Package org.drip.analytics.input

Interface CurveConstructionInputSet

All Known Implementing Classes:
BootCurveConstructionInput, LatentStateShapePreservingCCIS
public interface CurveConstructionInputSet
CurveConstructionInputSet interface contains the Parameters needed for the Curve Calibration/Estimation. It's methods expose access to the following:

  • Calibration Valuation Parameters
  • Calibration Quoting Parameters
  • Array of Calibration Instruments
  • Map of Calibration Quotes
  • Map of Calibration Measures
  • Double Map of the Date/Index Fixings


Author:
Lakshmi Krishnamurthy

  • Method Details

    • valuationParameter

      ValuationParams valuationParameter()
      Retrieve the Valuation Parameter
      Returns:
      The Valuation Parameter

    • marketParameters

      CurveSurfaceQuoteContainer marketParameters()
      Retrieve the Market Parameters
      Returns:
      The Market Parameters

    • pricerParameter

      CreditPricerParams pricerParameter()
      Retrieve the Pricer Parameters
      Returns:
      The Pricer Parameters

    • quotingParameter

      ValuationCustomizationParams quotingParameter()
      Retrieve the Quoting Parameter
      Returns:
      The Quoting Parameter

    • components

      CalibratableComponent[] components()
      Retrieve the Array of the Calibration Components
      Returns:
      The Array of the Calibration Components

    • quoteMap

      CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<java.lang.Double>> quoteMap()
      Retrieve the Calibration Quote Map
      Returns:
      The Calibration Quote Map

    • measures

      CaseInsensitiveTreeMap<java.lang.String[]> measures()
      Retrieve the Map containing the array of the Calibration Measures
      Returns:
      The Map containing the array of the Calibration Measures

    • fixing

      LatentStateFixingsContainer fixing()
      Retrieve the Latent State Fixings Container
      Returns:
      The Latent State Fixings Container