| Package | Description |
|---|---|
| org.drip.param.market | |
| org.drip.state.identifier |
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
CurveSurfaceQuoteContainer.collateralOvernightCorrelation(java.lang.String strCollateralCurrency,
OvernightLabel overnightLabel)
Retrieve the Correlation Surface between the Collateral and the Overnight Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.creditOvernightCorrelation(CreditLabel creditLabel,
OvernightLabel overnightLabel)
Retrieve the Correlation Surface between the Credit and the Overnight Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.customOvernightCorrelation(CustomLabel customLabel,
OvernightLabel overnightLabel)
Retrieve the Correlation Surface between the Custom Metric and the Overnight Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.equityOvernightCorrelation(EquityLabel equityLabel,
OvernightLabel overnightLabel)
Retrieve the Correlation Surface between Equity and the Overnight Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.forwardOvernightCorrelation(ForwardLabel forwardLabel,
OvernightLabel overnightLabel)
Retrieve the Correlation Surface between the Forward and the Overnight Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.fundingOvernightCorrelation(FundingLabel fundingLabel,
OvernightLabel overnightLabel)
Retrieve the Correlation Surface between the Funding and the Overnight Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.fxOvernightCorrelation(FXLabel fxLabel,
OvernightLabel overnightLabel)
Retrieve the Correlation Surface for the specified FX and the Overnight Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.govvieOvernightCorrelation(GovvieLabel govvieLabel,
OvernightLabel overnightLabel)
Retrieve the Correlation Surface for the specified Govvie and the Overnight Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.overnightOvernightCorrelation(OvernightLabel overnightLabel1,
OvernightLabel overnightLabel2)
Retrieve the Correlation Surface between the Pair of Overnight Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.overnightPaydownCorrelation(OvernightLabel overnightLabel,
PaydownLabel paydownLabel)
Retrieve the Correlation Surface for the specified Overnight and the Pay-down Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.overnightRatingCorrelation(OvernightLabel overnightLabel,
RatingLabel ratingLabel)
Retrieve the Correlation Surface for the specified Overnight and the Rating Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.overnightRecoveryCorrelation(OvernightLabel overnightLabel,
RecoveryLabel recoveryLabel)
Retrieve the Correlation Surface for the specified Overnight and the Recovery Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.overnightRepoCorrelation(OvernightLabel overnightLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface for the specified Overnight and the Repo Latent States
|
MergedDiscountForwardCurve |
CurveSurfaceQuoteContainer.overnightState(OvernightLabel overnightLabel)
Retrieve the Overnight Latent State Corresponding to the Label
|
VolatilityCurve |
CurveSurfaceQuoteContainer.overnightVolatility(OvernightLabel overnightLabel)
Retrieve the Volatility Curve for the Overnight Latent State Label
|
boolean |
CurveSurfaceQuoteContainer.setCollateralOvernightCorrelation(java.lang.String strCollateralCurrency,
OvernightLabel overnightLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Collateral and the Overnight Latent States
|
boolean |
CurveSurfaceQuoteContainer.setCreditOvernightCorrelation(CreditLabel creditLabel,
OvernightLabel overnightLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Credit and the Overnight 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.setEquityOvernightCorrelation(EquityLabel equityLabel,
OvernightLabel overnightLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Equity and the Overnight Latent States
|
boolean |
CurveSurfaceQuoteContainer.setForwardOvernightCorrelation(ForwardLabel forwardLabel,
OvernightLabel overnightLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Forward and the Overnight Latent States
|
boolean |
CurveSurfaceQuoteContainer.setFundingOvernightCorrelation(FundingLabel fundingLabel,
OvernightLabel overnightLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Funding and the Overnight Latent States
|
boolean |
CurveSurfaceQuoteContainer.setFXOvernightCorrelation(FXLabel fxLabel,
OvernightLabel overnightLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified FX and the Overnight Latent States
|
boolean |
CurveSurfaceQuoteContainer.setGovvieOvernightCorrelation(GovvieLabel govvieLabel,
OvernightLabel overnightLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Govvie and the Overnight Latent States
|
boolean |
CurveSurfaceQuoteContainer.setOvernightOvernightCorrelation(OvernightLabel overnightLabel1,
OvernightLabel overnightLabel2,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Pair of Overnight Latent States
|
boolean |
CurveSurfaceQuoteContainer.setOvernightPaydownCorrelation(OvernightLabel overnightLabel,
PaydownLabel paydownLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Overnight and the Pay-down Latent States
|
boolean |
CurveSurfaceQuoteContainer.setOvernightRatingCorrelation(OvernightLabel overnightLabel,
RatingLabel ratingLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Overnight and the Rating Latent States
|
boolean |
CurveSurfaceQuoteContainer.setOvernightRecoveryCorrelation(OvernightLabel overnightLabel,
RecoveryLabel recoveryLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Overnight and the Recovery Latent States
|
boolean |
CurveSurfaceQuoteContainer.setOvernightRepoCorrelation(OvernightLabel overnightLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Overnight and the Repo Latent States
|
| Modifier and Type | Method and Description |
|---|---|
static OvernightLabel |
OvernightLabel.Create(OvernightIndex overnightIndex)
Construct an OvernightLabel from the Index
|
static OvernightLabel |
OvernightLabel.Create(java.lang.String strCurrency)
Construct an OvernightLabel from the Jurisdiction
|