Package | Description |
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org.drip.product.creator | |
org.drip.product.credit | |
org.drip.product.params | |
org.drip.product.rates |
Modifier and Type | Method and Description |
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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
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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
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Constructor and Description |
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CDSComponent(double dblEffective,
double dblMaturity,
double dblCoupon,
int iFreq,
java.lang.String strCouponDC,
java.lang.String strAccrualDC,
java.lang.String strFloatingRateIndex,
boolean bConvCDS,
DateAdjustParams dapEffective,
DateAdjustParams dapMaturity,
DateAdjustParams dapPeriodStart,
DateAdjustParams dapPeriodEnd,
DateAdjustParams dapAccrualStart,
DateAdjustParams dapAccrualEnd,
DateAdjustParams dapPay,
DateAdjustParams dapReset,
FactorSchedule notlSchedule,
double dblNotional,
java.lang.String strIR,
CreditSetting crValParams,
java.lang.String strCalendar)
CDSComponent constructor: Most generic CDS creation functionality
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Modifier and Type | Field and Description |
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FactorSchedule |
CouponSetting._fsCoupon
Coupon schedule
|
FactorSchedule |
NotionalSetting._fsPrincipalOutstanding
Notional Schedule
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Modifier and Type | Method and Description |
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static FactorSchedule |
FactorSchedule.CreateBulletSchedule()
Creates factor schedule of flat unit notional
|
static FactorSchedule |
FactorSchedule.CreateFromDateFactorArray(double[] adblDate,
double[] adblFactor)
Creates the factor schedule from a matched array of dates and factors
|
static FactorSchedule |
FactorSchedule.CreateFromDateFactorDeltaArray(double[] adblDate,
double[] adblFactorDelta)
Creates the factor schedule from a matched array of dates and factor deltas
|
static FactorSchedule |
FactorSchedule.CreateFromDateFactorSet(java.lang.String strDates,
java.lang.String strFactors)
Creates the factor schedule from a matched string array of dates and factors
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Constructor and Description |
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CouponSetting(FactorSchedule fsCoupon,
java.lang.String strCouponType,
double dblCoupon,
double dblCouponCeiling,
double dblCouponFloor)
Constructs the CouponSetting from the coupon schedule, coupon type, and the coupon amount
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NotionalSetting(FactorSchedule fsPrincipalOutstanding,
double dblNotional,
int iPeriodAmortizationMode,
boolean bPriceOffOriginalNotional)
Constructs the NotionalSetting from the notional schedule and the amount.
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Constructor and Description |
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FixedStream(double dblEffective,
double dblMaturity,
double dblCoupon,
int iFreq,
java.lang.String strCouponDC,
java.lang.String strAccrualDC,
boolean bFullStub,
DateAdjustParams dapEffective,
DateAdjustParams dapMaturity,
DateAdjustParams dapPeriodStart,
DateAdjustParams dapPeriodEnd,
DateAdjustParams dapAccrualStart,
DateAdjustParams dapAccrualEnd,
DateAdjustParams dapPay,
FactorSchedule notlSchedule,
double dblNotional,
java.lang.String strIR,
java.lang.String strCalendar)
Full-featured instantiation of the Fixed Stream instance
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FloatingStream(double dblEffective,
double dblMaturity,
double dblSpread,
int iFreq,
java.lang.String strCouponDC,
java.lang.String strAccrualDC,
java.lang.String strFloatingRateIndex,
boolean bFullStub,
DateAdjustParams dapEffective,
DateAdjustParams dapMaturity,
DateAdjustParams dapPeriodStart,
DateAdjustParams dapPeriodEnd,
DateAdjustParams dapAccrualStart,
DateAdjustParams dapAccrualEnd,
DateAdjustParams dapPay,
DateAdjustParams dapReset,
FactorSchedule notlSchedule,
double dblNotional,
java.lang.String strIR,
java.lang.String strCalendar)
FloatingStream constructor
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