| Package | Description |
|---|---|
| org.drip.param.market | |
| org.drip.state.curve | |
| org.drip.state.identifier |
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
CurveSurfaceQuoteContainer.collateralCustomCorrelation(java.lang.String strCollateralCurrency,
CustomLabel customLabel)
Retrieve the Correlation Surface between the Collateral and the Custom Metric Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.creditCustomMetricCorrelation(CreditLabel creditLabel,
CustomLabel customLabel)
Retrieve the Correlation Surface between the Credit and the Custom Metric Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customCustomCorrelation(CustomLabel customLabel1,
CustomLabel customLabel2)
Retrieve the Correlation Surface between the Custom Metric Latent State Pair
|
R1ToR1 |
CurveSurfaceQuoteContainer.customEquityCorrelation(CustomLabel customLabel,
EquityLabel equityLabel)
Retrieve the Correlation Surface between the Custom Metric and the Equity Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customForwardCorrelation(CustomLabel customLabel,
ForwardLabel forwardLabel)
Retrieve the Correlation Surface between the Custom Metric and the Forward Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customFXCorrelation(CustomLabel customLabel,
FXLabel fxLabel)
Retrieve the Correlation Surface between the Custom Metric and the FX Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customGovvieCorrelation(CustomLabel customLabel,
GovvieLabel govvieLabel)
Retrieve the Correlation Surface between the Custom Metric and the Govvie Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customMetricFundingCorrelation(CustomLabel customLabel,
FundingLabel fundingLabel)
Retrieve the Correlation Surface between Custom Metric and the Funding Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customOvernightCorrelation(CustomLabel customLabel,
OvernightLabel overnightLabel)
Retrieve the Correlation Surface between the Custom Metric and the Overnight Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customPaydownCorrelation(CustomLabel customLabel,
PaydownLabel paydownLabel)
Retrieve the Correlation Surface between the Custom Metric and the Pay-down Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customRatingCorrelation(CustomLabel customLabel,
RatingLabel ratingLabel)
Retrieve the Correlation Surface between the Custom Metric and the Rating Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customRecoveryCorrelation(CustomLabel customLabel,
RecoveryLabel recoveryLabel)
Retrieve the Correlation Surface between the Custom Metric and the Recovery Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customRepoCorrelation(CustomLabel customLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface between the Custom Metric and the Repo Latent States
|
VolatilityCurve |
CurveSurfaceQuoteContainer.customVolatility(CustomLabel customLabel)
Retrieve the Volatility Curve for the Custom Metric Latent State
|
boolean |
CurveSurfaceQuoteContainer.setCollateralCustomCorrelation(java.lang.String strCollateralCurrency,
CustomLabel customLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Collateral and the Custom Metric Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCreditCustomCorrelation(CreditLabel creditLabel,
CustomLabel customLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Credit and the Custom Metric Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomCustomCorrelation(CustomLabel customLabel1,
CustomLabel customLabel2,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric Latent State Pair
|
boolean |
CurveSurfaceQuoteContainer.setCustomEquityCorrelation(CustomLabel customLabel,
EquityLabel equityLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the Equity Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomForwardCorrelation(CustomLabel customLabel,
ForwardLabel forwardLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the Forward Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomFundingCorrelation(CustomLabel customLabel,
FundingLabel fundingLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the Funding Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomFXCorrelation(CustomLabel customLabel,
FXLabel fxLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the FX Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomGovvieCorrelation(CustomLabel customLabel,
GovvieLabel govvieLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the Govvie Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomOvernightCorrelation(CustomLabel customLabel,
OvernightLabel overnightLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the Overnight Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomPaydownCorrelation(CustomLabel customLabel,
PaydownLabel paydownLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the Pay-down Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomRatingCorrelation(CustomLabel customLabel,
RatingLabel ratingLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the Rating Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomRecoveryCorrelation(CustomLabel customLabel,
RecoveryLabel recoveryLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the Recovery Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCustomRepoCorrelation(CustomLabel customLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Custom Metric and the Repo Latent States
|
| Constructor and Description |
|---|
BasisSplineDeterministicVolatility(int iEpochDate,
CustomLabel label,
java.lang.String strCurrency,
Span spanImpliedVolatility)
BasisSplineDeterministicVolatility Constructor
|
BasisSplineMarketSurface(int iEpochDate,
CustomLabel label,
java.lang.String strCurrency,
WireSurfaceStretch wss)
BasisSplineMarketSurface Constructor
|
BasisSplineTermStructure(int iEpochDate,
CustomLabel label,
java.lang.String strCurrency,
Span span)
BasisSplineTermStructure Constructor
|
| Modifier and Type | Method and Description |
|---|---|
static CustomLabel |
CustomLabel.Standard(java.lang.String strCustomMetricLabel)
Make a Standard Custom Metric Label Instance
|