public class TreasuryComponent extends BondComponent
BondComponent.BondCalibrator| Constructor and Description |
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TreasuryComponent(java.lang.String strTreasuryCode)
TreasuryComponent Constructor
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| Modifier and Type | Method and Description |
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ProductQuoteSet |
calibQuoteSet(LatentStateSpecification[] aLSS)
Generate the Product Specific Calibration Quote Set
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java.lang.String |
code()
Retrieve the Treasury Code
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PredictorResponseWeightConstraint |
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.
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accrualDC, accrued, aswFromBondBasis, aswFromBondBasis, aswFromBondBasisToOptimalExercise, aswFromCreditBasis, aswFromCreditBasis, aswFromCreditBasisToOptimalExercise, aswFromDiscountMargin, aswFromDiscountMargin, aswFromDiscountMarginToOptimalExercise, aswFromGSpread, aswFromGSpread, aswFromGSpreadToOptimalExercise, aswFromISpread, aswFromISpread, aswFromISpreadToOptimalExercise, aswFromOAS, aswFromOAS, aswFromOASToOptimalExercise, aswFromPECS, aswFromPECS, aswFromPECSToOptimalExercise, aswFromPrice, aswFromPrice, aswFromPriceToOptimalExercise, aswFromTSYSpread, aswFromTSYSpread, aswFromTSYSpreadToOptimalExercise, aswFromYield, aswFromYield, aswFromYieldSpread, aswFromYieldSpread, aswFromYieldSpreadToOptimalExercise, aswFromYieldToOptimalExercise, aswFromZSpread, aswFromZSpread, aswFromZSpreadToOptimalExercise, bondBasisFromASW, bondBasisFromASW, bondBasisFromASWToOptimalExercise, bondBasisFromCreditBasis, bondBasisFromCreditBasis, bondBasisFromCreditBasisToOptimalExercise, bondBasisFromDiscountMargin, bondBasisFromDiscountMargin, bondBasisFromDiscountMarginToOptimalExercise, bondBasisFromGSpread, bondBasisFromGSpread, bondBasisFromGSpreadToOptimalExercise, bondBasisFromISpread, bondBasisFromISpread, bondBasisFromISpreadToOptimalExercise, bondBasisFromOAS, bondBasisFromOAS, bondBasisFromOASToOptimalExercise, bondBasisFromPECS, bondBasisFromPECS, bondBasisFromPECSToOptimalExercise, bondBasisFromPrice, bondBasisFromPrice, bondBasisFromPriceToOptimalExercise, bondBasisFromTSYSpread, bondBasisFromTSYSpread, bondBasisFromTSYSpreadToOptimalExercise, bondBasisFromYield, bondBasisFromYield, bondBasisFromYieldSpread, bondBasisFromYieldSpread, bondBasisFromYieldSpreadToOptimalExercise, bondBasisFromYieldToOptimalExercise, bondBasisFromZSpread, bondBasisFromZSpread, bondBasisFromZSpreadToOptimalExercise, calculationType, calibMeasures, callable, callSchedule, cashSettleParams, convexityFromASW, convexityFromASW, convexityFromASWToOptimalExercise, convexityFromBondBasis, convexityFromBondBasis, convexityFromBondBasisToOptimalExercise, convexityFromCreditBasis, convexityFromCreditBasis, convexityFromCreditBasisToOptimalExercise, convexityFromDiscountMargin, convexityFromDiscountMargin, convexityFromDiscountMarginToOptimalExercise, convexityFromGSpread, convexityFromGSpread, convexityFromGSpreadToOptimalExercise, convexityFromISpread, convexityFromISpread, convexityFromISpreadToOptimalExercise, convexityFromOAS, convexityFromOAS, convexityFromOASToOptimalExercise, convexityFromPECS, convexityFromPECS, convexityFromPECSToOptimalExercise, convexityFromPrice, convexityFromPrice, convexityFromPriceToOptimalExercise, convexityFromTSYSpread, convexityFromTSYSpread, convexityFromTSYSpreadToOptimalExercise, convexityFromYield, convexityFromYield, convexityFromYieldSpread, convexityFromYieldSpread, convexityFromYieldSpreadToOptimalExercise, convexityFromYieldToOptimalExercise, convexityFromZSpread, convexityFromZSpread, convexityFromZSpreadToOptimalExercise, couponCurrency, couponDC, couponMetrics, couponPeriods, couponSetting, couponType, creditBasisFromASW, creditBasisFromASW, creditBasisFromASWToOptimalExercise, creditBasisFromBondBasis, creditBasisFromBondBasis, creditBasisFromBondBasisToOptimalExercise, creditBasisFromDiscountMargin, creditBasisFromDiscountMargin, creditBasisFromDiscountMarginToOptimalExercise, creditBasisFromGSpread, creditBasisFromGSpread, creditBasisFromGSpreadToOptimalExercise, creditBasisFromISpread, creditBasisFromISpread, creditBasisFromISpreadToOptimalExercise, creditBasisFromOAS, creditBasisFromOAS, creditBasisFromOASToOptimalExercise, creditBasisFromPECS, creditBasisFromPECS, creditBasisFromPECSToOptimalExercise, creditBasisFromPrice, creditBasisFromPrice, creditBasisFromPriceToOptimalExercise, creditBasisFromTSYSpread, creditBasisFromTSYSpread, creditBasisFromTSYSpreadToOptimalExercise, creditBasisFromYield, creditBasisFromYield, creditBasisFromYieldSpread, creditBasisFromYieldSpread, creditBasisFromYieldSpreadToOptimalExercise, creditBasisFromYieldToOptimalExercise, creditBasisFromZSpread, creditBasisFromZSpread, creditBasisFromZSpreadToOptimalExercise, creditLabel, creditSetting, creditValuationParams, currency, currentCoupon, currentCouponDate, currentCouponRate, cusip, defaulted, discountMarginFromASW, discountMarginFromASW, discountMarginFromASWToOptimalExercise, discountMarginFromBondBasis, discountMarginFromBondBasis, discountMarginFromBondBasisToOptimalExercise, discountMarginFromCreditBasis, discountMarginFromCreditBasis, discountMarginFromCreditBasisToOptimalExercise, discountMarginFromGSpread, discountMarginFromGSpread, discountMarginFromGSpreadToOptimalExercise, discountMarginFromISpread, discountMarginFromISpread, discountMarginFromISpreadToOptimalExercise, discountMarginFromOAS, discountMarginFromOAS, discountMarginFromOASToOptimalExercise, discountMarginFromPECS, discountMarginFromPECS, discountMarginFromPECSToOptimalExercise, discountMarginFromPrice, discountMarginFromPrice, discountMarginFromPriceToOptimalExercise, discountMarginFromTSYSpread, discountMarginFromTSYSpread, discountMarginFromTSYSpreadToOptimalExercise, discountMarginFromYield, discountMarginFromYield, discountMarginFromYieldSpread, discountMarginFromYieldSpread, discountMarginFromYieldSpreadToOptimalExercise, discountMarginFromYieldToOptimalExercise, discountMarginFromZSpread, discountMarginFromZSpread, discountMarginFromZSpreadToOptimalExercise, durationFromASW, durationFromASW, durationFromASWToOptimalExercise, durationFromBondBasis, durationFromBondBasis, durationFromBondBasisToOptimalExercise, durationFromCreditBasis, durationFromCreditBasis, durationFromCreditBasisToOptimalExercise, durationFromDiscountMargin, durationFromDiscountMargin, durationFromDiscountMarginToOptimalExercise, durationFromGSpread, durationFromGSpread, durationFromGSpreadToOptimalExercise, durationFromISpread, durationFromISpread, durationFromISpreadToOptimalExercise, durationFromOAS, durationFromOAS, durationFromOASToOptimalExercise, durationFromPECS, durationFromPECS, durationFromPECSToOptimalExercise, durationFromPrice, durationFromPrice, durationFromPriceToOptimalExercise, durationFromTSYSpread, durationFromTSYSpread, durationFromTSYSpreadToOptimalExercise, durationFromYield, durationFromYield, durationFromYieldSpread, durationFromYieldSpread, durationFromYieldSpreadToOptimalExercise, durationFromYieldToOptimalExercise, durationFromZSpread, durationFromZSpread, durationFromZSpreadToOptimalExercise, effectiveDate, effectiveTreasuryBenchmarkYield, exercised, exerciseYieldFromPrice, finalMaturity, firstCouponDate, floatCouponConvention, floaterSetting, floatSpread, forwardLabel, forwardPRWC, freq, fundingForwardPRWC, fundingLabel, fundingPRWC, fxLabel, fxPRWC, govvieLabel, gSpreadFromASW, gSpreadFromASW, gSpreadFromASWToOptimalExercise, gSpreadFromBondBasis, gSpreadFromBondBasis, gSpreadFromBondBasisToOptimalExercise, gSpreadFromCreditBasis, gSpreadFromCreditBasis, gSpreadFromCreditBasisToOptimalExercise, gSpreadFromDiscountMargin, gSpreadFromDiscountMargin, gSpreadFromISpread, gSpreadFromISpread, gSpreadFromISpreadToOptimalExercise, gSpreadFromOAS, gSpreadFromOAS, gSpreadFromOASToOptimalExercise, gSpreadFromPECS, gSpreadFromPECS, gSpreadFromPECSToOptimalExercise, gSpreadFromPrice, gSpreadFromPrice, gSpreadFromPriceToOptimalExercise, gSpreadFromTSYSpread, gSpreadFromTSYSpread, gSpreadFromTSYSpreadToOptimalExercise, gSpreadFromYield, gSpreadFromYield, gSpreadFromYieldSpread, gSpreadFromYieldSpread, gSpreadFromYieldSpreadToOptimalExercise, gSpreadFromYieldToOptimalExercise, gSpreadFromZSpread, gSpreadFromZSpread, gSpreadFromZSpreadToOptimalExercise, gSSpreadFromDiscountMarginToOptimalExercise, identifierSet, inFirstCouponPeriod, initialNotional, inLastCouponPeriod, isFloater, isin, iSpreadFromASW, iSpreadFromASW, iSpreadFromASWToOptimalExercise, iSpreadFromBondBasis, iSpreadFromBondBasis, iSpreadFromBondBasisToOptimalExercise, iSpreadFromCreditBasis, iSpreadFromCreditBasis, iSpreadFromCreditBasisToOptimalExercise, iSpreadFromDiscountMargin, iSpreadFromDiscountMargin, iSpreadFromDiscountMarginToOptimalExercise, iSpreadFromGSpread, iSpreadFromGSpread, iSpreadFromGSpreadToOptimalExercise, iSpreadFromOAS, iSpreadFromOAS, iSpreadFromOASToOptimalExercise, iSpreadFromPECS, iSpreadFromPECS, iSpreadFromPECSToOptimalExercise, iSpreadFromPrice, iSpreadFromPrice, iSpreadFromPriceToOptimalExercise, iSpreadFromTSYSpread, iSpreadFromTSYSpread, iSpreadFromTSYSpreadToOptimalExercise, iSpreadFromYield, iSpreadFromYield, iSpreadFromYieldSpread, iSpreadFromYieldSpread, iSpreadFromYieldSpreadToOptimalExercise, iSpreadFromYieldToOptimalExercise, iSpreadFromZSpread, iSpreadFromZSpread, iSpreadFromZSpreadToOptimalExercise, jackDDirtyPVDManifestMeasure, lossFlow, lossFlowFromPrice, macaulayDurationFromASW, macaulayDurationFromASW, macaulayDurationFromASWToOptimalExercise, macaulayDurationFromBondBasis, macaulayDurationFromBondBasis, macaulayDurationFromBondBasisToOptimalExercise, macaulayDurationFromCreditBasis, macaulayDurationFromCreditBasis, macaulayDurationFromCreditBasisToOptimalExercise, macaulayDurationFromDiscountMargin, macaulayDurationFromDiscountMargin, macaulayDurationFromDiscountMarginToOptimalExercise, macaulayDurationFromGSpread, macaulayDurationFromGSpread, macaulayDurationFromGSpreadToOptimalExercise, macaulayDurationFromISpread, macaulayDurationFromISpread, macaulayDurationFromISpreadToOptimalExercise, macaulayDurationFromOAS, macaulayDurationFromOAS, macaulayDurationFromPECS, macaulayDurationFromPECS, macaulayDurationFromPECSToOptimalExercise, macaulayDurationFromPrice, macaulayDurationFromPrice, macaulayDurationFromPriceToOptimalExercise, macaulayDurationFromTSYSpread, macaulayDurationFromTSYSpread, macaulayDurationFromTSYSpreadToOptimalExercise, macaulayDurationFromYield, macaulayDurationFromYield, macaulayDurationFromYieldSpread, macaulayDurationFromYieldSpread, macaulayDurationFromYieldSpreadToOptimalExercise, macaulayDurationFromYieldToOptimalExercise, macaulayDurationFromZSpread, macaulayDurationFromZSpread, macaulayDurationFromZSpreadToOptimalExercise, manifestMeasureDFMicroJack, marketConvention, maturityDate, maturityType, measureNames, mnacaulayDurationFromOASToOptimalExercise, modifiedDurationFromASW, modifiedDurationFromASW, modifiedDurationFromASWToOptimalExercise, modifiedDurationFromBondBasis, modifiedDurationFromBondBasis, modifiedDurationFromBondBasisToOptimalExercise, modifiedDurationFromCreditBasis, modifiedDurationFromCreditBasis, modifiedDurationFromCreditBasisToOptimalExercise, modifiedDurationFromDiscountMargin, modifiedDurationFromDiscountMargin, modifiedDurationFromDiscountMarginToOptimalExercise, modifiedDurationFromGSpread, modifiedDurationFromGSpread, modifiedDurationFromGSpreadToOptimalExercise, modifiedDurationFromISpread, modifiedDurationFromISpread, modifiedDurationFromISpreadToOptimalExercise, modifiedDurationFromOAS, modifiedDurationFromOAS, modifiedDurationFromOASToOptimalExercise, modifiedDurationFromPECS, modifiedDurationFromPECS, modifiedDurationFromPECSToOptimalExercise, modifiedDurationFromPrice, modifiedDurationFromPrice, modifiedDurationFromPriceToOptimalExercise, modifiedDurationFromTSYSpread, modifiedDurationFromTSYSpread, modifiedDurationFromTSYSpreadToOptimalExercise, modifiedDurationFromYield, modifiedDurationFromYield, modifiedDurationFromYieldSpread, modifiedDurationFromYieldSpread, modifiedDurationFromYieldSpreadToOptimalExercise, modifiedDurationFromYieldToOptimalExercise, modifiedDurationFromZSpread, modifiedDurationFromZSpread, modifiedDurationFromZSpreadToOptimalExercise, name, nextCouponDate, nextCouponRate, nextValidExerciseDateOfType, nextValidExerciseInfo, notional, notional, notionalSetting, oasFromASW, oasFromASW, oasFromASWToOptimalExercise, oasFromBondBasis, oasFromBondBasis, oasFromBondBasisToOptimalExercise, oasFromCreditBasis, oasFromCreditBasis, oasFromCreditBasisToOptimalExercise, oasFromDiscountMargin, oasFromDiscountMargin, oasFromDiscountMarginToOptimalExercise, oasFromGSpread, oasFromGSpread, oasFromGSpreadToOptimalExercise, oasFromISpread, oasFromISpread, oasFromISpreadToOptimalExercise, oasFromPECS, oasFromPECS, oasFromPECSToOptimalExercise, oasFromPrice, oasFromPrice, oasFromPriceToOptimalExercise, oasFromTSYSpread, oasFromTSYSpread, oasFromTSYSpreadToOptimalExercise, oasFromYield, oasFromYield, oasFromYieldSpread, oasFromYieldSpread, oasFromYieldSpreadToOptimalExercise, oasFromYieldToOptimalExercise, oasFromZSpread, oasFromZSpread, oasFromZSpreadToOptimalExercise, payCurrency, pecsFromASW, pecsFromASW, pecsFromASWToOptimalExercise, pecsFromBondBasis, pecsFromBondBasis, pecsFromBondBasisToOptimalExercise, pecsFromCreditBasis, pecsFromCreditBasis, pecsFromCreditBasisToOptimalExercise, pecsFromDiscountMargin, pecsFromDiscountMargin, pecsFromDiscountMarginToOptimalExercise, pecsFromGSpread, pecsFromGSpread, pecsFromGSpreadToOptimalExercise, pecsFromISpread, pecsFromISpread, pecsFromISpreadToOptimalExercise, pecsFromOAS, pecsFromOAS, pecsFromOASToOptimalExercise, pecsFromPrice, pecsFromPrice, pecsFromPriceToOptimalExercise, pecsFromTSYSpread, pecsFromTSYSpread, pecsFromTSYSpreadToOptimalExercise, pecsFromYield, pecsFromYield, pecsFromYieldSpread, pecsFromYieldSpread, pecsFromYieldSpreadToOptimalExercise, pecsFromYieldToOptimalExercise, pecsFromZSpread, pecsFromZSpread, pecsFromZSpreadToOptimalExercise, periodFixingDate, perpetual, previousCouponDate, previousCouponRate, priceFromASW, priceFromASW, priceFromASWToOptimalExercise, priceFromBondBasis, priceFromBondBasis, priceFromBondBasisToOptimalExercise, priceFromCreditBasis, priceFromCreditBasis, priceFromCreditBasisToOptimalExercise, priceFromCreditCurve, priceFromDiscountMargin, priceFromDiscountMargin, priceFromDiscountMarginToOptimalExercise, priceFromFundingCurve, priceFromGSpread, priceFromGSpread, priceFromGSpreadToOptimalExercise, priceFromISpread, priceFromISpread, priceFromISpreadToOptimalExercise, priceFromOAS, priceFromOAS, priceFromOASToOptimalExercise, priceFromPECS, priceFromPECS, priceFromPECSToOptimalExercise, priceFromTreasuryCurve, priceFromTSYSpread, priceFromTSYSpread, priceFromTSYSpreadToOptimalExercise, priceFromYield, priceFromYield, priceFromYieldSpread, priceFromYieldSpread, priceFromYieldSpreadToOptimalExercise, priceFromYieldToOptimalExercise, priceFromZeroCurve, priceFromZSpread, priceFromZSpread, priceFromZSpreadToOptimalExercise, primaryCode, principalCurrency, putable, putSchedule, pv, rateIndex, recovery, recovery, redemptionCurrency, redemptionValue, secondaryCode, secTreasurySpread, setCouponSetting, setCreditSetting, setEmbeddedCallSchedule, setEmbeddedPutSchedule, setFloaterSetting, setIdentifierSet, setMarketConvention, setNotionalSetting, setPrimaryCode, setStream, setTerminationSetting, setTreasuryBenchmark, showPeriods, sinkable, standardMeasures, stream, terminationSetting, ticker, tradeable, treasuryBenchmark, tsySpreadFromASW, tsySpreadFromASW, tsySpreadFromASWToOptimalExercise, tsySpreadFromBondBasis, tsySpreadFromBondBasis, tsySpreadFromBondBasisToOptimalExercise, tsySpreadFromCreditBasis, tsySpreadFromCreditBasis, tsySpreadFromCreditBasisToOptimalExercise, tsySpreadFromDiscountMargin, tsySpreadFromDiscountMargin, tsySpreadFromDiscountMarginToOptimalExercise, tsySpreadFromGSpread, tsySpreadFromGSpread, tsySpreadFromGSpreadToOptimalExercise, tsySpreadFromISpread, tsySpreadFromISpread, tsySpreadFromISpreadToOptimalExercise, tsySpreadFromOAS, tsySpreadFromOAS, tsySpreadFromOASToOptimalExercise, tsySpreadFromPECS, tsySpreadFromPECS, tsySpreadFromPECSToOptimalExercise, tsySpreadFromPrice, tsySpreadFromPrice, tsySpreadFromPriceToOptimalExercise, tsySpreadFromYield, tsySpreadFromYield, tsySpreadFromYieldSpread, tsySpreadFromYieldSpread, tsySpreadFromYieldSpreadToOptimalExercise, tsySpreadFromYieldToOptimalExercise, tsySpreadFromZSpread, tsySpreadFromZSpread, tsySpreadFromZSpreadToOptimalExercise, value, variableCoupon, volatilityLabel, volatilityPRWC, yield01FromASW, yield01FromASW, yield01FromASWToOptimalExercise, yield01FromBondBasis, yield01FromBondBasis, yield01FromBondBasisToOptimalExercise, yield01FromCreditBasis, yield01FromCreditBasis, yield01FromCreditBasisToOptimalExercise, yield01FromDiscountMargin, yield01FromDiscountMargin, yield01FromDiscountMarginToOptimalExercise, yield01FromGSpread, yield01FromGSpread, yield01FromGSpreadToOptimalExercise, yield01FromISpread, yield01FromISpread, yield01FromISpreadToOptimalExercise, yield01FromOAS, yield01FromOAS, yield01FromOASToOptimalExercise, yield01FromPECS, yield01FromPECS, yield01FromPECSToOptimalExercise, yield01FromPrice, yield01FromPrice, yield01FromPriceToOptimalExercise, yield01FromTSYSpread, yield01FromTSYSpread, yield01FromTSYSpreadToOptimalExercise, yield01FromYield, yield01FromYield, yield01FromYieldSpread, yield01FromYieldSpread, yield01FromYieldSpreadToOptimalExercise, yield01FromYieldToOptimalExercise, yield01FromZSpread, yield01FromZSpread, yield01FromZSpreadToOptimalExercise, yieldFromASW, yieldFromASW, yieldFromASWToOptimalExercise, yieldFromBondBasis, yieldFromBondBasis, yieldFromBondBasisToOptimalExercise, yieldFromCreditBasis, yieldFromCreditBasis, yieldFromCreditBasisToOptimalExercise, yieldFromDiscountMargin, yieldFromDiscountMargin, yieldFromDiscountMarginToOptimalExercise, yieldFromGSpread, yieldFromGSpread, yieldFromGSpreadToOptimalExercise, yieldFromISpread, yieldFromISpread, yieldFromISpreadToOptimalExercise, yieldFromOAS, yieldFromOAS, yieldFromOASToOptimalExercise, yieldFromPECS, yieldFromPECS, yieldFromPECSToOptimalExercise, yieldFromPrice, yieldFromPrice, yieldFromPriceToOptimalExercise, yieldFromTSYSpread, yieldFromTSYSpread, yieldFromTSYSpreadToOptimalExercise, yieldFromYieldSpread, yieldFromYieldSpread, yieldFromYieldSpreadToOptimalExercise, yieldFromZSpread, yieldFromZSpread, yieldFromZSpreadToOptimalExercise, yieldSpreadFromASW, yieldSpreadFromASW, yieldSpreadFromASWToOptimalExercise, yieldSpreadFromBondBasis, yieldSpreadFromBondBasis, yieldSpreadFromBondBasisToOptimalExercise, yieldSpreadFromCreditBasis, yieldSpreadFromCreditBasis, yieldSpreadFromCreditBasisToOptimalExercise, yieldSpreadFromDiscountMargin, yieldSpreadFromDiscountMargin, yieldSpreadFromDiscountMarginToOptimalExercise, yieldSpreadFromGSpread, yieldSpreadFromGSpread, yieldSpreadFromGSpreadToOptimalExercise, yieldSpreadFromISpread, yieldSpreadFromISpread, yieldSpreadFromISpreadToOptimalExercise, yieldSpreadFromOAS, yieldSpreadFromOAS, yieldSpreadFromOASToOptimalExercise, yieldSpreadFromPECS, yieldSpreadFromPECS, yieldSpreadFromPECSToOptimalExercise, yieldSpreadFromPrice, yieldSpreadFromPrice, yieldSpreadFromPriceToOptimalExercise, yieldSpreadFromTSYSpread, yieldSpreadFromTSYSpread, yieldSpreadFromTSYSpreadToOptimalExercise, yieldSpreadFromYield, yieldSpreadFromYield, yieldSpreadFromYieldToOptimalExercise, yieldSpreadFromZSpread, yieldSpreadFromZSpread, yieldSpreadFromZSpreadToOptimalExercise, zspreadFromASW, zspreadFromASW, zspreadFromASWToOptimalExercise, zspreadFromBondBasis, zspreadFromBondBasis, zspreadFromBondBasisToOptimalExercise, zspreadFromCreditBasis, zspreadFromCreditBasis, zspreadFromCreditBasisToOptimalExercise, zspreadFromDiscountMargin, zspreadFromDiscountMargin, zspreadFromDiscountMarginToOptimalExercise, zspreadFromGSpread, zspreadFromGSpread, zspreadFromGSpreadToOptimalExercise, zspreadFromISpread, zspreadFromISpread, zspreadFromISpreadToOptimalExercise, zspreadFromOAS, zspreadFromOAS, zspreadFromOASToOptimalExercise, zspreadFromPECS, zspreadFromPECS, zspreadFromPECSToOptimalExercise, zspreadFromPrice, zspreadFromPrice, zspreadFromPriceToOptimalExercise, zspreadFromTSYSpread, zspreadFromTSYSpread, zspreadFromTSYSpreadToOptimalExercise, zspreadFromYield, zspreadFromYield, zspreadFromYieldSpread, zspreadFromYieldSpread, zspreadFromYieldSpreadToOptimalExercise, zspreadFromYieldToOptimalExerciselossFlowcalibPRWCcustomScenarioMeasures, measures, measureValue, tenorpublic TreasuryComponent(java.lang.String strTreasuryCode)
throws java.lang.Exception
strTreasuryCode - Treasury Codejava.lang.Exception - Thrown if the Inputs are Invalidpublic java.lang.String code()
public ProductQuoteSet calibQuoteSet(LatentStateSpecification[] aLSS)
CalibratableComponentcalibQuoteSet in class BondComponentaLSS - Array of Latent State Specificationpublic PredictorResponseWeightConstraint govviePRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs)
CalibratableComponentgovviePRWC in class BondComponentvalParams - Valuation ParameterspricerParams - Pricer Parameterscsqs - Component Market Parametersvcp - Valuation Customization Parameterspqs - Product Quote Set