| Modifier and Type | Method and Description |
|---|---|
ValuationCustomizationParams |
LatentStateShapePreservingCCIS.quotingParameter() |
ValuationCustomizationParams |
CurveConstructionInputSet.quotingParameter()
Retrieve the Quoting Parameter
|
ValuationCustomizationParams |
BootCurveConstructionInput.quotingParameter() |
| 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
|
| 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
|
LatentStateShapePreservingCCIS(LinearLatentStateCalibrator llscShapePreserving,
LatentStateStretchSpec[] aStretchSpec,
ValuationParams valParam,
CreditPricerParams pricerParam,
ValuationCustomizationParams vcp,
CurveSurfaceQuoteContainer csqs)
LatentStateShapePreservingCCIS constructor
|
| Modifier and Type | Method and Description |
|---|---|
static double |
FuturesHelper.ForwardBondCreditPrice(Bond bond,
ValuationParams valParamsSpot,
ValuationParams valParamsForward,
CurveSurfaceQuoteContainer csqc,
ValuationCustomizationParams vcp,
double dblCleanPrice)
Compute the Forward Bond Price Using the Implied Bond Credit Basis
|
static double |
FuturesHelper.ForwardBondOASPrice(Bond bond,
ValuationParams valParamsSpot,
ValuationParams valParamsForward,
CurveSurfaceQuoteContainer csqc,
ValuationCustomizationParams vcp,
double dblCleanPrice)
Compute the Forward Bond Price Using the Implied Bond OAS
|
static double |
FuturesHelper.ForwardBondYieldPrice(Bond bond,
ValuationParams valParamsSpot,
ValuationParams valParamsForward,
CurveSurfaceQuoteContainer csqc,
ValuationCustomizationParams vcp,
double dblCleanPrice)
Compute the Forward Bond Price Using the Implied Bond Yield
|
static double |
FuturesHelper.ForwardBondZSpreadPrice(Bond bond,
ValuationParams valParamsSpot,
ValuationParams valParamsForward,
CurveSurfaceQuoteContainer csqc,
ValuationCustomizationParams vcp,
double dblCleanPrice)
Compute the Forward Bond Price Using the Implied Bond Z Spread
|
| 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
|
| Modifier and Type | Method and Description |
|---|---|
abstract double |
Bond.aswFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate ASW from Bond Basis to Maturity
|
abstract double |
Bond.aswFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate ASW from Bond Basis to Work-out
|
abstract double |
Bond.aswFromBondBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate ASW from Bond Basis to Optimal Exercise
|
abstract double |
Bond.aswFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate ASW from Credit Basis to Maturity
|
abstract double |
Bond.aswFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate ASW from Credit Basis to Work-out
|
abstract double |
Bond.aswFromCreditBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate ASW from Credit Basis to Optimal Exercise
|
abstract double |
Bond.aswFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate ASW from Discount Margin to Maturity
|
abstract double |
Bond.aswFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate ASW from Discount Margin to Work-out
|
abstract double |
Bond.aswFromDiscountMarginToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate ASW from Discount Margin to Optimal Exercise
|
abstract double |
Bond.aswFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate ASW from G Spread to Maturity
|
abstract double |
Bond.aswFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate ASW from G Spread to Work-out
|
abstract double |
Bond.aswFromGSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate ASW from G Spread to Optimal Exercise
|
abstract double |
Bond.aswFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate ASW from I Spread to Maturity
|
abstract double |
Bond.aswFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate ASW from I Spread to Work-out
|
abstract double |
Bond.aswFromISpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate ASW from I Spread to Optimal Exercise
|
abstract double |
Bond.aswFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate ASW from OAS to Maturity
|
abstract double |
Bond.aswFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate ASW from OAS to Work-out
|
abstract double |
Bond.aswFromOASToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate ASW from OAS to Optimal Exercise
|
abstract double |
Bond.aswFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate ASW from PECS to Maturity
|
abstract double |
Bond.aswFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate ASW from PECS to Work-out
|
abstract double |
Bond.aswFromPECSToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate ASW from PECS to Optimal Exercise
|
abstract double |
Bond.aswFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate ASW from Price to Maturity
|
abstract double |
Bond.aswFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate ASW from Price to Work-out
|
abstract double |
Bond.aswFromPriceToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate ASW from Price to Optimal Exercise
|
abstract double |
Bond.aswFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate ASW from TSY Spread to Maturity
|
abstract double |
Bond.aswFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate ASW from TSY Spread to Work-out
|
abstract double |
Bond.aswFromTSYSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate ASW from TSY Spread to Optimal Exercise
|
abstract double |
Bond.aswFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate ASW from Yield to Maturity
|
abstract double |
Bond.aswFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate ASW from Yield to Work-out
|
abstract double |
Bond.aswFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate ASW from Yield Spread to Maturity
|
abstract double |
Bond.aswFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate ASW from Yield Spread to Work-out
|
abstract double |
Bond.aswFromYieldSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate ASW from Yield Spread to Optimal Exercise
|
abstract double |
Bond.aswFromYieldToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate ASW from Yield to Optimal Exercise
|
abstract double |
Bond.aswFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate ASW from Z Spread to Maturity
|
abstract double |
Bond.aswFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate ASW from Z Spread to Work-out
|
abstract double |
Bond.aswFromZSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate ASW from Z Spread to Optimal Exercise
|
abstract double |
Bond.bondBasisFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Bond Basis from ASW to Maturity
|
abstract double |
Bond.bondBasisFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Bond Basis from ASW to Work-out
|
abstract double |
Bond.bondBasisFromASWToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Bond Basis from ASW to Optimal Exercise
|
abstract double |
Bond.bondBasisFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Bond Basis from Credit Basis to Maturity
|
abstract double |
Bond.bondBasisFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Bond Basis from Credit Basis to Work-out
|
abstract double |
Bond.bondBasisFromCreditBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Bond Basis from Credit Basis to Optimal Exercise
|
abstract double |
Bond.bondBasisFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Bond Basis from Discount Margin to Maturity
|
abstract double |
Bond.bondBasisFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Bond Basis from Discount Margin to Work-out
|
abstract double |
Bond.bondBasisFromDiscountMarginToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Bond Basis from Discount Margin to Optimal Exercise
|
abstract double |
Bond.bondBasisFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Bond Basis from G Spread to Maturity
|
abstract double |
Bond.bondBasisFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Bond Basis from G Spread to Work-out
|
abstract double |
Bond.bondBasisFromGSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Bond Basis from G Spread to Optimal Exercise
|
abstract double |
Bond.bondBasisFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Bond Basis from I Spread to Maturity
|
abstract double |
Bond.bondBasisFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Bond Basis from I Spread to Work-out
|
abstract double |
Bond.bondBasisFromISpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Bond Basis from I Spread to Optimal Exercise
|
abstract double |
Bond.bondBasisFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Bond Basis from OAS to Maturity
|
abstract double |
Bond.bondBasisFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Bond Basis from OAS to Work-out
|
abstract double |
Bond.bondBasisFromOASToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Bond Basis from OAS to Optimal Exercise
|
abstract double |
Bond.bondBasisFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Bond Basis from PECS to Maturity
|
abstract double |
Bond.bondBasisFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Bond Basis from PECS to Work-out
|
abstract double |
Bond.bondBasisFromPECSToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Bond Basis from PECS to Optimal Exercise
|
abstract double |
Bond.bondBasisFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Bond Basis from Price to Maturity
|
abstract double |
Bond.bondBasisFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Bond Basis from Price to Work-out
|
abstract double |
Bond.bondBasisFromPriceToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Bond Basis from Price to Optimal Exercise
|
abstract double |
Bond.bondBasisFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Bond Basis from TSY Spread to Maturity
|
abstract double |
Bond.bondBasisFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Bond Basis from TSY Spread to Work-out
|
abstract double |
Bond.bondBasisFromTSYSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Bond Basis from TSY Spread to Optimal Exercise
|
abstract double |
Bond.bondBasisFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Bond Basis from Yield to Maturity
|
abstract double |
Bond.bondBasisFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Bond Basis from Yield to Work-out
|
abstract double |
Bond.bondBasisFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Bond Basis from Yield Spread to Maturity
|
abstract double |
Bond.bondBasisFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Bond Basis from Yield Spread to Work-out
|
abstract double |
Bond.bondBasisFromYieldSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Bond Basis from Yield Spread to Optimal Exercise
|
abstract double |
Bond.bondBasisFromYieldToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Bond Basis from Yield to Optimal Exercise
|
abstract double |
Bond.bondBasisFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Bond Basis from Z Spread to Maturity
|
abstract double |
Bond.bondBasisFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Bond Basis from Z Spread to Work-out
|
abstract double |
Bond.bondBasisFromZSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Bond Basis from Z Spread to Optimal Exercise
|
abstract double |
CreditDefaultSwap.calibFlatSpread(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp)
Calibrate the CDS's flat spread from the calculated up-front points
|
abstract CaseInsensitiveTreeMap<java.lang.Double> |
CalibratableComponent.calibMeasures(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp)
Generate a Map of the Calibration Measures
|
PredictorResponseWeightConstraint |
CalibratableComponent.calibPRWC(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
ProductQuoteSet pqs)
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Component from the
Market Inputs.
|
abstract double |
Bond.convexityFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Convexity from ASW to Maturity
|
abstract double |
Bond.convexityFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Convexity from ASW to Work-out
|
abstract double |
Bond.convexityFromASWToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Convexity from ASW to Optimal Exercise
|
abstract double |
Bond.convexityFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Convexity from Bond Basis to Maturity
|
abstract double |
Bond.convexityFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Convexity from Bond Basis to Work-out
|
abstract double |
Bond.convexityFromBondBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Convexity from Bond Basis to Optimal Exercise
|
abstract double |
Bond.convexityFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Convexity from Credit Basis to Maturity
|
abstract double |
Bond.convexityFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Convexity from Credit Basis to Work-out
|
abstract double |
Bond.convexityFromCreditBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Convexity from Credit Basis to Optimal Exercise
|
abstract double |
Bond.convexityFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Convexity from Discount Margin to Maturity
|
abstract double |
Bond.convexityFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Convexity from Discount Margin to Work-out
|
abstract double |
Bond.convexityFromDiscountMarginToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Convexity from Discount Margin to Optimal Exercise
|
abstract double |
Bond.convexityFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Convexity from G Spread to Maturity
|
abstract double |
Bond.convexityFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Convexity from G Spread to Work-out
|
abstract double |
Bond.convexityFromGSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Convexity from G Spread to Optimal Exercise
|
abstract double |
Bond.convexityFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Convexity from I Spread to Maturity
|
abstract double |
Bond.convexityFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Convexity from I Spread to Work-out
|
abstract double |
Bond.convexityFromISpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Convexity from I Spread to Optimal Exercise
|
abstract double |
Bond.convexityFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Convexity from OAS to Maturity
|
abstract double |
Bond.convexityFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Convexity from OAS to Work-out
|
abstract double |
Bond.convexityFromOASToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Convexity from OAS to Optimal Exercise
|
abstract double |
Bond.convexityFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Convexity from PECS to Maturity
|
abstract double |
Bond.convexityFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Convexity from PECS to Work-out
|
abstract double |
Bond.convexityFromPECSToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Convexity from PECS to Optimal Exercise
|
abstract double |
Bond.convexityFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Convexity from Price to Maturity
|
abstract double |
Bond.convexityFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Convexity from Price to Work-out
|
abstract double |
Bond.convexityFromPriceToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Convexity from Price to Optimal Exercise
|
abstract double |
Bond.convexityFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Convexity from TSY Spread to Maturity
|
abstract double |
Bond.convexityFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Convexity from TSY Spread to Work-out
|
abstract double |
Bond.convexityFromTSYSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Convexity from TSY Spread to Optimal Exercise
|
abstract double |
Bond.convexityFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Convexity from Yield to Maturity
|
abstract double |
Bond.convexityFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Convexity from Yield to Work-out
|
abstract double |
Bond.convexityFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Convexity from Yield Spread to Maturity
|
abstract double |
Bond.convexityFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Convexity from Yield Spread to Work-out
|
abstract double |
Bond.convexityFromYieldSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Convexity from Yield Spread to Optimal Exercise
|
abstract double |
Bond.convexityFromYieldToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Convexity from Yield to Optimal Exercise
|
abstract double |
Bond.convexityFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Convexity from Z Spread to Maturity
|
abstract double |
Bond.convexityFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Convexity from Z Spread to Work-out
|
abstract double |
Bond.convexityFromZSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Convexity from Z Spread to Optimal Exercise
|
abstract double |
Bond.creditBasisFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Credit Basis from ASW to Maturity
|
abstract double |
Bond.creditBasisFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Credit Basis from ASW to Work-out
|
abstract double |
Bond.creditBasisFromASWToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Credit Basis from ASW to Optimal Exercise
|
abstract double |
Bond.creditBasisFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Credit Basis from Bond Basis to Maturity
|
abstract double |
Bond.creditBasisFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Credit Basis from Bond Basis to Work-out
|
abstract double |
Bond.creditBasisFromBondBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Credit Basis from Bond Basis to Optimal Exercise
|
abstract double |
Bond.creditBasisFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Credit Basis from Discount Margin to Maturity
|
abstract double |
Bond.creditBasisFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Credit Basis from Discount Margin to Work-out
|
abstract double |
Bond.creditBasisFromDiscountMarginToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Credit Basis from Discount Margin to Optimal Exercise
|
abstract double |
Bond.creditBasisFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Credit Basis from G Spread to Maturity
|
abstract double |
Bond.creditBasisFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Credit Basis from G Spread to Work-out
|
abstract double |
Bond.creditBasisFromGSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Credit Basis from G Spread to Optimal Exercise
|
abstract double |
Bond.creditBasisFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Credit Basis from I Spread to Maturity
|
abstract double |
Bond.creditBasisFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Credit Basis from I Spread to Work-out
|
abstract double |
Bond.creditBasisFromISpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Credit Basis from I Spread to Optimal Exercise
|
abstract double |
Bond.creditBasisFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Credit Basis from OAS to Maturity
|
abstract double |
Bond.creditBasisFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Credit Basis from OAS to Work-out
|
abstract double |
Bond.creditBasisFromOASToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Credit Basis from OAS to Optimal Exercise
|
abstract double |
Bond.creditBasisFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Credit Basis from PECS to Maturity
|
abstract double |
Bond.creditBasisFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Credit Basis from PECS to Work-out
|
abstract double |
Bond.creditBasisFromPECSToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Credit Basis from PECS to Optimal Exercise
|
abstract double |
Bond.creditBasisFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Credit Basis from Price to Maturity
|
abstract double |
Bond.creditBasisFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Credit Basis from Price to Work-out
|
abstract double |
Bond.creditBasisFromPriceToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Credit Basis from Price to Optimal Exercise
|
abstract double |
Bond.creditBasisFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Credit Basis from TSY Spread to Maturity
|
abstract double |
Bond.creditBasisFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Credit Basis from TSY Spread to Work-out
|
abstract double |
Bond.creditBasisFromTSYSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Credit Basis from TSY Spread to Optimal Exercise
|
abstract double |
Bond.creditBasisFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Credit Basis from Yield to Maturity
|
abstract double |
Bond.creditBasisFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Credit Basis from Yield to Work-out
|
abstract double |
Bond.creditBasisFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Credit Basis from Yield Spread to Maturity
|
abstract double |
Bond.creditBasisFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Credit Basis from Yield Spread to Work-out
|
abstract double |
Bond.creditBasisFromYieldSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Credit Basis from Yield Spread to Optimal Exercise
|
abstract double |
Bond.creditBasisFromYieldToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Credit Basis from Yield to Optimal Exercise
|
abstract double |
Bond.creditBasisFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Credit Basis from Z Spread to Maturity
|
abstract double |
Bond.creditBasisFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Credit Basis from Z Spread to Work-out
|
abstract double |
Bond.creditBasisFromZSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Credit Basis from Z Spread to Optimal Exercise
|
CaseInsensitiveTreeMap<java.lang.Double> |
Component.customScenarioMeasures(ValuationParams valParams,
CreditPricerParams pricerParams,
ScenarioMarketParams mpc,
java.lang.String strCustomScenName,
ValuationCustomizationParams vcp,
CaseInsensitiveTreeMap<java.lang.Double> mapBaseMeasures)
Generate a full list of custom measures for the set of scenario market parameters present in
the org.drip.param.definition.MarketParams
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketProduct.customScenarioMeasures(ValuationParams valParams,
CreditPricerParams pricerParams,
ScenarioMarketParams mpc,
java.lang.String strCustomScenName,
ValuationCustomizationParams vcp,
CaseInsensitiveTreeMap<java.lang.Double> mapBase)
Compute Basket's Custom Scenario Measures
|
abstract double |
Bond.discountMarginFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Discount Margin from ASW to Maturity
|
abstract double |
Bond.discountMarginFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Discount Margin from ASW to Work-out
|
abstract double |
Bond.discountMarginFromASWToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Discount Margin from ASW to Optimal Exercise
|
abstract double |
Bond.discountMarginFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Discount Margin from Bond Basis to Maturity
|
abstract double |
Bond.discountMarginFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Discount Margin from Bond Basis to Work-out
|
abstract double |
Bond.discountMarginFromBondBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Discount Margin from Bond Basis to Optimal Exercise
|
abstract double |
Bond.discountMarginFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Discount Margin from Credit Basis to Maturity
|
abstract double |
Bond.discountMarginFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Discount Margin from Credit Basis to Work-out
|
abstract double |
Bond.discountMarginFromCreditBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Discount Margin from Credit Basis to Optimal Exercise
|
abstract double |
Bond.discountMarginFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Discount Margin from G Spread to Maturity
|
abstract double |
Bond.discountMarginFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Discount Margin from G Spread to Work-out
|
abstract double |
Bond.discountMarginFromGSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Discount Margin from G Spread to Optimal Exercise
|
abstract double |
Bond.discountMarginFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Discount Margin from I Spread to Maturity
|
abstract double |
Bond.discountMarginFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Discount Margin from I Spread to Work-out
|
abstract double |
Bond.discountMarginFromISpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Discount Margin from I Spread to Optimal Exercise
|
abstract double |
Bond.discountMarginFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Discount Margin from OAS to Maturity
|
abstract double |
Bond.discountMarginFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Discount Margin from OAS to Work-out
|
abstract double |
Bond.discountMarginFromOASToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Discount Margin from OAS to Optimal Exercise
|
abstract double |
Bond.discountMarginFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Discount Margin from PECS to Maturity
|
abstract double |
Bond.discountMarginFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Discount Margin from PECS to Work-out
|
abstract double |
Bond.discountMarginFromPECSToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Discount Margin from PECS to Optimal Exercise
|
abstract double |
Bond.discountMarginFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Discount Margin from Price to Maturity
|
abstract double |
Bond.discountMarginFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Discount Margin from Price to Work-out
|
abstract double |
Bond.discountMarginFromPriceToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Discount Margin from Price to Optimal Exercise
|
abstract double |
Bond.discountMarginFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Discount Margin from TSY Spread to Maturity
|
abstract double |
Bond.discountMarginFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Discount Margin from TSY Spread to Work-out
|
abstract double |
Bond.discountMarginFromTSYSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Discount Margin from TSY Spread to Optimal Exercise
|
abstract double |
Bond.discountMarginFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Discount Margin from Yield to Maturity
|
abstract double |
Bond.discountMarginFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Discount Margin from Yield to Work-out
|
abstract double |
Bond.discountMarginFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Discount Margin from Yield Spread to Maturity
|
abstract double |
Bond.discountMarginFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Discount Margin from Yield Spread to Work-out
|
abstract double |
Bond.discountMarginFromYieldSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Discount Margin from Yield Spread to Optimal Exercise
|
abstract double |
Bond.discountMarginFromYieldToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Discount Margin from Yield to Optimal Exercise
|
abstract double |
Bond.discountMarginFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Discount Margin from Z Spread to Maturity
|
abstract double |
Bond.discountMarginFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Discount Margin from Z Spread to Work-out
|
abstract double |
Bond.discountMarginFromZSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Discount Margin from Z Spread to Optimal Exercise
|
abstract double |
Bond.durationFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Duration from ASW to Maturity
|
abstract double |
Bond.durationFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Duration from ASW to Work-out
|
abstract double |
Bond.durationFromASWToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Duration from ASW to Optimal Exercise
|
abstract double |
Bond.durationFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Duration from Bond Basis to Maturity
|
abstract double |
Bond.durationFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Duration from Bond Basis to Work-out
|
abstract double |
Bond.durationFromBondBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Duration from Bond Basis to Optimal Exercise
|
abstract double |
Bond.durationFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Duration from Credit Basis to Maturity
|
abstract double |
Bond.durationFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Duration from Credit Basis to Work-out
|
abstract double |
Bond.durationFromCreditBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Duration from Credit Basis to Optimal Exercise
|
abstract double |
Bond.durationFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Duration from Discount Margin to Maturity
|
abstract double |
Bond.durationFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Duration from Discount Margin to Work-out
|
abstract double |
Bond.durationFromDiscountMarginToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Duration from Discount Margin to Optimal Exercise
|
abstract double |
Bond.durationFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Duration from G Spread to Maturity
|
abstract double |
Bond.durationFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Duration from G Spread to Work-out
|
abstract double |
Bond.durationFromGSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Duration from G Spread to Optimal Exercise
|
abstract double |
Bond.durationFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Duration from I Spread to Maturity
|
abstract double |
Bond.durationFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Duration from I Spread to Work-out
|
abstract double |
Bond.durationFromISpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Duration from I Spread to Optimal Exercise
|
abstract double |
Bond.durationFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Duration from OAS to Maturity
|
abstract double |
Bond.durationFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Duration from OAS to Work-out
|
abstract double |
Bond.durationFromOASToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Duration from OAS to Optimal Exercise
|
abstract double |
Bond.durationFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Duration from PECS to Maturity
|
abstract double |
Bond.durationFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Duration from PECS to Work-out
|
abstract double |
Bond.durationFromPECSToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Duration from PECS to Optimal Exercise
|
abstract double |
Bond.durationFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Duration from Price to Maturity
|
abstract double |
Bond.durationFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Duration from Price to Work-out
|
abstract double |
Bond.durationFromPriceToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Duration from Price to Optimal Exercise
|
abstract double |
Bond.durationFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Duration from TSY Spread to Maturity
|
abstract double |
Bond.durationFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Duration from TSY Spread to Work-out
|
abstract double |
Bond.durationFromTSYSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Duration from TSY Spread to Optimal Exercise
|
abstract double |
Bond.durationFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Duration from Yield to Maturity
|
abstract double |
Bond.durationFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Duration from Yield to Work-out
|
abstract double |
Bond.durationFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Duration from Yield Spread to Maturity
|
abstract double |
Bond.durationFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Duration from Yield Spread to Work-out
|
abstract double |
Bond.durationFromYieldSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Duration from Yield Spread to Optimal Exercise
|
abstract double |
Bond.durationFromYieldToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Duration from Yield to Optimal Exercise
|
abstract double |
Bond.durationFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Duration from Z Spread to Maturity
|
abstract double |
Bond.durationFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Duration from Z Spread to Work-out
|
abstract double |
Bond.durationFromZSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Duration from Z Spread to Optimal Exercise
|
abstract double |
Bond.effectiveTreasuryBenchmarkYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Retrieve the effective treasury benchmark yield from the valuation, the component market parameters,
and the market price
|
abstract WorkoutInfo |
Bond.exerciseYieldFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Retrieve the work-out information from price
|
abstract PredictorResponseWeightConstraint |
CalibratableComponent.forwardPRWC(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
ProductQuoteSet pqs)
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Forward
Factor Latent State from the Component's Cash Flows.
|
abstract PredictorResponseWeightConstraint |
CalibratableComponent.fundingForwardPRWC(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
ProductQuoteSet pqs)
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the merged Funding and
Forward Latent States from the Component's Cash Flows.
|
abstract PredictorResponseWeightConstraint |
CalibratableComponent.fundingPRWC(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
ProductQuoteSet pqs)
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Funding
Curve Discount Factor Latent State from the Component's Cash Flows.
|
abstract PredictorResponseWeightConstraint |
CalibratableComponent.fxPRWC(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
ProductQuoteSet pqs)
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged FX Curve
FX Forward Latent State from the Component's Cash Flows.
|
abstract PredictorResponseWeightConstraint |
CalibratableComponent.govviePRWC(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
ProductQuoteSet pqs)
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Govvie
Curve FX Forward Latent State from the Component's Cash Flows.
|
abstract double |
Bond.gSpreadFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate G Spread from ASW to Maturity
|
abstract double |
Bond.gSpreadFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate G Spread from ASW to Work-out
|
abstract double |
Bond.gSpreadFromASWToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate G Spread from ASW to Optimal Exercise
|
abstract double |
Bond.gSpreadFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate G Spread from Bond Basis to Maturity
|
abstract double |
Bond.gSpreadFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate G Spread from Bond Basis to Work-out
|
abstract double |
Bond.gSpreadFromBondBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate G Spread from Bond Basis to Optimal Exercise
|
abstract double |
Bond.gSpreadFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate G Spread from Credit Basis to Maturity
|
abstract double |
Bond.gSpreadFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate G Spread from Credit Basis to Work-out
|
abstract double |
Bond.gSpreadFromCreditBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate G Spread from Credit Basis to Optimal Exercise
|
abstract double |
Bond.gSpreadFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate G Spread from Discount Margin to Maturity
|
abstract double |
Bond.gSpreadFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate G Spread from Discount Margin to Work-out
|
abstract double |
Bond.gSpreadFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate G Spread from I Spread to Maturity
|
abstract double |
Bond.gSpreadFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate G Spread from I Spread to Work-out
|
abstract double |
Bond.gSpreadFromISpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate G Spread from I Spread to Optimal Exercise
|
abstract double |
Bond.gSpreadFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate G Spread from OAS to Maturity
|
abstract double |
Bond.gSpreadFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate G Spread from OAS to Work-out
|
abstract double |
Bond.gSpreadFromOASToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate G Spread from OAS to Optimal Exercise
|
abstract double |
Bond.gSpreadFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate G Spread from PECS to Maturity
|
abstract double |
Bond.gSpreadFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate G Spread from PECS to Work-out
|
abstract double |
Bond.gSpreadFromPECSToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate G Spread from PECS to Optimal Exercise
|
abstract double |
Bond.gSpreadFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate G Spread from Price to Maturity
|
abstract double |
Bond.gSpreadFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate G Spread from Price to Work-out
|
abstract double |
Bond.gSpreadFromPriceToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate G Spread from Price to Optimal Exercise
|
abstract double |
Bond.gSpreadFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate G Spread from TSY Spread to Maturity
|
abstract double |
Bond.gSpreadFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate G Spread from TSY Spread to Work-out
|
abstract double |
Bond.gSpreadFromTSYSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate G Spread from TSY Spread to Optimal Exercise
|
abstract double |
Bond.gSpreadFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate G Spread from Yield to Maturity
|
abstract double |
Bond.gSpreadFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate G Spread from Yield to Work-out
|
abstract double |
Bond.gSpreadFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate G Spread from Yield Spread to Maturity
|
abstract double |
Bond.gSpreadFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate G Spread from Yield Spread to Work-out
|
abstract double |
Bond.gSpreadFromYieldSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate G Spread from Yield Spread to Optimal Exercise
|
abstract double |
Bond.gSpreadFromYieldToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate G Spread from Yield to Optimal Exercise
|
abstract double |
Bond.gSpreadFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate G Spread from Z Spread to Maturity
|
abstract double |
Bond.gSpreadFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate G Spread from Z Spread to Work-out
|
abstract double |
Bond.gSpreadFromZSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate G Spread from Z Spread to Optimal Exercise
|
abstract double |
Bond.gSSpreadFromDiscountMarginToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate G Spread from Discount Margin to Optimal Exercise
|
abstract double |
Bond.iSpreadFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate I Spread from ASW to Maturity
|
abstract double |
Bond.iSpreadFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate I Spread from ASW to Work-out
|
abstract double |
Bond.iSpreadFromASWToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate I Spread from ASW to Optimal Exercise
|
abstract double |
Bond.iSpreadFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate I Spread from Bond Basis to Maturity
|
abstract double |
Bond.iSpreadFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate I Spread from Bond Basis to Work-out
|
abstract double |
Bond.iSpreadFromBondBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate I Spread from Bond Basis to Optimal Exercise
|
abstract double |
Bond.iSpreadFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate I Spread from Credit Basis to Maturity
|
abstract double |
Bond.iSpreadFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate I Spread from Credit Basis to Work-out
|
abstract double |
Bond.iSpreadFromCreditBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate I Spread from Credit Basis to Optimal Exercise
|
abstract double |
Bond.iSpreadFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate I Spread from Discount Margin to Maturity
|
abstract double |
Bond.iSpreadFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate I Spread from Discount Margin to Work-out
|
abstract double |
Bond.iSpreadFromDiscountMarginToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate I Spread from Discount Margin to Optimal Exercise
|
abstract double |
Bond.iSpreadFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate I Spread from G Spread to Maturity
|
abstract double |
Bond.iSpreadFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate I Spread from G Spread to Work-out
|
abstract double |
Bond.iSpreadFromGSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate I Spread from G Spread to Optimal Exercise
|
abstract double |
Bond.iSpreadFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate I Spread from OAS to Maturity
|
abstract double |
Bond.iSpreadFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate I Spread from OAS to Work-out
|
abstract double |
Bond.iSpreadFromOASToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate I Spread from OAS to Optimal Exercise
|
abstract double |
Bond.iSpreadFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate I Spread from PECS to Maturity
|
abstract double |
Bond.iSpreadFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate I Spread from PECS to Work-out
|
abstract double |
Bond.iSpreadFromPECSToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate I Spread from PECS to Optimal Exercise
|
abstract double |
Bond.iSpreadFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate I Spread from Price to Maturity
|
abstract double |
Bond.iSpreadFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate I Spread from Price to Work-out
|
abstract double |
Bond.iSpreadFromPriceToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate I Spread from Price to Optimal Exercise
|
abstract double |
Bond.iSpreadFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate I Spread from TSY Spread to Maturity
|
abstract double |
Bond.iSpreadFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate I Spread from TSY Spread to Work-out
|
abstract double |
Bond.iSpreadFromTSYSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate I Spread from TSY Spread to Optimal Exercise
|
abstract double |
Bond.iSpreadFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate I Spread from Yield to Maturity
|
abstract double |
Bond.iSpreadFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate I Spread from Yield to Work-out
|
abstract double |
Bond.iSpreadFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate I Spread from Yield Spread to Maturity
|
abstract double |
Bond.iSpreadFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate I Spread from Yield Spread to Work-out
|
abstract double |
Bond.iSpreadFromYieldSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate I Spread from Yield Spread to Optimal Exercise
|
abstract double |
Bond.iSpreadFromYieldToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate I Spread from Yield to Optimal Exercise
|
abstract double |
Bond.iSpreadFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate I Spread from Z Spread to Maturity
|
abstract double |
Bond.iSpreadFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate I Spread from Z Spread to Work-out
|
abstract double |
Bond.iSpreadFromZSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate I Spread from Z Spread to Optimal Exercise
|
abstract WengertJacobian |
CalibratableComponent.jackDDirtyPVDManifestMeasure(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp)
Compute the Jacobian of the Dirty PV to the Calibrated Input Manifest Measures
|
abstract java.util.List<LossQuadratureMetrics> |
Bond.lossFlowFromPrice(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Get the bond's loss flow from price
|
abstract double |
Bond.macaulayDurationFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Macaulay Duration from ASW to Maturity
|
abstract double |
Bond.macaulayDurationFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Macaulay Duration from ASW to Work-out
|
abstract double |
Bond.macaulayDurationFromASWToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Macaulay Duration from ASW to Optimal Exercise
|
abstract double |
Bond.macaulayDurationFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Macaulay Duration from Bond Basis to Maturity
|
abstract double |
Bond.macaulayDurationFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Macaulay Duration from Bond Basis to Work-out
|
abstract double |
Bond.macaulayDurationFromBondBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Macaulay Duration from Bond Basis to Optimal Exercise
|
abstract double |
Bond.macaulayDurationFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Macaulay Duration from Credit Basis to Maturity
|
abstract double |
Bond.macaulayDurationFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Macaulay Duration from Credit Basis to Work-out
|
abstract double |
Bond.macaulayDurationFromCreditBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Macaulay Duration from Credit Basis to Optimal Exercise
|
abstract double |
Bond.macaulayDurationFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Macaulay Duration from Discount Margin to Maturity
|
abstract double |
Bond.macaulayDurationFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Macaulay Duration from Discount Margin to Work-out
|
abstract double |
Bond.macaulayDurationFromDiscountMarginToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Macaulay Duration from Discount Margin to Optimal Exercise
|
abstract double |
Bond.macaulayDurationFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Macaulay Duration from G Spread to Maturity
|
abstract double |
Bond.macaulayDurationFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Macaulay Duration from G Spread to Work-out
|
abstract double |
Bond.macaulayDurationFromGSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Macaulay Duration from G Spread to Optimal Exercise
|
abstract double |
Bond.macaulayDurationFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Macaulay Duration from I Spread to Maturity
|
abstract double |
Bond.macaulayDurationFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Macaulay Duration from I Spread to Work-out
|
abstract double |
Bond.macaulayDurationFromISpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Macaulay Duration from I Spread to Optimal Exercise
|
abstract double |
Bond.macaulayDurationFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Macaulay Duration from OAS to Maturity
|
abstract double |
Bond.macaulayDurationFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Macaulay Duration from OAS to Work-out
|
abstract double |
Bond.macaulayDurationFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Macaulay Duration from PECS to Maturity
|
abstract double |
Bond.macaulayDurationFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Macaulay Duration from PECS to Work-out
|
abstract double |
Bond.macaulayDurationFromPECSToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Macaulay Duration from PECS to Optimal Exercise
|
abstract double |
Bond.macaulayDurationFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Macaulay Duration from Price to Maturity
|
abstract double |
Bond.macaulayDurationFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Macaulay Duration from Price to Work-out
|
abstract double |
Bond.macaulayDurationFromPriceToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Macaulay Duration from Price to Optimal Exercise
|
abstract double |
Bond.macaulayDurationFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Macaulay Duration from TSY Spread to Maturity
|
abstract double |
Bond.macaulayDurationFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Macaulay Duration from TSY Spread to Work-out
|
abstract double |
Bond.macaulayDurationFromTSYSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Macaulay Duration from TSY Spread to Optimal Exercise
|
abstract double |
Bond.macaulayDurationFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Macaulay Duration from Yield to Maturity
|
abstract double |
Bond.macaulayDurationFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Macaulay Duration from Yield to Work-out
|
abstract double |
Bond.macaulayDurationFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Macaulay Duration from Yield Spread to Maturity
|
abstract double |
Bond.macaulayDurationFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Macaulay Duration from Yield Spread to Work-out
|
abstract double |
Bond.macaulayDurationFromYieldSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Macaulay Duration from Yield Spread to Optimal Exercise
|
abstract double |
Bond.macaulayDurationFromYieldToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Macaulay Duration from Yield to Optimal Exercise
|
abstract double |
Bond.macaulayDurationFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Macaulay Duration from Z Spread to Maturity
|
abstract double |
Bond.macaulayDurationFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Macaulay Duration from Z Spread to Work-out
|
abstract double |
Bond.macaulayDurationFromZSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Macaulay Duration from Z Spread to Optimal Exercise
|
abstract WengertJacobian |
CalibratableComponent.manifestMeasureDFMicroJack(java.lang.String strMainfestMeasure,
ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp)
Compute the micro-Jacobian of the given measure to the DF
|
ComponentMeasures |
Component.measures(ValuationParams valParams,
CreditPricerParams pricerParams,
ScenarioMarketParams mpc,
ValuationCustomizationParams vcp)
Generate a full list of the Product's measures for the set of scenario market parameters present in
the org.drip.param.definition.MarketParams
|
BasketMeasures |
BasketProduct.measures(ValuationParams valParams,
CreditPricerParams pricerParams,
ScenarioMarketParams mpc,
ValuationCustomizationParams vcp)
Generate a full list of the basket product measures for the set of scenario market parameters present
in the org.drip.param.definition.MarketParams
|
double |
Component.measureValue(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
java.lang.String strMeasure)
Calculate the value of the given Product's measure
|
double |
BasketProduct.measureValue(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
java.lang.String strMeasure)
Calculate the value of the given basket product measure
|
abstract double |
Bond.mnacaulayDurationFromOASToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Macaulay Duration from OAS to Optimal Exercise
|
abstract double |
Bond.modifiedDurationFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Modified Duration from ASW to Maturity
|
abstract double |
Bond.modifiedDurationFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Modified Duration from ASW to Work-out
|
abstract double |
Bond.modifiedDurationFromASWToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Modified Duration from ASW to Optimal Exercise
|
abstract double |
Bond.modifiedDurationFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Modified Duration from Bond Basis to Maturity
|
abstract double |
Bond.modifiedDurationFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Modified Duration from Bond Basis to Work-out
|
abstract double |
Bond.modifiedDurationFromBondBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Modified Duration from Bond Basis to Optimal Exercise
|
abstract double |
Bond.modifiedDurationFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Modified Duration from Credit Basis to Maturity
|
abstract double |
Bond.modifiedDurationFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Modified Duration from Credit Basis to Work-out
|
abstract double |
Bond.modifiedDurationFromCreditBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Modified Duration from Credit Basis to Optimal Exercise
|
abstract double |
Bond.modifiedDurationFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Modified Duration from Discount Margin to Maturity
|
abstract double |
Bond.modifiedDurationFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Modified Duration from Discount Margin to Work-out
|
abstract double |
Bond.modifiedDurationFromDiscountMarginToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Modified Duration from Discount Margin to Optimal Exercise
|
abstract double |
Bond.modifiedDurationFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Modified Duration from G Spread to Maturity
|
abstract double |
Bond.modifiedDurationFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Modified Duration from G Spread to Work-out
|
abstract double |
Bond.modifiedDurationFromGSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Modified Duration from G Spread to Optimal Exercise
|
abstract double |
Bond.modifiedDurationFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Modified Duration from I Spread to Maturity
|
abstract double |
Bond.modifiedDurationFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Modified Duration from I Spread to Work-out
|
abstract double |
Bond.modifiedDurationFromISpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Modified Duration from I Spread to Optimal Exercise
|
abstract double |
Bond.modifiedDurationFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Modified Duration from OAS to Maturity
|
abstract double |
Bond.modifiedDurationFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Modified Duration from OAS to Work-out
|
abstract double |
Bond.modifiedDurationFromOASToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Modified Duration from OAS to Optimal Exercise
|
abstract double |
Bond.modifiedDurationFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Modified Duration from PECS to Maturity
|
abstract double |
Bond.modifiedDurationFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Modified Duration from PECS to Work-out
|
abstract double |
Bond.modifiedDurationFromPECSToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Modified Duration from PECS to Optimal Exercise
|
abstract double |
Bond.modifiedDurationFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Modified Duration from Price to Maturity
|
abstract double |
Bond.modifiedDurationFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Modified Duration from Price to Work-out
|
abstract double |
Bond.modifiedDurationFromPriceToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Modified Duration from Price to Optimal Exercise
|
abstract double |
Bond.modifiedDurationFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Modified Duration from TSY Spread to Maturity
|
abstract double |
Bond.modifiedDurationFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Modified Duration from TSY Spread to Work-out
|
abstract double |
Bond.modifiedDurationFromTSYSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Modified Duration from TSY Spread to Optimal Exercise
|
abstract double |
Bond.modifiedDurationFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Modified Duration from Yield to Maturity
|
abstract double |
Bond.modifiedDurationFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Modified Duration from Yield to Work-out
|
abstract double |
Bond.modifiedDurationFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Modified Duration from Yield Spread to Maturity
|
abstract double |
Bond.modifiedDurationFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Modified Duration from Yield Spread to Work-out
|
abstract double |
Bond.modifiedDurationFromYieldSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Modified Duration from Yield Spread to Optimal Exercise
|
abstract double |
Bond.modifiedDurationFromYieldToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Modified Duration from Yield to Optimal Exercise
|
abstract double |
Bond.modifiedDurationFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Modified Duration from Z Spread to Maturity
|
abstract double |
Bond.modifiedDurationFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Modified Duration from Z Spread to Work-out
|
abstract double |
Bond.modifiedDurationFromZSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Modified Duration from Z Spread to Optimal Exercise
|
abstract double |
Bond.oasFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate OAS from ASW to Maturity
|
abstract double |
Bond.oasFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate OAS from ASW to Work-out
|
abstract double |
Bond.oasFromASWToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate OAS from ASW to Optimal Exercise
|
abstract double |
Bond.oasFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate OAS from Bond Basis to Maturity
|
abstract double |
Bond.oasFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate OAS from Bond Basis to Work-out
|
abstract double |
Bond.oasFromBondBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate OAS from Bond Basis to Optimal Exercise
|
abstract double |
Bond.oasFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate OAS from Credit Basis to Maturity
|
abstract double |
Bond.oasFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate OAS from Credit Basis to Work-out
|
abstract double |
Bond.oasFromCreditBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate OAS from Credit Basis to Optimal Exercise
|
abstract double |
Bond.oasFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate OAS from Discount Margin to Maturity
|
abstract double |
Bond.oasFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate OAS from Discount Margin to Work-out
|
abstract double |
Bond.oasFromDiscountMarginToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate OAS from Discount Margin to Optimal Exercise
|
abstract double |
Bond.oasFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate OAS from G Spread to Maturity
|
abstract double |
Bond.oasFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate OAS from G Spread to Work-out
|
abstract double |
Bond.oasFromGSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate OAS from G Spread to Optimal Exercise
|
abstract double |
Bond.oasFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate OAS from I Spread to Maturity
|
abstract double |
Bond.oasFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate OAS from I Spread to Work-out
|
abstract double |
Bond.oasFromISpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate OAS from I Spread to Optimal Exercise
|
abstract double |
Bond.oasFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate OAS from PECS to Maturity
|
abstract double |
Bond.oasFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate OAS from PECS to Work-out
|
abstract double |
Bond.oasFromPECSToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate OAS from PECS to Optimal Exercise
|
abstract double |
Bond.oasFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate OAS from Price to Maturity
|
abstract double |
Bond.oasFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate OAS from Price to Work-out
|
abstract double |
Bond.oasFromPriceToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate OAS from Price to Optimal Exercise
|
abstract double |
Bond.oasFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate OAS from TSY Spread to Maturity
|
abstract double |
Bond.oasFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate OAS from TSY Spread to Work-out
|
abstract double |
Bond.oasFromTSYSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate OAS from TSY Spread to Optimal Exercise
|
abstract double |
Bond.oasFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate OAS from Yield to Maturity
|
abstract double |
Bond.oasFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate OAS from Yield to Work-out
|
abstract double |
Bond.oasFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate OAS from Yield Spread to Maturity
|
abstract double |
Bond.oasFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate OAS from Yield Spread to Work-out
|
abstract double |
Bond.oasFromYieldSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate OAS from Yield Spread to Optimal Exercise
|
abstract double |
Bond.oasFromYieldToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate OAS from Yield to Optimal Exercise
|
abstract double |
Bond.oasFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate OAS from Z Spread to Maturity
|
abstract double |
Bond.oasFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate OAS from Z Spread to Work-out
|
abstract double |
Bond.oasFromZSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate OAS from Z Spread to Optimal Exercise
|
abstract double |
Bond.pecsFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate PECS from ASW to Maturity
|
abstract double |
Bond.pecsFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate PECS from ASW to Work-out
|
abstract double |
Bond.pecsFromASWToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate PECS from ASW to Optimal Exercise
|
abstract double |
Bond.pecsFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate PECS from Bond Basis to Maturity
|
abstract double |
Bond.pecsFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate PECS from Bond Basis to Work-out
|
abstract double |
Bond.pecsFromBondBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate PECS from Bond Basis to Optimal Exercise
|
abstract double |
Bond.pecsFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate PECS from Credit Basis to Maturity
|
abstract double |
Bond.pecsFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate PECS from Credit Basis to Work-out
|
abstract double |
Bond.pecsFromCreditBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate PECS from Credit Basis to Optimal Exercise
|
abstract double |
Bond.pecsFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate PECS from Discount Margin to Maturity
|
abstract double |
Bond.pecsFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate PECS from Discount Margin to Work-out
|
abstract double |
Bond.pecsFromDiscountMarginToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate PECS from Discount Margin to Optimal Exercise
|
abstract double |
Bond.pecsFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate PECS from G Spread to Maturity
|
abstract double |
Bond.pecsFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate PECS from G Spread to Work-out
|
abstract double |
Bond.pecsFromGSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate PECS from G Spread to Optimal Exercise
|
abstract double |
Bond.pecsFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate PECS from I Spread to Maturity
|
abstract double |
Bond.pecsFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate PECS from I Spread to Work-out
|
abstract double |
Bond.pecsFromISpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate PECS from I Spread to Optimal Exercise
|
abstract double |
Bond.pecsFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate PECS from OAS to Maturity
|
abstract double |
Bond.pecsFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate PECS from OAS to Work-out
|
abstract double |
Bond.pecsFromOASToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate PECS from OAS to Optimal Exercise
|
abstract double |
Bond.pecsFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate PECS from Price to Maturity
|
abstract double |
Bond.pecsFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate PECS from Price to Work-out
|
abstract double |
Bond.pecsFromPriceToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate PECS from Price to Optimal Exercise
|
abstract double |
Bond.pecsFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate PECS from TSY Spread to Maturity
|
abstract double |
Bond.pecsFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate PECS from TSY Spread to Work-out
|
abstract double |
Bond.pecsFromTSYSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate PECS from TSY Spread to Optimal Exercise
|
abstract double |
Bond.pecsFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate PECS from Yield to Maturity
|
abstract double |
Bond.pecsFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate PECS from Yield to Work-out
|
abstract double |
Bond.pecsFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate PECS from Yield Spread to Maturity
|
abstract double |
Bond.pecsFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate PECS from Yield Spread to Work-out
|
abstract double |
Bond.pecsFromYieldSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate PECS from Yield Spread to Optimal Exercise
|
abstract double |
Bond.pecsFromYieldToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate PECS from Yield to Optimal Exercise
|
abstract double |
Bond.pecsFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate PECS from Z Spread to Maturity
|
abstract double |
Bond.pecsFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate PECS from Z Spread to Work-out
|
abstract double |
Bond.pecsFromZSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate PECS from Z Spread to Optimal Exercise
|
abstract double |
Bond.priceFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Price from ASW to Maturity
|
abstract double |
Bond.priceFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Price from ASW to Work-out
|
abstract double |
Bond.priceFromASWToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Price from ASW to Optimal Exercise
|
abstract double |
Bond.priceFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Price from Bond Basis to Maturity
|
abstract double |
Bond.priceFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Price from Bond Basis to Work-out
|
abstract double |
Bond.priceFromBondBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Price from Bond Basis to Optimal Exercise
|
abstract double |
Bond.priceFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Price from Credit Basis to Maturity
|
abstract double |
Bond.priceFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Price from Credit Basis to Work-out
|
abstract double |
Bond.priceFromCreditBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Price from Credit Basis to Optimal Exercise
|
abstract double |
Bond.priceFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Price from Discount Margin to Maturity
|
abstract double |
Bond.priceFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Price from Discount Margin to Work-out
|
abstract double |
Bond.priceFromDiscountMarginToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Price from Discount Margin to Optimal Exercise
|
abstract double |
Bond.priceFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Price from G Spread to Maturity
|
abstract double |
Bond.priceFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Price from G Spread to Work-out
|
abstract double |
Bond.priceFromGSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Price from G Spread to Optimal Exercise
|
abstract double |
Bond.priceFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Price from I Spread to Maturity
|
abstract double |
Bond.priceFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Price from I Spread to Work-out
|
abstract double |
Bond.priceFromISpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Price from I Spread to Optimal Exercise
|
abstract double |
Bond.priceFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Price from OAS to Maturity
|
abstract double |
Bond.priceFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Price from OAS to Work-out
|
abstract double |
Bond.priceFromOASToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Price from OAS to Optimal Exercise
|
abstract double |
Bond.priceFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Price from PECS to Maturity
|
abstract double |
Bond.priceFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Price from PECS to Work-out
|
abstract double |
Bond.priceFromPECSToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Price from PECS to Optimal Exercise
|
abstract double |
Bond.priceFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Price from TSY Spread to Maturity
|
abstract double |
Bond.priceFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Price from TSY Spread to Work-out
|
abstract double |
Bond.priceFromTSYSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Price from TSY Spread to Optimal Exercise
|
abstract double |
Bond.priceFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Price from Yield to Maturity
|
abstract double |
Bond.priceFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Price from Yield to Work-out
|
abstract double |
Bond.priceFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Price from Yield Spread to Maturity
|
abstract double |
Bond.priceFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Price from Yield Spread to Work-out
|
abstract double |
Bond.priceFromYieldSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Price from Yield Spread to Optimal Exercise
|
abstract double |
Bond.priceFromYieldToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Price from Yield to Optimal Exercise
|
abstract double |
Bond.priceFromZeroCurve(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iZeroCurveBaseDC,
int iWorkoutDate,
double dblWorkoutFactor,
double dblZCBump)
Calculate the bond's non-credit risky theoretical price from the Bumped Zero Curve
|
abstract double |
Bond.priceFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Price from Z Spread to Maturity
|
abstract double |
Bond.priceFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Price from Z Spread to Work-out
|
abstract double |
Bond.priceFromZSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Price from Z Spread to Optimal Exercise
|
abstract double |
Component.pv(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqc,
ValuationCustomizationParams vcp)
Compute the PV for the specified Market Parameters
|
abstract BondRVMeasures |
Bond.standardMeasures(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
WorkoutInfo wi,
double dblPrice)
Calculate the full set of Bond RV Measures from the Price Input
|
abstract double |
Bond.tsySpreadFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate TSY Spread from ASW to Maturity
|
abstract double |
Bond.tsySpreadFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate TSY Spread from ASW to Work-out
|
abstract double |
Bond.tsySpreadFromASWToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate TSY Spread from ASW to Optimal Exercise
|
abstract double |
Bond.tsySpreadFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate TSY Spread from Bond Basis to Maturity
|
abstract double |
Bond.tsySpreadFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate TSY Spread from Bond Basis to Work-out
|
abstract double |
Bond.tsySpreadFromBondBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate TSY Spread from Bond Basis to Optimal Exercise
|
abstract double |
Bond.tsySpreadFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate TSY Spread from Credit Basis to Maturity
|
abstract double |
Bond.tsySpreadFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate TSY Spread from Credit Basis to Work-out
|
abstract double |
Bond.tsySpreadFromCreditBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate TSY Spread from Credit Basis to Optimal Exercise
|
abstract double |
Bond.tsySpreadFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate TSY Spread from Discount Margin to Maturity
|
abstract double |
Bond.tsySpreadFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate TSY Spread from Discount Margin to Work-out
|
abstract double |
Bond.tsySpreadFromDiscountMarginToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate TSY Spread from Discount Margin to Optimal Exercise
|
abstract double |
Bond.tsySpreadFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate TSY Spread from G Spread to Maturity
|
abstract double |
Bond.tsySpreadFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate TSY Spread from G Spread to Work-out
|
abstract double |
Bond.tsySpreadFromGSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate TSY Spread from G Spread to Optimal Exercise
|
abstract double |
Bond.tsySpreadFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate TSY Spread from I Spread to Maturity
|
abstract double |
Bond.tsySpreadFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate TSY Spread from I Spread to Work-out
|
abstract double |
Bond.tsySpreadFromISpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate TSY Spread from I Spread to Optimal Exercise
|
abstract double |
Bond.tsySpreadFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate TSY Spread from OAS to Maturity
|
abstract double |
Bond.tsySpreadFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate TSY Spread from OAS to Work-out
|
abstract double |
Bond.tsySpreadFromOASToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate TSY Spread from OAS to Optimal Exercise
|
abstract double |
Bond.tsySpreadFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate TSY Spread from PECS to Maturity
|
abstract double |
Bond.tsySpreadFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate TSY Spread from PECS to Work-out
|
abstract double |
Bond.tsySpreadFromPECSToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate TSY Spread from PECS to Optimal Exercise
|
abstract double |
Bond.tsySpreadFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate TSY Spread from Price to Maturity
|
abstract double |
Bond.tsySpreadFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate TSY Spread from Price to Work-out
|
abstract double |
Bond.tsySpreadFromPriceToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate TSY Spread from Price to Optimal Exercise
|
abstract double |
Bond.tsySpreadFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate TSY Spread from Yield to Maturity
|
abstract double |
Bond.tsySpreadFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate TSY Spread from Yield to Work-out
|
abstract double |
Bond.tsySpreadFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate TSY Spread from Yield Spread to Maturity
|
abstract double |
Bond.tsySpreadFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate TSY Spread from Yield Spread to Work-out
|
abstract double |
Bond.tsySpreadFromYieldSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate TSY Spread from Yield Spread to Optimal Exercise
|
abstract double |
Bond.tsySpreadFromYieldToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate TSY Spread from Yield to Optimal Exercise
|
abstract double |
Bond.tsySpreadFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate TSY Spread from Z Spread to Maturity
|
abstract double |
Bond.tsySpreadFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate TSY Spread from Z Spread to Work-out
|
abstract double |
Bond.tsySpreadFromZSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate TSY Spread from Z Spread to Optimal Exercise
|
abstract CaseInsensitiveTreeMap<java.lang.Double> |
Component.value(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp)
Generate a full list of the Product measures for the full input set of market parameters
|
CaseInsensitiveTreeMap<java.lang.Double> |
BasketProduct.value(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp)
Generate a full list of the basket product measures for the full input set of market parameters
|
abstract CaseInsensitiveTreeMap<java.lang.Double> |
CreditDefaultSwap.valueFromQuotedSpread(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblFixCoupon,
double dblQuotedSpread)
Value the CDS from the Quoted Spread
|
abstract PredictorResponseWeightConstraint |
CalibratableComponent.volatilityPRWC(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
ProductQuoteSet pqs)
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged
Volatility Latent State from the Component's Cash Flows.
|
abstract double |
Bond.yield01FromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Yield01 from ASW to Maturity
|
abstract double |
Bond.yield01FromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Yield01 from ASW to Work-out
|
abstract double |
Bond.yield01FromASWToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Yield01 from ASW to Optimal Exercise
|
abstract double |
Bond.yield01FromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Yield01 from Bond Basis to Maturity
|
abstract double |
Bond.yield01FromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Yield01 from Bond Basis to Work-out
|
abstract double |
Bond.yield01FromBondBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Yield01 from Bond Basis to Optimal Exercise
|
abstract double |
Bond.yield01FromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Yield01 from Credit Basis to Maturity
|
abstract double |
Bond.yield01FromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Yield01 from Credit Basis to Work-out
|
abstract double |
Bond.yield01FromCreditBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Yield01 from Credit Basis to Optimal Exercise
|
abstract double |
Bond.yield01FromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Yield01 from Discount Margin to Maturity
|
abstract double |
Bond.yield01FromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Yield01 from Discount Margin to Work-out
|
abstract double |
Bond.yield01FromDiscountMarginToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Yield01 from Discount Margin to Optimal Exercise
|
abstract double |
Bond.yield01FromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Yield01 from G Spread to Maturity
|
abstract double |
Bond.yield01FromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Yield01 from G Spread to Work-out
|
abstract double |
Bond.yield01FromGSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Yield01 from G Spread to Optimal Exercise
|
abstract double |
Bond.yield01FromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Yield01 from I Spread to Maturity
|
abstract double |
Bond.yield01FromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Yield01 from I Spread to Work-out
|
abstract double |
Bond.yield01FromISpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Yield01 from I Spread to Optimal Exercise
|
abstract double |
Bond.yield01FromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Yield01 from OAS to Maturity
|
abstract double |
Bond.yield01FromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Yield01 from OAS to Work-out
|
abstract double |
Bond.yield01FromOASToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Yield01 from OAS to Optimal Exercise
|
abstract double |
Bond.yield01FromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Yield01 from PECS to Maturity
|
abstract double |
Bond.yield01FromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Yield01 from PECS to Work-out
|
abstract double |
Bond.yield01FromPECSToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Yield01 from PECS to Optimal Exercise
|
abstract double |
Bond.yield01FromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Yield01 from Price to Maturity
|
abstract double |
Bond.yield01FromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Yield01 from Price to Work-out
|
abstract double |
Bond.yield01FromPriceToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Yield01 from Price to Optimal Exercise
|
abstract double |
Bond.yield01FromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Yield01 from TSY Spread to Maturity
|
abstract double |
Bond.yield01FromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Yield01 from TSY Spread to Work-out
|
abstract double |
Bond.yield01FromTSYSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Yield01 from TSY Spread to Optimal Exercise
|
abstract double |
Bond.yield01FromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Yield01 from Yield to Maturity
|
abstract double |
Bond.yield01FromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Yield01 from Yield to Work-out
|
abstract double |
Bond.yield01FromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Yield01 from Yield Spread to Maturity
|
abstract double |
Bond.yield01FromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Yield01 from Yield Spread to Work-out
|
abstract double |
Bond.yield01FromYieldSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Yield01 from Yield Spread to Optimal Exercise
|
abstract double |
Bond.yield01FromYieldToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Yield01 from Yield to Optimal Exercise
|
abstract double |
Bond.yield01FromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Yield01 from Z Spread to Maturity
|
abstract double |
Bond.yield01FromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Yield01 from Z Spread to Work-out
|
abstract double |
Bond.yield01FromZSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Yield01 from Z Spread to Optimal Exercise
|
abstract double |
Bond.yieldFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Yield from ASW to Maturity
|
abstract double |
Bond.yieldFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Yield from ASW to Work-out
|
abstract double |
Bond.yieldFromASWToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Yield from ASW to Optimal Exercise
|
abstract double |
Bond.yieldFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Yield from Bond Basis to Maturity
|
abstract double |
Bond.yieldFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Yield from Bond Basis to Work-out
|
abstract double |
Bond.yieldFromBondBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Yield from Bond Basis to Optimal Exercise
|
abstract double |
Bond.yieldFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Yield from Credit Basis to Maturity
|
abstract double |
Bond.yieldFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Yield from Credit Basis to Work-out
|
abstract double |
Bond.yieldFromCreditBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Yield from Credit Basis to Optimal Exercise
|
abstract double |
Bond.yieldFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Yield from Discount Margin to Maturity
|
abstract double |
Bond.yieldFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Yield from Discount Margin to Work-out
|
abstract double |
Bond.yieldFromDiscountMarginToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Yield from Discount Margin to Optimal Exercise
|
abstract double |
Bond.yieldFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Yield from G Spread to Maturity
|
abstract double |
Bond.yieldFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Yield from G Spread to Work-out
|
abstract double |
Bond.yieldFromGSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Yield from G Spread to Optimal Exercise
|
abstract double |
Bond.yieldFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Yield from I Spread to Maturity
|
abstract double |
Bond.yieldFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Yield from I Spread to Work-out
|
abstract double |
Bond.yieldFromISpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Yield from I Spread to Optimal Exercise
|
abstract double |
Bond.yieldFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Yield from OAS to Maturity
|
abstract double |
Bond.yieldFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Yield from OAS to Work-out
|
abstract double |
Bond.yieldFromOASToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Yield from OAS to Optimal Exercise
|
abstract double |
Bond.yieldFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Yield from PECS to Maturity
|
abstract double |
Bond.yieldFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Yield from PECS to Work-out
|
abstract double |
Bond.yieldFromPECSToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Yield from PECS to Optimal Exercise
|
abstract double |
Bond.yieldFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Yield from Price to Maturity
|
abstract double |
Bond.yieldFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Yield from Price to Work-out
|
abstract double |
Bond.yieldFromPriceToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Yield from Price to Optimal Exercise
|
abstract double |
Bond.yieldFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Yield from TSY Spread to Maturity
|
abstract double |
Bond.yieldFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Yield from TSY Spread to Work-out
|
abstract double |
Bond.yieldFromTSYSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Yield from TSY Spread to Optimal Exercise
|
abstract double |
Bond.yieldFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Yield from Yield Spread to Maturity
|
abstract double |
Bond.yieldFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Yield from Yield Spread to Work-out
|
abstract double |
Bond.yieldFromYieldSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Yield from Yield Spread to Optimal Exercise
|
abstract double |
Bond.yieldFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Yield from Z Spread to Maturity
|
abstract double |
Bond.yieldFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Yield from Z Spread to Work-out
|
abstract double |
Bond.yieldFromZSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Yield from Z Spread to Optimal Exercise
|
abstract double |
Bond.yieldSpreadFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Yield Spread from ASW to Maturity
|
abstract double |
Bond.yieldSpreadFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Yield Spread from ASW to Work-out
|
abstract double |
Bond.yieldSpreadFromASWToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Yield Spread from ASW to Optimal Exercise
|
abstract double |
Bond.yieldSpreadFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Yield Spread from Bond Basis to Maturity
|
abstract double |
Bond.yieldSpreadFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Yield Spread from Bond Basis to Work-out
|
abstract double |
Bond.yieldSpreadFromBondBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Yield Spread from Bond Basis to Optimal Exercise
|
abstract double |
Bond.yieldSpreadFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Yield Spread from Credit Basis to Maturity
|
abstract double |
Bond.yieldSpreadFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Yield Spread from Credit Basis to Work-out
|
abstract double |
Bond.yieldSpreadFromCreditBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Yield Spread from Credit Basis to Optimal Exercise
|
abstract double |
Bond.yieldSpreadFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Yield Spread from Discount Margin to Maturity
|
abstract double |
Bond.yieldSpreadFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Yield Spread from Discount Margin to Work-out
|
abstract double |
Bond.yieldSpreadFromDiscountMarginToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Yield Spread from Discount Margin to Optimal Exercise
|
abstract double |
Bond.yieldSpreadFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Yield Spread from G Spread to Maturity
|
abstract double |
Bond.yieldSpreadFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Yield Spread from G Spread to Work-out
|
abstract double |
Bond.yieldSpreadFromGSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Yield Spread from G Spread to Optimal Exercise
|
abstract double |
Bond.yieldSpreadFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Yield Spread from I Spread to Maturity
|
abstract double |
Bond.yieldSpreadFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Yield Spread from I Spread to Work-out
|
abstract double |
Bond.yieldSpreadFromISpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Yield Spread from I Spread to Optimal Exercise
|
abstract double |
Bond.yieldSpreadFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Yield Spread from OAS to Maturity
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abstract double |
Bond.yieldSpreadFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Yield Spread from OAS to Work-out
|
abstract double |
Bond.yieldSpreadFromOASToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Yield Spread from OAS to Optimal Exercise
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abstract double |
Bond.yieldSpreadFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Yield Spread from PECS to Maturity
|
abstract double |
Bond.yieldSpreadFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Yield Spread from PECS to Work-out
|
abstract double |
Bond.yieldSpreadFromPECSToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Yield Spread from PECS to Optimal Exercise
|
abstract double |
Bond.yieldSpreadFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Yield Spread from Price to Maturity
|
abstract double |
Bond.yieldSpreadFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Yield Spread from Price to Work-out
|
abstract double |
Bond.yieldSpreadFromPriceToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Yield Spread from Price to Optimal Exercise
|
abstract double |
Bond.yieldSpreadFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Yield Spread from TSY Spread to Maturity
|
abstract double |
Bond.yieldSpreadFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Yield Spread from TSY Spread to Work-out
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abstract double |
Bond.yieldSpreadFromTSYSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Yield Spread from TSY Spread to Optimal Exercise
|
abstract double |
Bond.yieldSpreadFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Yield Spread from Yield to Maturity
|
abstract double |
Bond.yieldSpreadFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Yield Spread from Yield to Work-out
|
abstract double |
Bond.yieldSpreadFromYieldToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Yield Spread from Yield to Optimal Exercise
|
abstract double |
Bond.yieldSpreadFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Yield Spread from Z Spread to Maturity
|
abstract double |
Bond.yieldSpreadFromZSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate Yield Spread from Z Spread to Work-out
|
abstract double |
Bond.yieldSpreadFromZSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblZSpread)
Calculate Yield Spread from Z Spread to Optimal Exercise
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abstract double |
Bond.zspreadFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Z Spread from ASW to Maturity
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abstract double |
Bond.zspreadFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Z Spread from ASW to Work-out
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abstract double |
Bond.zspreadFromASWToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Z Spread from ASW to Optimal Exercise
|
abstract double |
Bond.zspreadFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Z Spread from Bond Basis to Maturity
|
abstract double |
Bond.zspreadFromBondBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate Z Spread from Bond Basis to Work-out
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abstract double |
Bond.zspreadFromBondBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblBondBasis)
Calculate Z Spread from Bond Basis to Optimal Exercise
|
abstract double |
Bond.zspreadFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Z Spread from Credit Basis to Maturity
|
abstract double |
Bond.zspreadFromCreditBasis(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate Z Spread from Credit Basis to Work-out
|
abstract double |
Bond.zspreadFromCreditBasisToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblCreditBasis)
Calculate Z Spread from Credit Basis to Optimal Exercise
|
abstract double |
Bond.zspreadFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Z Spread from Discount Margin to Maturity
|
abstract double |
Bond.zspreadFromDiscountMargin(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate Z Spread from Discount Margin to Work-out
|
abstract double |
Bond.zspreadFromDiscountMarginToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblDiscountMargin)
Calculate Z Spread from Discount Margin to Optimal Exercise
|
abstract double |
Bond.zspreadFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Z Spread from G Spread to Maturity
|
abstract double |
Bond.zspreadFromGSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate Z Spread from G Spread to Work-out
|
abstract double |
Bond.zspreadFromGSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblGSpread)
Calculate Z Spread from G Spread to Optimal Exercise
|
abstract double |
Bond.zspreadFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Z Spread from I Spread to Maturity
|
abstract double |
Bond.zspreadFromISpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate Z Spread from I Spread to Work-out
|
abstract double |
Bond.zspreadFromISpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblISpread)
Calculate Z Spread from I Spread to Optimal Exercise
|
abstract double |
Bond.zspreadFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Z Spread from OAS to Maturity
|
abstract double |
Bond.zspreadFromOAS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate Z Spread from OAS to Work-out
|
abstract double |
Bond.zspreadFromOASToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblOAS)
Calculate Z Spread from OAS to Optimal Exercise
|
abstract double |
Bond.zspreadFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Z Spread from PECS to Maturity
|
abstract double |
Bond.zspreadFromPECS(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate Z Spread from PECS to Work-out
|
abstract double |
Bond.zspreadFromPECSToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPECS)
Calculate Z Spread from PECS to Optimal Exercise
|
abstract double |
Bond.zspreadFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Z Spread from Price to Maturity
|
abstract double |
Bond.zspreadFromPrice(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate Z Spread from Price to Work-out
|
abstract double |
Bond.zspreadFromPriceToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPrice)
Calculate Z Spread from Price to Optimal Exercise
|
abstract double |
Bond.zspreadFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Z Spread from TSY Spread to Maturity
|
abstract double |
Bond.zspreadFromTSYSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate Z Spread from TSY Spread to Work-out
|
abstract double |
Bond.zspreadFromTSYSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblTSYSpread)
Calculate Z Spread from TSY Spread to Optimal Exercise
|
abstract double |
Bond.zspreadFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Z Spread from Yield to Maturity
|
abstract double |
Bond.zspreadFromYield(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate Z Spread from Yield to Work-out
|
abstract double |
Bond.zspreadFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Z Spread from Yield Spread to Maturity
|
abstract double |
Bond.zspreadFromYieldSpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate Z Spread from Yield Spread to Work-out
|
abstract double |
Bond.zspreadFromYieldSpreadToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYieldSpread)
Calculate Z Spread from Yield Spread to Optimal Exercise
|
abstract double |
Bond.zspreadFromYieldToOptimalExercise(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblYield)
Calculate Z Spread from Yield to Optimal Exercise
|
| Modifier and Type | Method and Description |
|---|---|
CTDEntry |
TreasuryFutures.cheapestToDeliver(int iValueDate,
CurveSurfaceQuoteContainer csqc,
ValuationCustomizationParams vcp,
double[] adblCleanPrice,
int iForwardPriceMethod)
Extract the Cheapest-to-deliver Entry in the Basket Using the Current Market Parameters
|
PredictorResponseWeightConstraint |
TreasuryComponent.govviePRWC(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
ProductQuoteSet pqs) |
double |
TreasuryFutures.pv(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqc,
ValuationCustomizationParams vcp) |
CaseInsensitiveTreeMap<java.lang.Double> |
TreasuryFutures.value(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqc,
ValuationCustomizationParams vcp) |
| Modifier and Type | Method and Description |
|---|---|
ValuationCustomizationParams |
QuoteConvention.valuationCustomizationParams()
Retrieve the Valuation Customization Parameters
|
| Constructor and Description |
|---|
QuoteConvention(ValuationCustomizationParams valuationCustomizationParams,
java.lang.String strCalculationType,
int iFirstSettleDate,
double dblRedemptionValue,
int iSettleLag,
java.lang.String strSettleCalendar,
int iSettleAdjustMode)
Construct the QuoteConvention object from the valuation Customization Parameters, the calculation
type, the first settle date, and the redemption value.
|
| 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
|
| Modifier and Type | Method and Description |
|---|---|
static MergedDiscountForwardCurve |
ScenarioDiscountCurveBuilder.DFRateShapePreserver(java.lang.String strName,
ValuationParams valParams,
CreditPricerParams pricerParam,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams quotingParam,
java.lang.String strBasisType,
FunctionSetBuilderParams fsbp,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
java.lang.String[] astrManifestMeasure1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
java.lang.String[] astrManifestMeasure2,
double dblEpochResponse,
boolean bZeroSmooth)
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
|
static MergedDiscountForwardCurve |
ScenarioDiscountCurveBuilder.ShapePreservingDFBuild(java.lang.String strCurrency,
LinearLatentStateCalibrator llsc,
LatentStateStretchSpec[] aStretchSpec,
ValuationParams valParam,
CreditPricerParams pricerParam,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams quotingParam,
double dblEpochResponse)
Build the Shape Preserving Discount Curve using the Custom Parameters
|
static ForwardCurve |
ScenarioForwardCurveBuilder.ShapePreservingForwardCurve(LinearLatentStateCalibrator llsc,
LatentStateStretchSpec[] aStretchSpec,
ForwardLabel fri,
ValuationParams valParam,
CreditPricerParams pricerParam,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams quotingParam,
double dblEpochResponse)
Build the Shape Preserving Forward Curve using the Custom Parameters
|
static ForwardCurve |
ScenarioForwardCurveBuilder.ShapePreservingForwardCurve(java.lang.String strName,
ForwardLabel fri,
ValuationParams valParams,
CreditPricerParams pricerParam,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams quotingParam,
java.lang.String strBasisType,
FunctionSetBuilderParams fsbp,
CalibratableComponent[] aCalibComp,
java.lang.String strManifestMeasure,
double[] adblQuote,
double dblEpochResponse)
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
|
static FXCurve |
ScenarioFXCurveBuilder.ShapePreservingFXCurve(LinearLatentStateCalibrator llsc,
LatentStateStretchSpec[] aStretchSpec,
CurrencyPair cp,
ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblEpochResponse)
Build the Shape Preserving FX Curve using the Custom Parameters
|
static FXCurve |
ScenarioFXCurveBuilder.ShapePreservingFXCurve(java.lang.String strName,
CurrencyPair cp,
ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
CalibratableComponent[] aCalibComp,
java.lang.String strManifestMeasure,
double[] adblQuote,
double dblEpochResponse,
SegmentCustomBuilderControl scbc)
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
|
static FXCurve |
ScenarioFXCurveBuilder.ShapePreservingFXCurve(java.lang.String strName,
CurrencyPair cp,
ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
java.lang.String strBasisType,
FunctionSetBuilderParams fsbp,
CalibratableComponent[] aCalibComp,
java.lang.String strManifestMeasure,
double[] adblQuote,
double dblEpochResponse)
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
|
static GovvieCurve |
ScenarioGovvieCurveBuilder.ShapePreservingGovvieCurve(LinearLatentStateCalibrator llsc,
LatentStateStretchSpec[] aStretchSpec,
java.lang.String strTreasuryCode,
java.lang.String strCurrency,
ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqc,
ValuationCustomizationParams vcp,
double dblEpochResponse)
Build the Shape Preserving Govvie Curve using the Custom Parameters
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static GovvieCurve |
ScenarioGovvieCurveBuilder.ShapePreservingGovvieCurve(java.lang.String strName,
java.lang.String strTreasuryCode,
java.lang.String strCurrency,
ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqc,
ValuationCustomizationParams vcp,
java.lang.String strBasisType,
FunctionSetBuilderParams fsbp,
SegmentInelasticDesignControl sdic,
CalibratableComponent[] aCalibComp,
java.lang.String strManifestMeasure,
double[] adblQuote)
Construct an Instance of the Shape Preserver of the desired Basis Spline Type, using the specified
Basis Spline Set Builder Parameters.
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static MergedDiscountForwardCurve |
ScenarioDiscountCurveBuilder.SmoothingGlobalControlBuild(MergedDiscountForwardCurve dcShapePreserver,
LinearLatentStateCalibrator llsc,
GlobalControlCurveParams gccp,
ValuationParams valParam,
CreditPricerParams pricerParam,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams quotingParam)
Build a Globally Smoothed Instance of the Discount Curve using the Custom Parameters
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static MergedDiscountForwardCurve |
ScenarioDiscountCurveBuilder.SmoothingLocalControlBuild(MergedDiscountForwardCurve dcShapePreserver,
LinearLatentStateCalibrator llsc,
LocalControlCurveParams lccp,
ValuationParams valParam,
CreditPricerParams pricerParam,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams quotingParam)
Build a Locally Smoothed Instance of the Discount Curve using the Custom Parameters
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| 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
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| Modifier and Type | Method and Description |
|---|---|
static DerivedZeroRate |
DerivedZeroRate.FromBaseCurve(int iFreq,
java.lang.String strDayCount,
java.lang.String strCalendar,
boolean bApplyEOMAdj,
java.util.List<CompositePeriod> lsCouponPeriod,
int iWorkoutDate,
int iValueDate,
int iCashPayDate,
DiscountCurve dc,
double dblBump,
ValuationCustomizationParams vcp,
SegmentCustomBuilderControl scbc)
Construct an Instance from the Input Curve and the related Parameters
|
static DerivedZeroRate |
DerivedZeroRate.FromDiscountCurve(int iFreqZC,
java.lang.String strDCZC,
java.lang.String strCalendarZC,
boolean bApplyEOMAdjZC,
java.util.List<CompositePeriod> lsCouponPeriod,
int iWorkoutDate,
int iValueDate,
int iCashPayDate,
DiscountCurve dc,
double dblZCBump,
ValuationCustomizationParams vcp,
SegmentCustomBuilderControl scbc)
Construct an Instance from the Discount Curve and the related Parameters
|
static DerivedZeroRate |
DerivedZeroRate.FromGovvieCurve(int iFreqZC,
java.lang.String strDCZC,
java.lang.String strCalendarZC,
boolean bApplyEOMAdjZC,
java.util.List<CompositePeriod> lsCouponPeriod,
int iWorkoutDate,
int iValueDate,
int iCashPayDate,
GovvieCurve gc,
double dblZCBump,
ValuationCustomizationParams vcp,
SegmentCustomBuilderControl scbc)
Construct an Instance from the Govvie Curve and the related Parameters
|
| Modifier and Type | Method and Description |
|---|---|
OverlappingStretchSpan |
LinearLatentStateCalibrator.calibrateSpan(LatentStateStretchSpec[] aStretchSpec,
double dblEpochResponse,
ValuationParams valParams,
CreditPricerParams pricerParams,
ValuationCustomizationParams vcp,
CurveSurfaceQuoteContainer csqs)
Calibrate the Span from the Instruments in the Stretches and their Details.
|
| 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
|
| 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
|