CDXRefDataParams.setMaturityDate(JulianDate dtMaturity)
Sets the Index Maturity Date
|
Modifier and Type | Method and Description |
---|---|
JulianDate |
IRSComponent.getEffectiveDate() |
JulianDate |
FloatingStream.getEffectiveDate() |
JulianDate |
FixedStream.getEffectiveDate() |
JulianDate |
EDFComponent.getEffectiveDate() |
JulianDate |
CashComponent.getEffectiveDate() |
JulianDate |
IRSComponent.getFirstCouponDate() |
JulianDate |
FloatingStream.getFirstCouponDate() |
JulianDate |
FixedStream.getFirstCouponDate() |
JulianDate |
EDFComponent.getFirstCouponDate() |
JulianDate |
CashComponent.getFirstCouponDate() |
JulianDate |
IRSComponent.getMaturityDate() |
JulianDate |
FloatingStream.getMaturityDate() |
JulianDate |
FixedStream.getMaturityDate() |
JulianDate |
EDFComponent.getMaturityDate() |
JulianDate |
CashComponent.getMaturityDate() |
Constructor and Description |
---|
CashComponent(JulianDate dtEffective,
JulianDate dtMaturity,
java.lang.String strIR,
java.lang.String strDC,
java.lang.String strCalendar)
Constructs a CashComponent instance
|
EDFComponent(JulianDate dtEffective,
JulianDate dtMaturity,
java.lang.String strIR,
java.lang.String strDC,
java.lang.String strCalendar)
Constructs an EDFComponent Component
|
EDFComponent(java.lang.String strFullEDCode,
JulianDate dt,
java.lang.String strIR)
Constructs an EDFComponent Component
|
Modifier and Type | Method and Description |
---|---|
static JulianDate |
CreditAnalytics.Adjust(JulianDate dt,
java.lang.String strCalendar,
int iAdjustMode)
Adjusts the given date according to the calendar set and the adjustment mode
|
static JulianDate |
CreditAnalytics.CurrentCouponDate(java.lang.String strBondId,
JulianDate dt)
Returns the coupon date for the coupon period current to the specified date for the specified bond
|
static JulianDate |
CreditAnalytics.EffectiveDate(java.lang.String strBondId)
Returns the effective date for the specified bond
|
static JulianDate |
CreditAnalytics.GetBondDateField(java.lang.String strBondId,
java.lang.String strField)
Retrieves the named date field for the given bond
|
static JulianDate[] |
CreditAnalytics.GetHolsInYear(java.lang.String strLocationSet,
int iYear)
Gets all the holidays for the calendar set in a given year
|
static JulianDate[] |
CreditAnalytics.GetWeekDayHolsInYear(java.lang.String strLocationSet,
int iYear)
Gets the week day holidays for the calendar set in a given year
|
static JulianDate[] |
CreditAnalytics.GetWeekendHolsInYear(java.lang.String strLocationSet,
int iYear)
Gets the week end holidays for the calendar set in a given year
|
static JulianDate |
CreditAnalytics.MaturityDate(java.lang.String strBondId)
Returns the maturity date for the specified bond
|
static JulianDate |
CreditAnalytics.NextCouponDate(java.lang.String strBondId,
JulianDate dt)
Returns the coupon date for the period subsequent to the specified date for the specified bond
|
static JulianDate |
CreditAnalytics.PreviousCouponDate(java.lang.String strBondId,
JulianDate dt)
Returns the coupon date for the period prior to the specified date for the specified bond
|
static JulianDate |
CreditAnalytics.RollDate(JulianDate dt,
java.lang.String strCalendarSet,
int iRollMode)
Rolls the given date according to the calendar set and the roll mode
|
Modifier and Type | Method and Description |
---|---|
static java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
CreditAnalytics.CreateFixingsObject(BondComponent bond,
JulianDate dtValue,
double dblFix)
Creates the fixings object for the given bond and fix coupon, based off of the period represented by
the specified date
|
static java.util.Map<JulianDate,java.lang.Double> |
CreditAnalytics.GetIssuerAggregateOutstandingNotional(JulianDate dtToday,
java.lang.String strTicker,
JulianDate[] adtAscending)
Gets the outstanding issuer cumulative notional aggregated by the specified ascending maturity buckets
|
static java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
CreditAnalytics.GetOnTheRunTSYSetYield(JulianDate dtStart,
JulianDate dtEnd)
Gets the set of on-the-run treasury yields for a set of dates
|
static java.util.Map<JulianDate,CreditCurve> |
CreditAnalytics.LoadEODBondCreditCurve(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of bond credit curves between two dates
|
static java.util.Map<JulianDate,CreditCurve> |
CreditAnalytics.LoadEODCDSCreditCurves(java.lang.String strName,
java.lang.String strCurrency,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of CDS credit curves between two dates
|
static java.util.Map<JulianDate,DiscountCurve> |
CreditAnalytics.LoadEODEDFCurves(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of EDF discount curves between two dates
|
static java.util.Map<JulianDate,CreditCurve> |
CreditAnalytics.LoadEODFullCreditCurve(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of credit curves between two dates
|
static java.util.Map<JulianDate,DiscountCurve> |
CreditAnalytics.LoadEODFullIRCurves(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of discount curves between two dates
|
static java.util.Map<JulianDate,DiscountCurve> |
CreditAnalytics.LoadEODIRCashCurves(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of cash discount curves between two dates
|
static java.util.Map<JulianDate,DiscountCurve> |
CreditAnalytics.LoadEODIRSwapCurves(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of swap discount curves between two dates
|
static java.util.Map<JulianDate,DiscountCurve> |
CreditAnalytics.LoadEODTSYCurves(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of TSY discount curves between two dates
|
Modifier and Type | Method and Description |
---|---|
static JulianDate |
CreditAnalytics.Adjust(JulianDate dt,
java.lang.String strCalendar,
int iAdjustMode)
Adjusts the given date according to the calendar set and the adjustment mode
|
static double |
CreditAnalytics.BondCreditBasisFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
CreditCurve cc,
double dblPrice)
Calculates the bond credit basis from price (simplified version)
|
static double |
CreditAnalytics.BondCreditBasisFromTSYSpread(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
CreditCurve cc,
double dblTSYSpread)
Calculates the bond credit basis from spread to a treasury benchmark (simplified version)
|
static double |
CreditAnalytics.BondCreditBasisFromYield(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
CreditCurve cc,
double dblYield)
Calculates the bond Credit Basis from yield (simplified version)
|
static double |
CreditAnalytics.BondCreditPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
CreditCurve cc)
Computes the bond's theoretical price from discount curve and the credit curve (simplified version)
|
static double |
CreditAnalytics.BondDiscountMarginFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblPrice)
Calculates the bond Discount Margin from price (simplified version)
|
static double |
CreditAnalytics.BondDiscountMarginFromTSYSpread(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblTSYSpread)
Calculates the bond Discount Margin from spread to a treasury benchmark (simplified version)
|
static double |
CreditAnalytics.BondDiscountMarginFromYield(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblYield)
Calculates the bond Discount Margin from yield (simplified version)
|
static double |
CreditAnalytics.BondEODConvexityFromPrice(java.lang.String strBondId,
JulianDate dtEOD,
double dblPrice)
Calculates the EOD bond Convexity from price
|
static double |
CreditAnalytics.BondEODConvexityFromTSYSpread(java.lang.String strBondId,
JulianDate dtEOD,
double dblTSYSpread)
Calculates the EOD bond Convexity from TSY Spread
|
static double |
CreditAnalytics.BondEODConvexityFromYield(java.lang.String strBondId,
JulianDate dtEOD,
double dblYield)
Calculates the EOD bond Convexity from yield
|
static double |
CreditAnalytics.BondEODCreditBasisFromPrice(java.lang.String strBondId,
JulianDate dtEOD,
double dblPrice)
Calculates the EOD bond Credit Basis from price
|
static double |
CreditAnalytics.BondEODCreditBasisFromTSYSpread(java.lang.String strBondId,
JulianDate dtEOD,
double dblTSYSpread)
Calculates the EOD bond Credit Basis from TSY Spread
|
static double |
CreditAnalytics.BondEODCreditBasisFromYield(java.lang.String strBondId,
JulianDate dtEOD,
double dblYield)
Calculates the EOD bond Credit Basis from yield
|
static double |
CreditAnalytics.BondEODDiscountMarginFromPrice(java.lang.String strBondId,
JulianDate dtEOD,
double dblPrice)
Calculates the EOD bond Discount Margin from price
|
static double |
CreditAnalytics.BondEODDiscountMarginFromTSYSpread(java.lang.String strBondId,
JulianDate dtEOD,
double dblTSYSpread)
Calculates the EOD bond Discount Margin from TSY Spread
|
static double |
CreditAnalytics.BondEODDiscountMarginFromYield(java.lang.String strBondId,
JulianDate dtEOD,
double dblYield)
Calculates the EOD bond Discount Margin from Yield
|
static double |
CreditAnalytics.BondEODDurationFromPrice(java.lang.String strBondId,
JulianDate dtEOD,
double dblPrice)
Calculates the EOD bond Duration from price
|
static double |
CreditAnalytics.BondEODDurationFromTSYSpread(java.lang.String strBondId,
JulianDate dtEOD,
double dblTSYSpread)
Calculates the EOD bond Duration from TSY Spread
|
static double |
CreditAnalytics.BondEODDurationFromYield(java.lang.String strBondId,
JulianDate dtEOD,
double dblYield)
Calculates the EOD bond Duration from Yield
|
static double |
CreditAnalytics.BondEODGSpreadFromPrice(java.lang.String strBondId,
JulianDate dtEOD,
double dblPrice)
Calculates the EOD bond G Spread from price
|
static double |
CreditAnalytics.BondEODGSpreadFromTSYSpread(java.lang.String strBondId,
JulianDate dtEOD,
double dblTSYSpread)
Calculates the EOD bond G Spread from TSY Spread
|
static double |
CreditAnalytics.BondEODGSpreadFromYield(java.lang.String strBondId,
JulianDate dtEOD,
double dblYield)
Calculates the EOD bond G Spread from Yield
|
static double |
CreditAnalytics.BondEODISpreadFromPrice(java.lang.String strBondId,
JulianDate dtEOD,
double dblPrice)
Calculates the EOD bond I Spread from price
|
static double |
CreditAnalytics.BondEODISpreadFromTSYSpread(java.lang.String strBondId,
JulianDate dtEOD,
double dblTSYSpread)
Calculates the EOD bond I Spread from TSY Spread
|
static double |
CreditAnalytics.BondEODISpreadFromYield(java.lang.String strBondId,
JulianDate dtEOD,
double dblYield)
Calculates the EOD bond I Spread from Yield
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.BondEODMeasuresFromPrice(java.lang.String strBondId,
JulianDate dtEOD,
double dblPrice)
Get the full set of the Bond's EOD Measures From Clean Price
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.BondEODMeasuresFromTSYSpread(java.lang.String strBondId,
JulianDate dtEOD,
double dblTSYSpread)
Get the full set of the Bond's EOD Measures From the TSY Spread
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.BondEODMeasuresFromYield(java.lang.String strBondId,
JulianDate dtEOD,
double dblYield)
Get the full set of the Bond's EOD Measures From the Yield
|
static double |
CreditAnalytics.BondEODOASFromPrice(java.lang.String strBondId,
JulianDate dtEOD,
double dblPrice)
Calculates the EOD bond OAS from price
|
static double |
CreditAnalytics.BondEODOASFromTSYSpread(java.lang.String strBondId,
JulianDate dtEOD,
double dblTSYSpread)
Calculates the EOD bond OAS from TSY Spread
|
static double |
CreditAnalytics.BondEODOASFromYield(java.lang.String strBondId,
JulianDate dtEOD,
double dblYield)
Calculates the EOD bond OAS from Yield
|
static double |
CreditAnalytics.BondEODPECSFromPrice(java.lang.String strBondId,
JulianDate dtEOD,
double dblPrice)
Calculates the EOD Bond PECS from Price
|
static double |
CreditAnalytics.BondEODPECSFromTSYSpread(java.lang.String strBondId,
JulianDate dtEOD,
double dblTSYSpread)
Calculates the EOD Bond PECS from TSY Spread
|
static double |
CreditAnalytics.BondEODPECSFromYield(java.lang.String strBondId,
JulianDate dtEOD,
double dblYield)
Calculates the EOD Bond PECS from Yield
|
static double |
CreditAnalytics.BondEODPriceFromTSYSpread(java.lang.String strBondId,
JulianDate dtEOD,
double dblTSYSpread)
Calculates the EOD bond Price from TSY Spread
|
static double |
CreditAnalytics.BondEODPriceFromYield(java.lang.String strBondId,
JulianDate dtEOD,
double dblYield)
Calculates the EOD bond Price from Yield
|
static double |
CreditAnalytics.BondEODTSYSpreadFromPrice(java.lang.String strBondId,
JulianDate dtEOD,
double dblPrice)
Calculates the EOD bond TSY Spread from price
|
static double |
CreditAnalytics.BondEODTSYSpreadFromYield(java.lang.String strBondId,
JulianDate dtEOD,
double dblYield)
Calculates the EOD bond TSY Spread from Yield
|
static double |
CreditAnalytics.BondEODYieldFromPrice(java.lang.String strBondId,
JulianDate dtEOD,
double dblPrice)
Calculates the EOD bond yield from price
|
static double |
CreditAnalytics.BondEODYieldFromTSYSpread(java.lang.String strBondId,
JulianDate dtEOD,
double dblTSYSpread)
Calculates the EOD bond Yield from TSY Spread
|
static double |
CreditAnalytics.BondEODZSpreadFromPrice(java.lang.String strBondId,
JulianDate dtEOD,
double dblPrice)
Calculates the EOD bond Z Spread from price
|
static double |
CreditAnalytics.BondEODZSpreadFromTSYSpread(java.lang.String strBondId,
JulianDate dtEOD,
double dblTSYSpread)
Calculates the EOD bond Z Spread from TSY Spread
|
static double |
CreditAnalytics.BondEODZSpreadFromYield(java.lang.String strBondId,
JulianDate dtEOD,
double dblYield)
Calculates the EOD bond Z Spread from Yield
|
static double |
CreditAnalytics.BondGSpreadFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblPrice)
Calculates the bond G Spread from price (simplified version)
|
static double |
CreditAnalytics.BondGSpreadFromTSYSpread(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblTSYSpread)
Calculates the bond G spread from spread to a treasury benchmark (simplified version)
|
static double |
CreditAnalytics.BondGSpreadFromYield(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblYield)
Calculates the bond G spread from yield (simplified version)
|
static double |
CreditAnalytics.BondISpreadFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblPrice)
Calculates the bond I Spread from price (simplified version)
|
static double |
CreditAnalytics.BondISpreadFromTSYSpread(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblTSYSpread)
Calculates the bond I spread from spread to a treasury benchmark (simplified version)
|
static double |
CreditAnalytics.BondISpreadFromYield(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblYield)
Calculates the bond I spread from yield (simplified version)
|
static double |
CreditAnalytics.BondOASFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblPrice)
Calculates the bond OAS from price (simplified version)
|
static double |
CreditAnalytics.BondOASFromTSYSpread(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblTSYSpread)
Calculates the bond OAS from spread to a treasury benchmark (simplified version)
|
static double |
CreditAnalytics.BondPECSFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
CreditCurve cc,
double dblPrice)
Calculates the Bond PECS from price (simplified version)
|
static double |
CreditAnalytics.BondPECSFromTSYSpread(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
CreditCurve cc,
double dblTSYSpread)
Calculates the Bond PECS from spread to a treasury benchmark (simplified version)
|
static double |
CreditAnalytics.BondPECSFromYield(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
CreditCurve cc,
double dblYield)
Calculates the Bond PECS from yield (simplified version)
|
static double |
CreditAnalytics.BondPriceFromTSYSpread(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblTSYSpread)
Calculates the bond price from spread to a treasury benchmark (simplified version)
|
static double |
CreditAnalytics.BondPriceFromYield(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblYield)
Calculates the bond price from yield (simplified version)
|
static double |
CreditAnalytics.BondTSYSpreadFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblPrice)
Calculates the bond spread to treasury from price (simplified version)
|
static WorkoutInfo |
CreditAnalytics.BondWorkoutInfoFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblPrice)
Calculates the bond work-out details from price (Simplified version)
|
static double |
CreditAnalytics.BondYieldFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblPrice)
Calculates the bond yield from price (simplified version)
|
static double |
CreditAnalytics.BondYieldFromTSYSpread(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dcTSY,
double dblTSYSpread)
Calculates the bond yield from spread to a treasury benchmark (simplified version)
|
static double |
CreditAnalytics.BondZSpreadFromPrice(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblPrice)
Calculates the bond Z Spread from price (simplified version)
|
static double |
CreditAnalytics.BondZSpreadFromTSYSpread(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
DiscountCurve dcTSY,
double dblTSYSpread)
Calculates the bond Z spread from spread to a treasury benchmark (simplified version)
|
static double |
CreditAnalytics.BondZSpreadFromYield(java.lang.String strBondId,
JulianDate dt,
DiscountCurve dc,
double dblYield)
Calculates the bond Z spread from yield (simplified version)
|
static java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
CreditAnalytics.CreateFixingsObject(BondComponent bond,
JulianDate dtValue,
double dblFix)
Creates the fixings object for the given bond and fix coupon, based off of the period represented by
the specified date
|
static JulianDate |
CreditAnalytics.CurrentCouponDate(java.lang.String strBondId,
JulianDate dt)
Returns the coupon date for the coupon period current to the specified date for the specified bond
|
static Bond |
CreditAnalytics.GetBond(java.lang.String strBondId,
JulianDate dt)
Constructs/retrieves the bond object from a given bond ID and date
|
static EmbeddedOptionSchedule |
CreditAnalytics.GetBondCallEOS(java.lang.String strBondId,
JulianDate dt)
Retrieves the bond's call option schedule from the given date
|
static EmbeddedOptionSchedule |
CreditAnalytics.GetBondPutEOS(java.lang.String strBondId,
JulianDate dt)
Retrieves the bond's put option schedule from the given date
|
static java.util.Set<java.lang.String> |
CreditAnalytics.GetEODCDSCurveNames(JulianDate dtEOD)
Gets the set of CDS curves available for a given date
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.GetEODCDSMeasures(CreditDefaultSwap cds,
JulianDate dtEOD)
Calculates the EOD Measures for the CDS using the closing discount and the credit curves
|
static java.util.Set<java.lang.String> |
CreditAnalytics.GetEODIRCurveNames(JulianDate dtEOD)
Retrieves the names of all the IR curves corresponding to the given date
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.GetEODOnTheRunTSYSetYield(JulianDate dtEOD)
Gets the set of on-the-run treasury yields for a given EOD
|
static java.util.Set<java.lang.String> |
CreditAnalytics.GetEODTSYCurveNames(JulianDate dtEOD)
Gets the set of treasury curves available for a given date
|
static java.util.Map<JulianDate,java.lang.Double> |
CreditAnalytics.GetIssuerAggregateOutstandingNotional(JulianDate dtToday,
java.lang.String strTicker,
JulianDate[] adtAscending)
Gets the outstanding issuer cumulative notional aggregated by the specified ascending maturity buckets
|
static java.util.Map<JulianDate,java.lang.Double> |
CreditAnalytics.GetIssuerAggregateOutstandingNotional(JulianDate dtToday,
java.lang.String strTicker,
JulianDate[] adtAscending)
Gets the outstanding issuer cumulative notional aggregated by the specified ascending maturity buckets
|
static CaseInsensitiveTreeMap<java.lang.String> |
CreditAnalytics.GetOnTheRunTSYSet(JulianDate dt)
Gets the on-the-run treasury set string for the given date
|
static java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> |
CreditAnalytics.GetOnTheRunTSYSetYield(JulianDate dtStart,
JulianDate dtEnd)
Gets the set of on-the-run treasury yields for a set of dates
|
static boolean |
CreditAnalytics.IsHoliday(java.lang.String strLocationSet,
JulianDate dt)
Indicates whether the given date is a holiday in the calendar set.
|
static CreditCurve |
CreditAnalytics.LoadEODBondCreditCurve(java.lang.String strName,
JulianDate dtEOD)
Loads the closing bond credit curve
|
static java.util.Map<JulianDate,CreditCurve> |
CreditAnalytics.LoadEODBondCreditCurve(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of bond credit curves between two dates
|
static CreditCurve |
CreditAnalytics.LoadEODCDSCreditCurve(java.lang.String strName,
java.lang.String strCurrency,
JulianDate dtEOD)
Loads the closing CDS curve
|
static java.util.Map<JulianDate,CreditCurve> |
CreditAnalytics.LoadEODCDSCreditCurves(java.lang.String strName,
java.lang.String strCurrency,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of CDS credit curves between two dates
|
static DiscountCurve |
CreditAnalytics.LoadEODEDFCurve(java.lang.String strName,
JulianDate dtEOD)
Loads the closing IR EDF curve
|
static java.util.Map<JulianDate,DiscountCurve> |
CreditAnalytics.LoadEODEDFCurves(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of EDF discount curves between two dates
|
static CreditCurve |
CreditAnalytics.LoadEODFullCreditCurve(java.lang.String strName,
JulianDate dtEOD)
Loads the closing credit curve
|
static java.util.Map<JulianDate,CreditCurve> |
CreditAnalytics.LoadEODFullCreditCurve(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of credit curves between two dates
|
static DiscountCurve |
CreditAnalytics.LoadEODFullIRCurve(java.lang.String strName,
JulianDate dtEOD)
Loads the closing IR curve
|
static java.util.Map<JulianDate,DiscountCurve> |
CreditAnalytics.LoadEODFullIRCurves(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of discount curves between two dates
|
static DiscountCurve |
CreditAnalytics.LoadEODIRCashCurve(java.lang.String strName,
JulianDate dtEOD)
Loads the closing IR cash curve
|
static java.util.Map<JulianDate,DiscountCurve> |
CreditAnalytics.LoadEODIRCashCurves(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of cash discount curves between two dates
|
static DiscountCurve |
CreditAnalytics.LoadEODIRSwapCurve(java.lang.String strName,
JulianDate dtEOD)
Loads the closing IR swap curve
|
static java.util.Map<JulianDate,DiscountCurve> |
CreditAnalytics.LoadEODIRSwapCurves(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of swap discount curves between two dates
|
static DiscountCurve |
CreditAnalytics.LoadEODTSYCurve(java.lang.String strName,
JulianDate dtEOD)
Loads the closing TSY curve
|
static java.util.Map<JulianDate,DiscountCurve> |
CreditAnalytics.LoadEODTSYCurves(java.lang.String strName,
JulianDate dtStart,
JulianDate dtEnd)
Loads the set of TSY discount curves between two dates
|
static BasketProduct |
CreditAnalytics.MakeBondBasket(java.lang.String strName,
java.lang.String[] astrBondId,
double[] adblWeights,
JulianDate dtEffective,
double dblNotional) |
static BasketProduct |
CreditAnalytics.MakeCDX(java.lang.String strIndex,
JulianDate dt,
java.lang.String strTenor)
Makes an on-the-run CDX product for the given index, the date, and the tenor
|
static Component |
CreditAnalytics.MakeInstrumentFromCode(JulianDate dt,
java.lang.String strCode)
Constructs the calibration component from the specified component code for the specified date
|
static Component[] |
CreditAnalytics.MakeStdInstrumentSet(JulianDate dt,
int iNumInstr,
java.lang.String strType)
Constructs an array of calibration components for the specified component type and number for the
specified date
|
static JulianDate |
CreditAnalytics.NextCouponDate(java.lang.String strBondId,
JulianDate dt)
Returns the coupon date for the period subsequent to the specified date for the specified bond
|
static ExerciseInfo |
CreditAnalytics.NextExerciseInfo(java.lang.String strBondId,
JulianDate dt)
Returns the next valid exercise info (post notice period adjustments) subsequent to the specified date
|
static JulianDate |
CreditAnalytics.PreviousCouponDate(java.lang.String strBondId,
JulianDate dt)
Returns the coupon date for the period prior to the specified date for the specified bond
|
static JulianDate |
CreditAnalytics.RollDate(JulianDate dt,
java.lang.String strCalendarSet,
int iRollMode)
Rolls the given date according to the calendar set and the roll mode
|
static double |
CreditAnalytics.YearFraction(JulianDate dtStart,
JulianDate dtEnd,
java.lang.String strDayCount,
boolean bApplyEOMAdj,
java.lang.String strCalendar)
Computes the year fraction between two JulianDates according the given day count
|
static double |
CreditAnalytics.YearFraction(JulianDate dtStart,
JulianDate dtEnd,
java.lang.String strDayCount,
java.lang.String strCalendar)
Computes the year fraction between two JulianDates according the given day count
|
Modifier and Type | Method and Description |
---|---|
static CreditCurve |
CreditAnalyticsProxy.MakeCC(JulianDate dtStart,
DiscountCurve dc) |
Modifier and Type | Method and Description |
---|---|
static java.util.Map<JulianDate,java.lang.Integer> |
StandardCDXManager.GetCDXSeriesMap(java.lang.String strCDXName)
Returns the full set of CDX series/first coupon date pairs for the given CDX
|
static java.util.Map<JulianDate,java.lang.Integer> |
StandardCDXManager.GetPreLoadedCDXSeriesMap(java.lang.String strCDXName)
Returns the full set of pre-loaded CDX series/first coupon date pairs for the given CDX
|
static java.util.Map<JulianDate,java.lang.Integer> |
StandardCDXManager.GetPresetCDXSeriesMap(java.lang.String strCDXName)
Returns the full set of pre-set CDX series/first coupon date pairs for the given CDX
|
Modifier and Type | Method and Description |
---|---|
static boolean |
EODCurves.AddTSYQuotesToMPC(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency)
Adds the TSY quotes to the specified MPC
|
static boolean |
EODCurves.BuildCREOD(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strSPN,
java.lang.String strCurrency)
Builds the EOD credit curve, and loads it to the MPC
|
static boolean |
StaticBACurves.BuildEDSFCurve(MarketParams mpc,
JulianDate dt,
java.lang.String strCurrency)
Builds the EDSF curve from custom/user defined marks and adds it to the MarketParams for the
given EOD and currency
|
static CreditScenarioCurve |
EODCurves.BuildEODCreditCurve(java.sql.Statement stmt,
JulianDate dtEOD,
DiscountCurve dc,
java.lang.String strSPN,
java.lang.String strCurrency)
Builds the credit curve's CreditScenarioCurve for the given EOD and currency from the
corresponding marks
|
static RatesScenarioCurve |
EODCurves.BuildEODIRCurve(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency,
java.lang.String strInstrSetType,
java.lang.String strCurveName)
Builds the closing IRCurveScenarioContainer for the specific discount curve instrument set type
(treasury or rates instruments), given the EOD and the currency
|
static RatesScenarioCurve |
EODCurves.BuildEODIRCurveOfCode(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency,
java.lang.String strInstrCode,
java.lang.String strInstrSetType,
java.lang.String strCurveName)
Builds the closing IRCurveScenarioContainer for the specific discount curve instruments given the EOD
and the currency
|
static boolean |
EODCurves.BuildIREODCurve(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency)
Builds the complete set of rates EOD curves for the given currency, and loads them to the MPC
|
static boolean |
StaticBACurves.BuildTSYCurve(MarketParams mpc,
JulianDate dt,
java.lang.String strCurrency)
Builds the treasury curve from custom/user defined marks and adds it to the MarketParams for
the given EOD and currency
|
static boolean |
EODCurves.BuildTSYEODCurve(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency)
Builds the complete set of treasury EOD curves for the given currency, and loads them to the MPC
|
static boolean |
BondManager.CalcAndLoadBondClosingMeasures(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEODStart,
JulianDate dtEODFinish)
Calculates and saves the measures for all the bonds from their market prices for all EODs between a
given pair of dates
|
static boolean |
CDSManager.CalcAndLoadCDSClosingMeasures(java.sql.Statement stmt,
JulianDate dtEODStart,
JulianDate dtEODFinish)
Saves the EOD measures corresponding to all the credit curves between a pair of EODs using the USD
curve
|
static CaseInsensitiveTreeMap<BondRVMeasures> |
BondManager.CalcBondAnalyticsFromPrice(java.lang.String strCUSIPIn,
MarketParams mpc,
JulianDate dt,
double dblBidPrice,
double dblAskPrice)
Calculates the full set of calculable bond measures given the CUSIP, the valuation parameters, and the
prices.
|
static int |
BondManager.CalcFullBondAnalytics(MarketParams mpc,
JulianDate dt,
double dblBidPrice,
double dblAskPrice)
Calculates the full set of bond measures for all available bonds given the same bid and ask prices.
|
static boolean |
BondManager.CalcMarketMeasuresForTicker(java.lang.String strTicker,
MarketParams mpc,
JulianDate dt)
Calculates the bond measures corresponding to the bonds in the ticker from their market prices
|
static boolean |
BondManager.CalcMeasuresForTicker(java.lang.String strTicker,
MarketParams mpc,
JulianDate dt,
double dblBidPrice,
double dblAskPrice)
Calculates the bond measures corresponding to the bonds in the ticker from the given price
|
static int |
BondManager.FullBondMarketAnalytics(MarketParams mpc,
JulianDate dt)
Calculates the complete set of bond measures for all the bonds from their closing bid/ask prices.
|
static java.util.Set<java.lang.String> |
RatesManager.GetAvailableEODIRCurveNames(java.sql.Statement stmt,
JulianDate dtEOD)
Retrieves all the IR curves of any type for a given EOD
|
static java.util.Set<java.lang.String> |
CDSManager.GetCreditCurves(java.sql.Statement stmt,
JulianDate dtEOD)
Retrieves all the credit curves for a given date
|
static java.util.Set<java.lang.String> |
RatesManager.GetIRCurves(java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strInstrSetType)
Retrieves all the IR curves of the type for a given EOD
|
static double |
BondManager.GetMidMarksForCUSIP(java.lang.String strCUSIP,
JulianDate dt,
java.sql.Statement stmt)
Retrieves the mid marks (price/spreads) for the given ISIN/CUSIP and the valuation date
|
static BasketProduct |
StandardCDXManager.GetOnTheRun(java.lang.String strIndex,
JulianDate dt,
java.lang.String strTenor)
Retrieves the on-the-run for the index and tenor corresponding to the specified date
|
static CaseInsensitiveTreeMap<ComponentQuote> |
EODCurves.GetTSYQuotes(java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency)
Retrieves the treasury quotes for the specified EOD and currency
|
static DiscountCurve |
EODCurves.LoadEODIR(java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency,
java.lang.String strInstrType,
java.lang.String strCurveName)
Creates the named base IR curve based on the set of instruments and their types for a given EOD
|
static boolean |
EODCurves.LoadEODIROfCodeToMPC(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency,
java.lang.String strInstrCode,
java.lang.String strInstrType,
java.lang.String strCurveName)
Builds the closing IRCurveScenarioContainer for the specific discount curve instrument set (cash or
EDF or swaps), the EOD, and the currency, and loads it to the input MPC
|
static boolean |
EODCurves.LoadEODIRToMPC(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency,
java.lang.String strInstrType,
java.lang.String strCurveName)
Builds the closing IRCurveScenarioContainer for the specific discount curve instrument set type
(treasury or rates instruments), the given EOD, and the currency, and loads it to the input MPC
|
static boolean |
CDSManager.LoadFullCreditCurves(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD)
Load the complete set of credit curves for a given EOD
|
static boolean |
RatesManager.LoadFullIRCurves(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD)
Loads the entire set of IR curves of every type for a given EOD onto the MPC
|
static boolean |
BondManager.LoadMidBondMarks(JulianDate dt,
java.sql.Statement stmt)
Loads all the mid bond marks for the given EOD
|
static MarketParams |
EnvManager.PopulateMPC(java.sql.Statement stmt,
JulianDate dt)
Populates the MarketParams with the closing discount curves, closing credit curves, and other
market objects for the given EOD
|
static int |
BondManager.SaveBondCalcMeasures(java.sql.Statement stmt,
JulianDate dtEOD)
Calculates and saves the measures for all the bonds form their market prices for a given EOD
|
static boolean |
CDSManager.SaveCreditCalibMeasures(java.sql.Statement stmt,
JulianDate dtEOD)
Saves the EOD measures corresponding to all the credit curves for a given EOD using the USD curve
|
static boolean |
CDSManager.SaveCREOD(MarketParams mpc,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency)
Saves the EOD measures corresponding to all the credit curves for a given EOD and currency
|
static boolean |
CDSManager.SaveSPNCalibMeasures(MarketParams mpc,
java.sql.Statement stmt,
java.lang.String strSPN,
JulianDate dtEOD)
Saves the EOD CDS measures for a given curve and a EOD using the USD curve
|
static boolean |
CDSManager.SaveSPNEOD(java.sql.Statement stmt,
MarketParams mpc,
java.lang.String strSPN,
JulianDate dtEOD,
java.lang.String strCurrency)
Saves the EOD CDS measures for a credit curve in a given EOD
|
static boolean |
StaticBACurves.setCC(MarketParams mpc,
JulianDate dt,
java.lang.String strCC,
java.lang.String strIR,
double dblFixedCoupon,
double dblFairPremium,
double dblRecovery)
Builds the credit curve from a set of custom/user-defined quotes for a given EOD and loads them onto
the MPC
|
static boolean |
StaticBACurves.setDC(MarketParams mpc,
JulianDate dt,
java.lang.String strCurrency)
Builds the full IR curve from custom/user defined marks and adds it to the MarketParams for
the given EOD and currency
|
Modifier and Type | Method and Description |
---|---|
static RatesScenarioCurve |
EODCurves.BuildEODIRCurve(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency,
java.lang.String strInstrSetType,
java.lang.String strCurveName)
Builds the closing IRCurveScenarioContainer for the specific discount curve instrument set type
(treasury or rates instruments), given the EOD and the currency
|
static RatesScenarioCurve |
EODCurves.BuildEODIRCurveOfCode(java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
java.sql.Statement stmt,
JulianDate dtEOD,
java.lang.String strCurrency,
java.lang.String strInstrCode,
java.lang.String strInstrSetType,
java.lang.String strCurveName)
Builds the closing IRCurveScenarioContainer for the specific discount curve instruments given the EOD
and the currency
|
Modifier and Type | Method and Description |
---|---|
static void |
BondTestSuite.RunFullBondTests(MarketParams mpc,
JulianDate dt,
double dblBidPrice,
double dblAskPrice) |
static void |
BondTestSuite.RunFullMarketBondTests(MarketParams mpc,
JulianDate dt) |
static void |
ProductTestSuite.testCC(MarketParams mpc,
JulianDate dt,
int iTestMode,
int iTestDetail) |