Uses of Class
org.drip.param.market.LatentStateFixingsContainer

Packages that use LatentStateFixingsContainer

Package	Description
org.drip.analytics.input
org.drip.analytics.support
org.drip.param.creator
org.drip.param.definition
org.drip.param.market
org.drip.state.boot
org.drip.state.creator
org.drip.state.credit
org.drip.state.nonlinear

Uses of LatentStateFixingsContainer in org.drip.analytics.input

Methods in org.drip.analytics.input that return LatentStateFixingsContainer

Modifier and Type	Method and Description
LatentStateFixingsContainer	LatentStateShapePreservingCCIS.fixing()
LatentStateFixingsContainer	CurveConstructionInputSet.fixing() Retrieve the Latent State Fixings Container
LatentStateFixingsContainer	BootCurveConstructionInput.fixing()

Methods in org.drip.analytics.input with parameters of type LatentStateFixingsContainer

Modifier and Type	Method and Description
static BootCurveConstructionInput	BootCurveConstructionInput.Create(ValuationParams valParam, ValuationCustomizationParams quotingParam, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, LatentStateFixingsContainer lsfc) Create an Instance of BootCurveConstructionInput from the given Calibration Inputs

Constructors in org.drip.analytics.input with parameters of type LatentStateFixingsContainer

Constructor and Description
BootCurveConstructionInput(ValuationParams valParam, ValuationCustomizationParams quotingParam, CalibratableComponent[] aCalibInst, CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> mapQuote, CaseInsensitiveTreeMap<java.lang.String[]> mapMeasures, LatentStateFixingsContainer lsfc) BootCurveConstructionInput constructor

Uses of LatentStateFixingsContainer in org.drip.analytics.support

Methods in org.drip.analytics.support that return LatentStateFixingsContainer

Modifier and Type	Method and Description
static LatentStateFixingsContainer	Helper.CreateFixingsObject(Bond bond, JulianDate dtFixing, double dblFixing) Create the Latent State Fixings object from the bond, the fixings date, and the fixing.

Uses of LatentStateFixingsContainer in org.drip.param.creator

Methods in org.drip.param.creator with parameters of type LatentStateFixingsContainer

Modifier and Type	Method and Description
static CurveSurfaceQuoteContainer	MarketParamsBuilder.Create(MergedDiscountForwardCurve dcFunding, ForwardCurve fc, GovvieCurve gc, CreditCurve cc, java.lang.String strComponentCode, ProductQuote compQuote, CaseInsensitiveTreeMap<ProductQuote> mTSYQuotes, LatentStateFixingsContainer lsfc) Create a Market Parameters instance with the funding discount curve, the forward discount curve, the govvie curve, the credit curve, the component quote, the map of treasury benchmark quotes, and the Latent State Fixings Instance.
static CurveSurfaceQuoteContainer	MarketParamsBuilder.Create(MergedDiscountForwardCurve dcFunding, GovvieCurve gc, CreditCurve cc, java.lang.String strComponentCode, ProductQuote compQuote, CaseInsensitiveTreeMap<ProductQuote> mTSYQuotes, LatentStateFixingsContainer lsfc) Create a Market Parameters Instance with the Funding Curve, the Govvie Curve, the Credit Curve, the component quote, the map of treasury benchmark quotes, and the Latent State Fixings Container

Uses of LatentStateFixingsContainer in org.drip.param.definition

Methods in org.drip.param.definition that return LatentStateFixingsContainer

Modifier and Type	Method and Description
abstract LatentStateFixingsContainer	ScenarioMarketParams.fixings() Retrieve the Latent State Fixings Container

Uses of LatentStateFixingsContainer in org.drip.param.market

Methods in org.drip.param.market that return LatentStateFixingsContainer

Modifier and Type	Method and Description
LatentStateFixingsContainer	CurveSurfaceScenarioContainer.fixings()
LatentStateFixingsContainer	CurveSurfaceQuoteContainer.fixings() Retrieve the Latent State Fixings

Methods in org.drip.param.market with parameters of type LatentStateFixingsContainer

Modifier and Type	Method and Description
boolean	CreditCurveScenarioContainer.cookCustomCC(java.lang.String strName, java.lang.String strCustomName, ValuationParams valParams, MergedDiscountForwardCurve dc, GovvieCurve gc, java.lang.String[] astrCalibMeasure, double[] adblQuote, double dblRecovery, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp, boolean bFlat, ManifestMeasureTweak rvtpDC, ManifestMeasureTweak rvtpTSY, ManifestMeasureTweak rvtpCC) Cook the credit curve according to the desired tweak parameters
boolean	CreditCurveScenarioContainer.cookScenarioCC(java.lang.String strName, ValuationParams valParams, MergedDiscountForwardCurve dc, GovvieCurve gc, java.lang.String[] astrCalibMeasure, double[] adblQuote, double dblRecovery, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp, boolean bFlat, int iScenario) Cook and save the credit curves corresponding to the scenario specified
boolean	DiscountCurveScenarioContainer.cookScenarioDC(ValuationParams valParams, GovvieCurve gc, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblBump, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp, int iDCMode) Generate the set of discount curves from the scenario specified, and the instrument quotes
boolean	CurveSurfaceQuoteContainer.setFixings(LatentStateFixingsContainer lsfc) Set the Latent State Fixings Container Instance

Uses of LatentStateFixingsContainer in org.drip.state.boot

Methods in org.drip.state.boot with parameters of type LatentStateFixingsContainer

Modifier and Type	Method and Description
static CreditCurve	CreditCurveScenario.Standard(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblRecovery, boolean bFlat, MergedDiscountForwardCurve dc, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a Credit Curve
static VolatilityCurve	VolatilityCurveScenario.Standard(java.lang.String strName, ValuationParams valParams, LatentStateLabel lslUnderlying, FRAStandardCapFloor[] aFRACapFloor, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, boolean bFlat, MergedDiscountForwardCurve dc, ForwardCurve fc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a Volatility Curve
static MergedDiscountForwardCurve	DiscountCurveScenario.Standard(ValuationParams valParams, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblBump, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a discount curve
static CreditCurve[]	CreditCurveScenario.Tenor(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblRecovery, boolean bFlat, double dblBump, MergedDiscountForwardCurve dc, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Create an array of tenor bumped credit curves
static VolatilityCurve[]	VolatilityCurveScenario.Tenor(java.lang.String strName, ValuationParams valParams, LatentStateLabel lslUnderlying, FRAStandardCapFloor[] aFRACapFloor, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, boolean bFlat, double dblBump, MergedDiscountForwardCurve dc, ForwardCurve fc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Create an array of tenor bumped Volatility curves
static MergedDiscountForwardCurve[]	DiscountCurveScenario.Tenor(ValuationParams valParams, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblBump, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate an array of tenor bumped discount curves
static CaseInsensitiveTreeMap<CreditCurve>	CreditCurveScenario.TenorMap(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblRecovery, boolean bFlat, double dblBump, MergedDiscountForwardCurve dc, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Create an tenor named map of tenor bumped credit curves
CaseInsensitiveTreeMap<VolatilityCurve>	VolatilityCurveScenario.TenorMap(java.lang.String strName, ValuationParams valParams, LatentStateLabel lslUnderlying, FRAStandardCapFloor[] aFRACapFloor, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, boolean bFlat, double dblBump, MergedDiscountForwardCurve dc, ForwardCurve fc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Create an tenor named map of tenor bumped Volatility curves
static CaseInsensitiveTreeMap<MergedDiscountForwardCurve>	DiscountCurveScenario.TenorMap(ValuationParams valParams, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblBump, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a tenor map of tenor bumped discount curves

Uses of LatentStateFixingsContainer in org.drip.state.creator

Methods in org.drip.state.creator with parameters of type LatentStateFixingsContainer

Modifier and Type	Method and Description
static MergedDiscountForwardCurve	ScenarioDiscountCurveBuilder.NonlinearBuild(JulianDate dt, java.lang.String strCurrency, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, LatentStateFixingsContainer lsfc) Create Discount Curve from the Calibration Instruments
static VolatilityCurve	ScenarioLocalVolatilityBuilder.NonlinearBuild(java.lang.String strName, JulianDate dtSpot, LatentStateLabel lslUnderlying, FRAStandardCapFloor[] aFRACapFloor, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, MergedDiscountForwardCurve dc, ForwardCurve fc, LatentStateFixingsContainer lsfc) Create a Volatility Curve from the Calibration Instruments

Uses of LatentStateFixingsContainer in org.drip.state.credit

Methods in org.drip.state.credit with parameters of type LatentStateFixingsContainer

Modifier and Type	Method and Description
void	CreditCurve.setInstrCalibInputs(ValuationParams valParam, boolean bFlat, MergedDiscountForwardCurve dc, GovvieCurve gc, CreditPricerParams pricerParam, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, LatentStateFixingsContainer lsfc, ValuationCustomizationParams quotingParams) Set the calibration inputs for the CreditCurve

Uses of LatentStateFixingsContainer in org.drip.state.nonlinear

Methods in org.drip.state.nonlinear with parameters of type LatentStateFixingsContainer

Modifier and Type	Method and Description
static boolean	NonlinearCurveBuilder.CreditCurve(ValuationParams valParams, Component calibComp, double dblCalibValue, java.lang.String strCalibMeasure, boolean bFlat, int iCurveSegmentIndex, ExplicitBootCreditCurve ebcc, MergedDiscountForwardCurve dc, GovvieCurve gc, CreditPricerParams pricerParams, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a single Hazard Rate Node from the corresponding Component
static boolean	NonlinearCurveBuilder.DiscountCurve(ValuationParams valParams, Component[] aCalibComp, double[] adblCalibValue, java.lang.String[] astrCalibMeasure, double dblBump, boolean bFlat, ExplicitBootDiscountCurve ebdc, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Boot-strap a Discount Curve from the set of calibration components
static double	NonlinearCurveBuilder.DiscountCurveNode(ValuationParams valParams, Component comp, double dblCalibValue, java.lang.String strCalibMeasure, boolean bFlat, int iCurveSegmentIndex, ExplicitBootDiscountCurve ebdc, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a Single Discount Curve Segment from the corresponding Component
static boolean	NonlinearCurveBuilder.VolatilityCurve(ValuationParams valParams, Component[] aCalibComp, double[] adblCalibValue, java.lang.String[] astrCalibMeasure, double dblBump, boolean bFlat, ExplicitBootVolatilityCurve ebvc, MergedDiscountForwardCurve dc, ForwardCurve fc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Boot-strap a Volatility Curve from the set of calibration components
static double	NonlinearCurveBuilder.VolatilityCurveNode(ValuationParams valParams, Component comp, double dblCalibValue, java.lang.String strCalibMeasure, boolean bFlat, int iCurveSegmentIndex, ExplicitBootVolatilityCurve ebvc, MergedDiscountForwardCurve dc, ForwardCurve fc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a Single Volatility Curve Segment from the corresponding Component