| Class | Description |
|---|---|
| CDXCOB |
CDXCOB contains the Name and the COB Price for a given CDX.
|
| DateDiscountCurvePair |
DateDiscountCurvePair contains the COB/Discount Curve Pair, and the corresponding computed outputs.
|
| DiscountCurveInputInstrument |
DiscountCuveInputInstrument contains the input instruments and their quotes.
|
| FixFloatFundingInstrument |
FixFloatFundingInstrument contains the Fix Float Instrument Inputs for the Funding Curve Construction
Purposes.
|
| ForwardRates |
ForwardRates contains the array of the forward rates.
|
| InstrMetric |
InstrMetric contains the fields that hold the result of the PnL metric calculations.
|
| ProductDailyPnL |
ProductDailyPnL contains the following daily measures computed:
- 1D Carry, Roll Down, Curve Shift, and Full Return PnL
- 3D Carry and Roll Down PnL
- 3M Carry and Roll Down PnL
- Current DV01
|