| Package | Description |
|---|---|
| org.drip.param.market | |
| org.drip.state.identifier |
| Modifier and Type | Method and Description |
|---|---|
R1ToR1 |
CurveSurfaceQuoteContainer.collateralRepoCorrelation(java.lang.String strCollateralCurrency,
RepoLabel repoLabel)
Retrieve the Correlation Surface for the specified Collateral and Repo Latent State Labels
|
R1ToR1 |
CurveSurfaceQuoteContainer.creditRepoCorrelation(CreditLabel creditLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface between the Credit and the Repo Latent State Labels
|
R1ToR1 |
CurveSurfaceQuoteContainer.customRepoCorrelation(CustomLabel customLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface between the Custom Metric and the Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.equityRepoCorrelation(EquityLabel equityLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface between the Equity and the Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.forwardRepoCorrelation(ForwardLabel forwardLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface between the Forward and the Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.fundingRepoCorrelation(FundingLabel fundingLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface between the Funding and the Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.fxRepoCorrelation(FXLabel fxLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface for the specified FX and the Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.govvieRepoCorrelation(GovvieLabel govvieLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface for the specified Govvie and the Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.overnightRepoCorrelation(OvernightLabel overnightLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface for the specified Overnight and the Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.paydownRepoCorrelation(PaydownLabel paydownLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface for the specified Pay-down and the Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.ratingRepoCorrelation(RatingLabel ratingLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface for the specified Rating and Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.recoveryRepoCorrelation(RecoveryLabel recoveryLabel,
RepoLabel repoLabel)
Retrieve the Correlation Surface for the specified Recovery and the Repo Latent States
|
R1ToR1 |
CurveSurfaceQuoteContainer.repoRepoCorrelation(RepoLabel repoLabel1,
RepoLabel repoLabel2)
Retrieve the Correlation Surface between the Pair of Repo Latent States
|
RepoCurve |
CurveSurfaceQuoteContainer.repoState(RepoLabel repoLabel)
Retrieve the Repo Latent State Corresponding to the Label
|
VolatilityCurve |
CurveSurfaceQuoteContainer.repoVolatility(RepoLabel repoLabel)
Retrieve the Volatility Curve for the Repo Latent State Label
|
boolean |
CurveSurfaceQuoteContainer.setCollateralRepoCorrelation(java.lang.String strCollateralCurrency,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Collateral and Repo Latent State Labels
|
boolean |
CurveSurfaceQuoteContainer.setCreditRepoCorrelation(CreditLabel creditLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Credit and the Repo 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
|
boolean |
CurveSurfaceQuoteContainer.setEquityRepoCorrelation(EquityLabel equityLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Equity and the Repo Latent States
|
boolean |
CurveSurfaceQuoteContainer.setForwardRepoCorrelation(ForwardLabel forwardLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Forward and the Repo Latent States
|
boolean |
CurveSurfaceQuoteContainer.setFundingRepoCorrelation(FundingLabel fundingLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Funding and the Repo Latent States
|
boolean |
CurveSurfaceQuoteContainer.setFXRepoCorrelation(FXLabel fxLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified FX and the Repo Latent States
|
boolean |
CurveSurfaceQuoteContainer.setGovvieRepoCorrelation(GovvieLabel govvieLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Govvie and the Repo 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
|
boolean |
CurveSurfaceQuoteContainer.setPaydownRepoCorrelation(PaydownLabel paydownLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Pay-down and the Repo Latent States
|
boolean |
CurveSurfaceQuoteContainer.setRatingRepoCorrelation(RatingLabel ratingLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Rating and Repo Latent States
|
boolean |
CurveSurfaceQuoteContainer.setRecoveryRepoCorrelation(RecoveryLabel recoveryLabel,
RepoLabel repoLabel,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface for the specified Recovery and the Repo Latent States
|
boolean |
CurveSurfaceQuoteContainer.setRepoRepoCorrelation(RepoLabel repoLabel1,
RepoLabel repoLabel2,
R1ToR1 auCorrelation)
(Re)-set the Correlation Surface between the Pair of Repo Latent States
|
| Modifier and Type | Method and Description |
|---|---|
static RepoLabel |
RepoLabel.Standard(java.lang.String strCode)
Make a Standard Repo Label from the Product Code
|