Package | Description |
---|---|
org.drip.historical.attribution | |
org.drip.historical.engine | |
org.drip.service.product | |
org.drip.state.inference |
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveHashMap<java.lang.Double> |
PositionChangeComponents.differenceMetric()
Retrieve the Map of Difference Metrics
|
Constructor and Description |
---|
PositionChangeComponents(boolean bChangeTypeReturn,
PositionMarketSnap pmsFirst,
PositionMarketSnap pmsSecond,
double dblAccrualChange,
CaseInsensitiveHashMap<java.lang.Double> mapDifferenceMetric)
PositionChangeComponents Constructor
|
Modifier and Type | Method and Description |
---|---|
CaseInsensitiveHashMap<java.lang.Double> |
TreasuryBondExplainProcessor.crossHorizonDifferentialMetrics(PositionMarketSnap pmsFirst,
PositionMarketSnap pmsSecond) |
abstract CaseInsensitiveHashMap<java.lang.Double> |
HorizonChangeExplainProcessor.crossHorizonDifferentialMetrics(PositionMarketSnap pmsFirst,
PositionMarketSnap pmsSecond)
Generate the Horizon Differential Metrics Map
|
CaseInsensitiveHashMap<java.lang.Double> |
FixFloatExplainProcessor.crossHorizonDifferentialMetrics(PositionMarketSnap pmsFirst,
PositionMarketSnap pmsSecond) |
CaseInsensitiveHashMap<java.lang.Double> |
MarketMeasureRollDown.horizon()
Retrieve the Roll Down Horizon Metric Map
|
CaseInsensitiveHashMap<CurveSurfaceQuoteContainer> |
HorizonChangeExplainProcessor.rollDownMarketParameters()
Retrieve the Map of the Roll Down Market Parameters
|
Constructor and Description |
---|
FixFloatExplainProcessor(FixFloatComponent ffc,
int iSettleLag,
java.lang.String strMarketMeasureName,
double dblMarketMeasureValue,
JulianDate dtFirst,
JulianDate dtSecond,
CurveSurfaceQuoteContainer csqcFirst,
CurveSurfaceQuoteContainer csqcSecond,
CaseInsensitiveHashMap<CurveSurfaceQuoteContainer> mapCSQCRollDown)
FixFloatExplainProcessor Constructor
|
TreasuryBondExplainProcessor(TreasuryComponent tsyComponent,
java.lang.String strMarketMeasureName,
double dblMarketMeasureValue,
JulianDate dtFirst,
JulianDate dtSecond,
CurveSurfaceQuoteContainer csqcFirst,
CurveSurfaceQuoteContainer csqcSecond,
CaseInsensitiveHashMap<CurveSurfaceQuoteContainer> mapCSQCRollDown)
TreasuryBondExplainProcessor Constructor
|
Modifier and Type | Method and Description |
---|---|
static PositionChangeComponents |
TreasuryAPI.HorizonChangeAttribution(GovvieCurve gcFirst,
GovvieCurve gcSecond,
CaseInsensitiveHashMap<GovvieCurve> mapRollDownGovvieCurve,
java.lang.String strMaturityTenor,
java.lang.String strCode)
Compute the Horizon Change Attribution Details for the Specified Treasury Bond
|
static PositionChangeComponents |
FixFloatAPI.HorizonChangeAttribution(MergedDiscountForwardCurve dcFirst,
MergedDiscountForwardCurve dcSecond,
CaseInsensitiveHashMap<MergedDiscountForwardCurve> mapRollDownDiscountCurve,
java.lang.String strMaturityTenor)
Compute the Horizon Change Attribution Details for the Specified Fix-Float Swap
|
Constructor and Description |
---|
LatentStateSequenceBuilder(double dblEpochResponse,
LatentStateStretchSpec stretchSpec,
ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
Span span,
StretchBestFitResponse sbfr,
CaseInsensitiveHashMap<PreceedingManifestSensitivityControl> mapPMSC,
StretchBestFitResponse sbfrQuoteSensitivity,
BoundarySettings bs)
LatentStateSequenceBuilder constructor
|