public class CreditCurveScenarioContainer extends CreditScenarioCurve
CC_BASE, CC_FLAT_DN, CC_FLAT_UP, CC_RR_FLAT_DN, CC_RR_FLAT_UP, CC_TENOR_DN, CC_TENOR_UP
Constructor and Description |
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CreditCurveScenarioContainer(CalibratableComponent[] aCalibInst,
double dblCouponBump,
double dblRecoveryBump)
Constructs CreditCurveScenarioContainer from the array of calibration instruments, the coupon bump
parameter, and the recovery bump parameter
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Modifier and Type | Method and Description |
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boolean |
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
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boolean |
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
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CreditCurve |
getCCBase()
Return the base credit curve
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CreditCurve |
getCCBumpDn()
Return the bump down credit curve
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CreditCurve |
getCCBumpUp()
Return the bump up credit curve
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CreditCurve |
getCCRecoveryDn()
Return the recovery bump down credit curve
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CreditCurve |
getCCRecoveryUp()
Return the recovery bump up credit curve
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CaseInsensitiveTreeMap<CreditCurve> |
getTenorCCBumpDn()
Return the tenor bump down credit curve map
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CaseInsensitiveTreeMap<CreditCurve> |
getTenorCCBumpUp()
Return the tenor bump up credit curve map
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public CreditCurveScenarioContainer(CalibratableComponent[] aCalibInst, double dblCouponBump, double dblRecoveryBump) throws java.lang.Exception
aCalibInst
- Array of calibration instrumentsdblCouponBump
- Coupon BumpdblRecoveryBump
- Recovery Bumpjava.lang.Exception
- Thrown if inputs are invalidpublic boolean 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)
CreditScenarioCurve
cookScenarioCC
in class CreditScenarioCurve
strName
- Credit Curve NamevalParams
- ValuationParamsdc
- Base Discount CurvedcTSY
- Treasury Discount CurvedcEDSF
- EDSF Discount CurveadblQuotes
- Matched array of QuotesdblRecovery
- Curve RecoveryastrCalibMeasure
- Matched array of Calibration measuresmmFixings
- Double map of date/rate index and fixingsquotingParams
- Quoting ParametersbFlat
- Whether the calibration is to a flat curveiCCScenario
- One of the values in the CC_ enum listed above.public boolean 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)
CreditScenarioCurve
cookCustomCC
in class CreditScenarioCurve
strName
- Scenario Credit Curve NamestrCustomName
- Scenario NamevalParams
- Valuation Parametersdc
- Discount CurvedcTSY
- TSY Discount CurvedcEDSF
- EDSF Discount CurveadblQuotes
- Double array of input quotesdblRecovery
- Recovery RateastrCalibMeasure
- Array of calibration measuresmmFixings
- Date/Index fixingsquotingParams
- Calibration quoting parametersbFlat
- Whether the calibration is flatntpDC
- Node Tweak Parameters for the Base Discount CurventpTSY
- Node Tweak Parameters for the TSY Discount CurventpEDSF
- Node Tweak Parameters for the EDSF Discount CurventpCC
- Node Tweak Parameters for the Credit Curvepublic CreditCurve getCCBase()
CreditScenarioCurve
getCCBase
in class CreditScenarioCurve
public CreditCurve getCCBumpUp()
CreditScenarioCurve
getCCBumpUp
in class CreditScenarioCurve
public CreditCurve getCCBumpDn()
CreditScenarioCurve
getCCBumpDn
in class CreditScenarioCurve
public CreditCurve getCCRecoveryUp()
CreditScenarioCurve
getCCRecoveryUp
in class CreditScenarioCurve
public CreditCurve getCCRecoveryDn()
CreditScenarioCurve
getCCRecoveryDn
in class CreditScenarioCurve
public CaseInsensitiveTreeMap<CreditCurve> getTenorCCBumpUp()
CreditScenarioCurve
getTenorCCBumpUp
in class CreditScenarioCurve
public CaseInsensitiveTreeMap<CreditCurve> getTenorCCBumpDn()
CreditScenarioCurve
getTenorCCBumpDn
in class CreditScenarioCurve