| Modifier and Type | Method and Description |
|---|---|
java.util.List<LossQuadratureMetrics> |
CompositePeriod.lossMetrics(CreditComponent comp,
ValuationParams valParams,
CreditPricerParams pricerParams,
int iWorkoutDate,
CurveSurfaceQuoteContainer csqs)
Create a set of loss period measures
|
| Modifier and Type | Method and Description |
|---|---|
ValuationParams |
LatentStateShapePreservingCCIS.valuationParameter() |
ValuationParams |
CurveConstructionInputSet.valuationParameter()
Retrieve the Valuation Parameter
|
ValuationParams |
BootCurveConstructionInput.valuationParameter() |
| 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
|
static java.util.List<LossQuadratureMetrics> |
LossQuadratureGenerator.GenerateDayStepLossPeriods(CreditComponent comp,
ValuationParams valParams,
CompositePeriod period,
int iWorkoutDate,
int iPeriodUnit,
CurveSurfaceQuoteContainer csqs)
Generate the Set of Loss Quadrature Metrics from the Day Step Loss Periods
|
static java.util.List<LossQuadratureMetrics> |
LossQuadratureGenerator.GeneratePeriodUnitLossPeriods(CreditComponent comp,
ValuationParams valParams,
CompositePeriod period,
int iWorkoutDate,
int iPeriodUnit,
CurveSurfaceQuoteContainer csqs)
Generate the Set of Loss Quadrature Metrics from the Day Step Loss Periods
|
static java.util.List<LossQuadratureMetrics> |
LossQuadratureGenerator.GenerateWholeLossPeriods(CreditComponent comp,
ValuationParams valParams,
CompositePeriod period,
int iWorkoutDate,
CurveSurfaceQuoteContainer csqs)
Generate the Set of Loss Quadrature Metrics from the Day Step Loss Periods
|
| 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 |
|---|---|
static ValuationParams |
ValuationParams.Spot(int iDate)
Create the spot valuation parameters for the given valuation date (uses the T+0 settle)
|
static ValuationParams |
ValuationParams.Spot(JulianDate dtValue,
int iCashSettleLag,
java.lang.String strCalendar,
int iAdjustMode)
Create the valuation parameters object instance from the valuation date, the cash settle lag, and the
settle calendar.
|
static ValuationParams |
ValuationParams.Standard(JulianDate dtValue,
java.lang.String strCalendar)
Create the standard T+2B settle parameters for the given valuation date and calendar
|
| 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 CompositePeriodCouponMetrics |
Component.couponMetrics(int iAccrualEndDate,
ValuationParams valParams,
CurveSurfaceQuoteContainer csqs)
Get the Product's coupon Metrics at the specified accrual date
|
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> |
CreditComponent.lossFlow(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqc)
Generate the loss flow for the credit component based on the pricer parameters
|
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.priceFromCreditCurve(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
int iWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis,
boolean bFlat)
Calculate the bond's credit risky theoretical price from the bumped credit curve
|
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.priceFromFundingCurve(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
int iWorkoutDate,
double dblWorkoutFactor,
double dblDCBump)
Calculate the bond's non-credit risky theoretical price from the Bumped Funding curve
|
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.priceFromTreasuryCurve(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
int iWorkoutDate,
double dblWorkoutFactor,
double dblDCBump)
Calculate the bond's non-credit risky theoretical price from the Bumped Funding curve
|
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 double[] |
Bond.secTreasurySpread(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs)
Retrieve the array of double for the bond's secondary treasury spreads from the Valuation
Parameters and the component 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 boolean |
Bond.tradeable(ValuationParams valParams)
Calculate if the bond is tradeable on the given date
|
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
|
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
|
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
|
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
|
abstract double |
Bond.zspreadFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblASW)
Calculate Z Spread from ASW to Maturity
|
abstract double |
Bond.zspreadFromASW(ValuationParams valParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
int iWorkoutDate,
double dblWorkoutFactor,
double dblASW)
Calculate Z Spread from ASW to Work-out
|
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
|
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 |
|---|---|
CompositePeriodCouponMetrics |
TreasuryFutures.couponMetrics(int iAccrualEndDate,
ValuationParams valParams,
CurveSurfaceQuoteContainer csqs) |
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 |
|---|---|
int |
QuoteConvention.settleDate(ValuationParams valParams) |
| 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.CubicKLKHyperbolicDFRateShapePreserver(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
java.lang.String[] astrManifestMeasure1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
java.lang.String[] astrManifestMeasure2,
boolean bZeroSmooth)
Construct an instance of the Shape Preserver of the KLK Hyperbolic Tension Type, using the specified
basis set builder parameters.
|
static MergedDiscountForwardCurve |
ScenarioDiscountCurveBuilder.CubicPolyDFRateShapePreserver(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
java.lang.String[] astrManifestMeasure1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
java.lang.String[] astrManifestMeasure2,
boolean bZeroSmooth)
Construct an instance of the Shape Preserver of the Cubic Polynomial Type, using the specified
basis set builder parameters.
|
static MergedDiscountForwardCurve |
ScenarioDiscountCurveBuilder.CustomDENSE(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
java.lang.String strTenor1,
java.lang.String[] astrManifestMeasure1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
java.lang.String strTenor2,
java.lang.String[] astrManifestMeasure2,
TurnListDiscountFactor tldf)
Customizable DENSE Curve Creation Methodology - the references are:
- Sankar, L.
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static MergedDiscountForwardCurve |
ScenarioDiscountCurveBuilder.DENSE(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
java.lang.String[] astrManifestMeasure1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
java.lang.String[] astrManifestMeasure2,
TurnListDiscountFactor tldf)
The Standard DENSE Curve Creation Methodology - this uses no re-construction set for the short term,
and uses 3M dense re-construction for the Swap Set.
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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.DUALDENSE(java.lang.String strName,
ValuationParams valParams,
CalibratableComponent[] aCalibComp1,
double[] adblQuote1,
java.lang.String strTenor1,
java.lang.String[] astrManifestMeasure1,
CalibratableComponent[] aCalibComp2,
double[] adblQuote2,
java.lang.String strTenor2,
java.lang.String[] astrManifestMeasure2,
TurnListDiscountFactor tldf)
The DUAL DENSE Curve Creation Methodology - this uses configurable re-construction set for the short
term, and another configurable re-construction for the Swap Set.
|
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
|
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.
|
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
|
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
|
| 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
|
| Modifier and Type | Method and Description |
|---|---|
double[] |
BasisSplineFXForward.bootstrapBasis(int[] aiDateNode,
ValuationParams valParams,
MergedDiscountForwardCurve dcNum,
MergedDiscountForwardCurve dcDenom,
boolean bBasisOnDenom) |
MergedDiscountForwardCurve |
BasisSplineFXForward.bootstrapBasisDC(int[] aiDateNode,
ValuationParams valParams,
MergedDiscountForwardCurve dcNum,
MergedDiscountForwardCurve dcDenom,
boolean bBasisOnDenom) |
double[] |
BasisSplineFXForward.impliedNodeRates(int[] aiDateNode,
ValuationParams valParams,
MergedDiscountForwardCurve dcNum,
MergedDiscountForwardCurve dcDenom,
boolean bBasisOnDenom) |
double |
BasisSplineFXForward.rate(int[] aiDateNode,
ValuationParams valParams,
MergedDiscountForwardCurve dcNum,
MergedDiscountForwardCurve dcDenom,
int iDate,
boolean bBasisOnDenom) |
double[] |
BasisSplineFXForward.zeroBasis(int[] aiDateNode,
ValuationParams valParams,
MergedDiscountForwardCurve dcNum,
MergedDiscountForwardCurve dcDenom,
boolean bBasisOnDenom) |
| Modifier and Type | Method and Description |
|---|---|
static LatentStateStretchSpec |
LatentStateStretchBuilder.ComponentPairDiscountStretch(java.lang.String strName,
ComponentPair[] aCCSP,
ValuationParams valParams,
CurveSurfaceQuoteContainer mktParams,
double[] adblReferenceComponentBasis,
double[] adblSwapRate,
boolean bBasisOnDerivedLeg)
Construct an instance of LatentStateStretchSpec for the Construction of the Discount Curve from the
specified Inputs
|
static LatentStateStretchSpec |
LatentStateStretchBuilder.ComponentPairForwardStretch(java.lang.String strName,
ComponentPair[] aCCSP,
ValuationParams valParams,
CurveSurfaceQuoteContainer mktParams,
double[] adblBasis,
boolean bBasisOnDerivedComponent,
boolean bBasisOnDerivedStream)
Construct an instance of LatentStateStretchSpec for the Construction of the Forward Curve from the
specified Inputs
|
| Modifier and Type | Method and Description |
|---|---|
abstract double[] |
FXCurve.bootstrapBasis(int[] aiDateNode,
ValuationParams valParams,
MergedDiscountForwardCurve dcNum,
MergedDiscountForwardCurve dcDenom,
boolean bBasisOnDenom)
Bootstrap the basis to the discount curve inputs
|
abstract MergedDiscountForwardCurve |
FXCurve.bootstrapBasisDC(int[] aiDateNode,
ValuationParams valParams,
MergedDiscountForwardCurve dcNum,
MergedDiscountForwardCurve dcDenom,
boolean bBasisOnDenom)
Bootstrap the discount curve from the discount curve inputs
|
abstract double[] |
FXCurve.impliedNodeRates(int[] aiDateNode,
ValuationParams valParams,
MergedDiscountForwardCurve dcNum,
MergedDiscountForwardCurve dcDenom,
boolean bBasisOnDenom)
Calculate the rates implied by the discount curve inputs
|
abstract double |
FXCurve.rate(int[] aiDateNode,
ValuationParams valParams,
MergedDiscountForwardCurve dcNum,
MergedDiscountForwardCurve dcDenom,
int iDate,
boolean bBasisOnDenom)
Calculate the rate implied by the discount curve inputs to a specified date
|
abstract double[] |
FXCurve.zeroBasis(int[] aiDateNode,
ValuationParams valParams,
MergedDiscountForwardCurve dcNum,
MergedDiscountForwardCurve dcDenom,
boolean bBasisOnDenom)
Calculate the set of Zero basis given the input discount curves
|
| 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 |
|---|---|
double[] |
FlatForwardFXCurve.bootstrapBasis(int[] aiDateNode,
ValuationParams valParams,
MergedDiscountForwardCurve dcNum,
MergedDiscountForwardCurve dcDenom,
boolean bBasisOnDenom) |
MergedDiscountForwardCurve |
FlatForwardFXCurve.bootstrapBasisDC(int[] aiDateNode,
ValuationParams valParams,
MergedDiscountForwardCurve dcNum,
MergedDiscountForwardCurve dcDenom,
boolean bBasisOnDenom) |
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
|
double[] |
FlatForwardFXCurve.impliedNodeRates(int[] aiDateNode,
ValuationParams valParams,
MergedDiscountForwardCurve dcNum,
MergedDiscountForwardCurve dcDenom,
boolean bBasisOnDenom) |
double |
FlatForwardFXCurve.rate(int[] aiDateNode,
ValuationParams valParams,
MergedDiscountForwardCurve dcNum,
MergedDiscountForwardCurve dcDenom,
int iDate,
boolean bBasisOnDenom) |
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
|
double[] |
FlatForwardFXCurve.zeroBasis(int[] aiDateNode,
ValuationParams valParams,
MergedDiscountForwardCurve dcNum,
MergedDiscountForwardCurve dcDenom,
boolean bBasisOnDenom) |