Class | Description |
---|---|
BasketMarketParams |
BasketMarketParams class extends the BaketMarketParamsRef for a specific scenario.
|
CalibrationParams |
CalibrationParams the calibration parameters - the measure to be calibrated, the type/nature of the
calibration to be performed, and the work-out date to which the calibration is done.
|
ComponentMarketParams |
ComponentMarketParams abstract class provides stub for the ComponentMarketParamsRef interface.
|
ComponentQuote |
ComponentQuote abstract class holds the different types of quotes for a given component.
|
CreditNodeTweakParams |
CreditNodeTweakParams contains the place holder for the credit curve scenario tweak parameters: the
measure, the curve node, and the nodal calibration type (entire curve/flat or a given tenor point).
|
CreditScenarioCurve |
CreditScenarioCurve abstract class exposes the bump parameters and the curves for the following credit
curve scenarios:
- Base, Flat Spread/Recovery bumps
- Spread/Recovery Tenor bumped up/down credit curve sets keyed using the tenor.
|
MarketParams |
MarketParams is the place holder for the comprehensive suite of the market set of curves for the given
date.
|
NodeTweakParams |
NodeTweakParams contains the place holder for the scenario tweak parameters, for either a specific curve
node, or the entire curve (flat).
|
Quote |
Quote interface contains the stubs corresponding to a product quote.
|
RatesScenarioCurve |
RatesScenarioCurve abstract class exposes the interface the constructs scenario discount curves.
|