Bond.java
package org.drip.product.definition;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
* Copyright (C) 2015 Lakshmi Krishnamurthy
* Copyright (C) 2014 Lakshmi Krishnamurthy
* Copyright (C) 2013 Lakshmi Krishnamurthy
* Copyright (C) 2012 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>Bond</i> abstract class implements the pricing, the valuation, and the RV analytics functionality for
* the bond product.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/README.md">Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/credit/README.md">Fixed Income Components/Baskets Definitions</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public abstract class Bond extends CreditComponent {
/**
* Retrieve the work-out information from price
*
* @param valParams Valuation Parameters
* @param csqs Bond Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price
*
* @return The Optimal Work-out Information
*/
public abstract org.drip.param.valuation.WorkoutInfo exerciseYieldFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice);
/**
* Retrieve the array of double for the bond's secondary treasury spreads from the Valuation
* Parameters and the component market parameters
*
* @param valParams ValuationParams
* @param csqs ComponentMarketParams
*
* @return Array of double for the bond's secondary treasury spreads
*/
public abstract double[] secTreasurySpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs);
/**
* Retrieve the effective treasury benchmark yield from the valuation, the component market parameters,
* and the market price
*
* @param valParams ValuationParams
* @param csqs ComponentMarketParams
* @param vcp Valuation Customization Parameters
* @param dblPrice Market price
*
* @return Effective treasury benchmark yield
*
* @throws java.lang.Exception Thrown if the effective benchmark cannot be calculated
*/
public abstract double effectiveTreasuryBenchmarkYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Get the ISIN
*
* @return ISIN string
*/
public abstract java.lang.String isin();
/**
* Get the CUSIP
*
* @return CUSIP string
*/
public abstract java.lang.String cusip();
/**
* Get the bond's loss flow from price
*
* @param valParams ValuationParams
* @param pricerParams PricerParams
* @param csqs ComponentMarketParams
* @param vcp Valuation Customization Parameters
* @param dblPrice Input price
*
* @return List of LossQuadratureMetrics
*/
public abstract java.util.List<org.drip.analytics.cashflow.LossQuadratureMetrics> lossFlowFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.pricer.CreditPricerParams pricerParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice);
/**
* Return whether the bond is a floater
*
* @return True if the bond is a floater
*/
public abstract boolean isFloater();
/**
* Return the rate index of the bond
*
* @return Rate index
*/
public abstract java.lang.String rateIndex();
/**
* Return the current bond coupon
*
* @return Current coupon
*/
public abstract double currentCoupon();
/**
* Return the floating spread of the bond
*
* @return Floating spread
*/
public abstract double floatSpread();
/**
* Return the bond ticker
*
* @return Bond Ticker
*/
public abstract java.lang.String ticker();
/**
* Indicate if the bond is callable
*
* @return True - callable
*/
public abstract boolean callable();
/**
* Indicate if the bond is putable
*
* @return True - putable
*/
public abstract boolean putable();
/**
* Indicate if the bond is sinkable
*
* @return True - sinkable
*/
public abstract boolean sinkable();
/**
* Indicate if the bond has variable coupon
*
* @return True - has variable coupon
*/
public abstract boolean variableCoupon();
/**
* Indicate if the bond has been exercised
*
* @return True - Has been exercised
*/
public abstract boolean exercised();
/**
* Indicate if the bond has defaulted
*
* @return True - Bond has defaulted
*/
public abstract boolean defaulted();
/**
* Indicate if the bond is perpetual
*
* @return True - Bond is Perpetual
*/
public abstract boolean perpetual();
/**
* Calculate if the bond is tradeable on the given date
*
* @param valParams Valuation Parameters
*
* @return True indicates the bond is tradeable
*
* @throws java.lang.Exception Thrown if inputs are invalid
*/
public abstract boolean tradeable (
final org.drip.param.valuation.ValuationParams valParams)
throws java.lang.Exception;
/**
* Return the bond's embedded call schedule
*
* @return EOS Call
*/
public abstract org.drip.product.params.EmbeddedOptionSchedule callSchedule();
/**
* Return the bond's embedded put schedule
*
* @return EOS Put
*/
public abstract org.drip.product.params.EmbeddedOptionSchedule putSchedule();
/**
* Return the bond's coupon type
*
* @return Bond's coupon Type
*/
public abstract java.lang.String couponType();
/**
* Return the bond's coupon day count
*
* @return Coupon day count string
*/
public abstract java.lang.String couponDC();
/**
* Return the bond's accrual day count
*
* @return Accrual day count string
*/
public abstract java.lang.String accrualDC();
/**
* Return the bond's maturity type
*
* @return Bond's maturity type
*/
public abstract java.lang.String maturityType();
/**
* Return the bond's coupon frequency
*
* @return Bond's coupon frequency
*/
public abstract int freq();
/**
* Return the bond's final maturity
*
* @return Bond's final maturity
*/
public abstract org.drip.analytics.date.JulianDate finalMaturity();
/**
* Return the bond's calculation type
*
* @return Bond's calculation type
*/
public abstract java.lang.String calculationType();
/**
* Return the bond's redemption value
*
* @return Bond's redemption value
*/
public abstract double redemptionValue();
/**
* Return the bond's coupon currency
*
* @return Bond's coupon currency
*/
public abstract java.lang.String currency();
/**
* Return the bond's redemption currency
*
* @return Bond's redemption currency
*/
public abstract java.lang.String redemptionCurrency();
/**
* Indicate whether the given date is in the first coupon period
*
* @param iDate Valuation Date
*
* @return True - The given date is in the first coupon period
*
* @throws java.lang.Exception Thrown if inputs are invalid
*/
public abstract boolean inFirstCouponPeriod (
final int iDate)
throws java.lang.Exception;
/**
* Indicate whether the given date is in the final coupon period
*
* @param iDate Valuation Date
*
* @return True - The given date is in the last coupon period
*
* @throws java.lang.Exception Thrown if inputs are invalid
*/
public abstract boolean inLastCouponPeriod (
final int iDate)
throws java.lang.Exception;
/**
* Return the bond's floating coupon convention
*
* @return Bond's floating coupon convention
*/
public abstract java.lang.String floatCouponConvention();
/**
* Get the bond's reset date for the period identified by the valuation date
*
* @param iValueDate Valuation Date
*
* @return Reset JulianDate
*/
public abstract org.drip.analytics.date.JulianDate periodFixingDate (
final int iValueDate);
/**
* Return the coupon date for the period prior to the specified date
*
* @param dt Valuation Date
*
* @return Previous Coupon Date
*/
public abstract org.drip.analytics.date.JulianDate previousCouponDate (
final org.drip.analytics.date.JulianDate dt);
/**
* Return the coupon rate for the period prior to the specified date
*
* @param dt Valuation Date
* @param csqs Component Market Params
*
* @return Previous Coupon Rate
*
* @throws java.lang.Exception Thrown if the previous coupon rate cannot be calculated
*/
public abstract double previousCouponRate (
final org.drip.analytics.date.JulianDate dt,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
throws java.lang.Exception;
/**
* Return the coupon date for the period containing the specified date
*
* @param dt Valuation Date
*
* @return Current Coupon Date
*/
public abstract org.drip.analytics.date.JulianDate currentCouponDate (
final org.drip.analytics.date.JulianDate dt);
/**
* Return the coupon date for the period subsequent to the specified date
*
* @param dt Valuation Date
*
* @return Next Coupon Date
*/
public abstract org.drip.analytics.date.JulianDate nextCouponDate (
final org.drip.analytics.date.JulianDate dt);
/**
* Return the next exercise info of the given exercise type (call/put) subsequent to the specified date
*
* @param dt Valuation Date
* @param bGetPut TRUE - Gets the next put date
*
* @return Next Exercise Information
*/
public abstract org.drip.analytics.output.ExerciseInfo nextValidExerciseDateOfType (
final org.drip.analytics.date.JulianDate dt,
final boolean bGetPut);
/**
* Return the next exercise info subsequent to the specified date
*
* @param dt Valuation Date
*
* @return Next Exercise Info
*/
public abstract org.drip.analytics.output.ExerciseInfo nextValidExerciseInfo (
final org.drip.analytics.date.JulianDate dt);
/**
* Return the coupon rate for the period corresponding to the specified date
*
* @param dt Valuation Date
* @param csqs Component Market Params
*
* @return Next Coupon Rate
*
* @throws java.lang.Exception Thrown if the current period coupon rate cannot be calculated
*/
public abstract double currentCouponRate (
final org.drip.analytics.date.JulianDate dt,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
throws java.lang.Exception;
/**
* Return the coupon rate for the period subsequent to the specified date
*
* @param dt Valuation Date
* @param csqs Component Market Params
*
* @return Next Coupon Rate
*
* @throws java.lang.Exception Thrown if the subsequent coupon rate cannot be calculated
*/
public abstract double nextCouponRate (
final org.drip.analytics.date.JulianDate dt,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
throws java.lang.Exception;
/**
* Calculate the bond's accrued for the period identified by the valuation date
*
* @param iDate Valuation Date
* @param csqs Bond market parameters
*
* @return The coupon accrued in the current period
*
* @throws java.lang.Exception Thrown if accrual cannot be calculated
*/
public abstract double accrued (
final int iDate,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs)
throws java.lang.Exception;
/**
* Calculate the Bond's Weighted Average Maturity Date from the Valuation Date
*
* @param valParams ValuationParams
* @param csqc ComponentMarketParams
* @param iWorkoutDate Work-out date
* @param dblWorkoutFactor Double Work-out factor
*
* @return The Bond's Weighted Average Maturity Date from the Valuation Date
*
* @throws java.lang.Exception Thrown if Bond's Weighted Average Maturity Date cannot be calculated
*/
public abstract int weightedAverageMaturityDate (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
final int iWorkoutDate,
final double dblWorkoutFactor)
throws java.lang.Exception;
/**
* Calculate the Bond's Weighted Average Maturity Date To Maturity from the Valuation Date
*
* @param valParams ValuationParams
* @param csqc ComponentMarketParams
*
* @return The Bond's Weighted Average Life from the Valuation Date
*
* @throws java.lang.Exception Thrown if Bond's Weighted Average Maturity Date To Maturity cannot be
* calculated
*/
public abstract int weightedAverageMaturityDate (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
throws java.lang.Exception;
/**
* Calculate the Bond's Weighted Average Life from the Valuation Date
*
* @param valParams ValuationParams
* @param csqc ComponentMarketParams
* @param iWorkoutDate Work-out date
* @param dblWorkoutFactor Double Work-out factor
*
* @return The Bond's Weighted Average Life from the Valuation Date
*
* @throws java.lang.Exception Thrown if Bond's Weighted Average Life cannot be calculated
*/
public abstract double weightedAverageLife (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
final int iWorkoutDate,
final double dblWorkoutFactor)
throws java.lang.Exception;
/**
* Calculate the Bond's Weighted Average Life To Maturity from the Valuation Date
*
* @param valParams ValuationParams
* @param csqc ComponentMarketParams
*
* @return The Bond's Weighted Average Life from the Valuation Date
*
* @throws java.lang.Exception Thrown if Bond's Weighted Average Life To Maturity cannot be calculated
*/
public abstract double weightedAverageLife (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
throws java.lang.Exception;
/**
* Calculate the Bond's Principal Only Weighted Average Life from the Valuation Date
*
* @param valParams ValuationParams
* @param csqc ComponentMarketParams
* @param iWorkoutDate Work-out date
* @param dblWorkoutFactor Double Work-out factor
*
* @return The Bond's Principal Only Weighted Average Life from the Valuation Date
*
* @throws java.lang.Exception Thrown if Bond's Weighted Average Life cannot be calculated
*/
public abstract double weightedAverageLifePrincipalOnly (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
final int iWorkoutDate,
final double dblWorkoutFactor)
throws java.lang.Exception;
/**
* Calculate the Bond's Principal Only Weighted Average Life To Maturity from the Valuation Date
*
* @param valParams ValuationParams
* @param csqc ComponentMarketParams
*
* @return The Bond's Weighted Average Life from the Valuation Date
*
* @throws java.lang.Exception Thrown if Bond's Principal Only Weighted Average Life To Maturity
* cannot be calculated
*/
public abstract double weightedAverageLifePrincipalOnly (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
throws java.lang.Exception;
/**
* Calculate the Bond's Coupon Only Weighted Average Life from the Valuation Date
*
* @param valParams ValuationParams
* @param csqc ComponentMarketParams
* @param iWorkoutDate Work-out date
* @param dblWorkoutFactor Double Work-out factor
*
* @return The Bond's Coupon Only Weighted Average Life from the Valuation Date
*
* @throws java.lang.Exception Thrown if Bond's Weighted Average Life cannot be calculated
*/
public abstract double weightedAverageLifeCouponOnly (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
final int iWorkoutDate,
final double dblWorkoutFactor)
throws java.lang.Exception;
/**
* Calculate the Bond's Coupon Only Weighted Average Life To Maturity from the Valuation Date
*
* @param valParams ValuationParams
* @param csqc ComponentMarketParams
*
* @return The Bond's Coupon Only Weighted Average Life from the Valuation Date
*
* @throws java.lang.Exception Thrown if Bond's Coupon Only Weighted Average Life To Maturity cannot be
* calculated
*/
public abstract double weightedAverageLifeCouponOnly (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
throws java.lang.Exception;
/**
* Calculate the Bond's Weighted Average Life of Losses Only from the Valuation Date
*
* @param valParams ValuationParams
* @param csqc ComponentMarketParams
* @param iWorkoutDate Work-out date
* @param dblWorkoutFactor Double Work-out factor
*
* @return The Bond's Weighted Average Life from the Valuation Date
*
* @throws java.lang.Exception Thrown if Bond's Weighted Average Life of Losses Only cannot be calculated
*/
public abstract double weightedAverageLifeLossOnly (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
final int iWorkoutDate,
final double dblWorkoutFactor)
throws java.lang.Exception;
/**
* Calculate the Bond's Weighted Average Life of Losses Only To Maturity from the Valuation Date
*
* @param valParams ValuationParams
* @param csqc ComponentMarketParams
*
* @return The Bond's Weighted Average Life from the Valuation Date
*
* @throws java.lang.Exception Thrown if Bond's Weighted Average Life of Losses Only To Maturity cannot
* be calculated
*/
public abstract double weightedAverageLifeLossOnly (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
throws java.lang.Exception;
/**
* Calculate the Credit Adjusted Weighted Average Life from the Valuation Date
*
* @param valParams ValuationParams
* @param csqc ComponentMarketParams
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Double Work-out Factor
*
* @return The Credit Adjusted Weighted Average Life from the Valuation Date
*
* @throws java.lang.Exception Thrown if the Credit Adjusted Weighted Average Life cannot be calculated
*/
public abstract double weightedAverageLifeCredit (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc,
final int iWorkoutDate,
final double dblWorkoutFactor)
throws java.lang.Exception;
/**
* Calculate the Credit Adjusted Weighted Average Life To Maturity from the Valuation Date
*
* @param valParams ValuationParams
* @param csqc ComponentMarketParams
*
* @return The Credit Adjusted Weighted Average Life from the Valuation Date
*
* @throws java.lang.Exception Thrown if Credit Adjusted Weighted Average Life To Maturity cannot be
* calculated
*/
public abstract double weightedAverageLifeCredit (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqc)
throws java.lang.Exception;
/**
* Calculate the bond's non-credit risky theoretical price from the Bumped Zero Curve
*
* @param valParams ValuationParams
* @param csqs ComponentMarketParams
* @param vcp Valuation Customization Parameters
* @param iZeroCurveBaseDC The Discount Curve to derive the zero curve off of
* @param iWorkoutDate Work-out date
* @param dblWorkoutFactor Double Work-out factor
* @param dblZCBump Bump to be applied to the zero curve
*
* @return Bond's non-credit risky theoretical price
*
* @throws java.lang.Exception Thrown if the price cannot be calculated
*/
public abstract double priceFromZeroCurve (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iZeroCurveBaseDC,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZCBump)
throws java.lang.Exception;
/**
* Calculate the bond's non-credit risky theoretical price from the Bumped Funding curve
*
* @param valParams ValuationParams
* @param csqs ComponentMarketParams
* @param iWorkoutDate Work-out date
* @param dblWorkoutFactor Double Work-out factor
* @param dblDCBump Bump to be applied to the DC
*
* @return Bond's non-credit risky theoretical price from the Bumped Funding curve
*
* @throws java.lang.Exception Thrown if the price cannot be calculated
*/
public abstract double priceFromFundingCurve (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDCBump)
throws java.lang.Exception;
/**
* Calculate the bond's non-credit risky theoretical price from the Bumped Funding curve
*
* @param valParams ValuationParams
* @param csqs ComponentMarketParams
* @param iWorkoutDate Work-out date
* @param dblWorkoutFactor Double Work-out factor
* @param dblDCBump Bump to be applied to the DC
*
* @return Bond's non-credit risky theoretical price from the Bumped Treasury curve
*
* @throws java.lang.Exception Thrown if the price cannot be calculated
*/
public abstract double priceFromTreasuryCurve (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDCBump)
throws java.lang.Exception;
/**
* Calculate the bond's credit risky theoretical price from the bumped credit curve
*
* @param valParams ValuationParams
* @param csqs ComponentMarketParams
* @param iWorkoutDate Work-out date
* @param dblWorkoutFactor Double Work-out factor
* @param dblCreditBasis Bump to be applied to the credit curve
* @param bFlat Is the CDS Curve flat (for PECS)
*
* @return Bond's credit risky theoretical price
*
* @throws java.lang.Exception Thrown if the bond's credit risky theoretical price cannot be calculated
*/
public abstract double priceFromCreditCurve (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis,
final boolean bFlat)
throws java.lang.Exception;
/**
* Calculate ASW from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return ASW from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate ASW from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return ASW from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate ASW from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return ASW from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate ASW from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return ASW from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if the ASW cannot be calculated
*/
public abstract double aswFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate ASW from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return ASW from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate ASW from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return ASW from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate ASW from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return ASW from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if the ASW cannot be calculated
*/
public abstract double aswFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate ASW from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return ASW from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate ASW from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return ASW from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate ASW from E Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblESpread E Spread to Work-out
*
* @return ASW from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if the ASW cannot be calculated
*/
public abstract double aswFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate ASW from E Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Maturity
*
* @return ASW from E Spread to Maturity
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate ASW from E Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Optimal Exercise
*
* @return ASW from E Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromESpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate ASW from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return ASW from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if the ASW cannot be calculated
*/
public abstract double aswFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate ASW from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return ASW from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate ASW from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return ASW from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate ASW from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return ASW from I Spread to Work-out
*
* @throws java.lang.Exception Thrown if the ASW cannot be calculated
*/
public abstract double aswFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate ASW from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return ASW from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate ASW from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Optimal Exercise
*
* @return ASW from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate ASW from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread J Spread to Work-out
*
* @return ASW from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if the ASW cannot be calculated
*/
public abstract double aswFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate ASW from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return ASW from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate ASW from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Optimal Exercise
*
* @return ASW from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate ASW from N Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblNSpread N Spread to Work-out
*
* @return ASW from N Spread to Work-out
*
* @throws java.lang.Exception Thrown if the ASW cannot be calculated
*/
public abstract double aswFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate ASW from N Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Maturity
*
* @return ASW from N Spread to Maturity
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate ASW from JN Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Optimal Exercise
*
* @return ASW from N Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromNSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate ASW from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return ASW from OAS to Work-out
*
* @throws java.lang.Exception Thrown if the ASW cannot be calculated
*/
public abstract double aswFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate ASW from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return ASW from OAS to Maturity
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate ASW from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return ASW from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate ASW from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return ASW from PECS to Work-out
*
* @throws java.lang.Exception Thrown if the ASW cannot be calculated
*/
public abstract double aswFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate ASW from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return ASW from PECS to Maturity
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate ASW from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return ASW from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate ASW from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return ASW from Price to Work-out
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate ASW from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return ASW from Price to Maturity
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate ASW from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return ASW from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate ASW from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return ASW from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if the ASW cannot be calculated
*/
public abstract double aswFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate ASW from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return ASW from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate ASW from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return ASW from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate ASW from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return ASW from Yield to Work-out
*
* @throws java.lang.Exception Thrown if the ASW cannot be calculated
*/
public abstract double aswFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate ASW from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return ASW from Yield to Maturity
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate ASW from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return ASW from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate ASW from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return ASW from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if the ASW cannot be calculated
*/
public abstract double aswFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate ASW from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return ASW from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate ASW from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return ASW from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate ASW from Z Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblZSpread Z Spread to Work-out
*
* @return ASW from Z Spread to Work-out
*
* @throws java.lang.Exception Thrown if the ASW cannot be calculated
*/
public abstract double aswFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate ASW from Z Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Maturity
*
* @return ASW from Z Spread to Maturity
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate ASW from Z Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Optimal Exercise
*
* @return ASW from Z Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if ASW cannot be calculated
*/
public abstract double aswFromZSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return Bond Basis from ASW to Work-out
*
* @throws java.lang.Exception Thrown if the Bond Basis cannot be calculated
*/
public abstract double bondBasisFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Bond Basis from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return Bond Basis from ASW to Maturity
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Bond Basis from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return Bond Basis from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Bond Basis from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return Bond Basis from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if the Bond Basis cannot be calculated
*/
public abstract double bondBasisFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Bond Basis from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return Bond Basis from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Bond Basis from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return Bond Basis from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Bond Basis from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return Bond Basis from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if the Bond Basis cannot be calculated
*/
public abstract double bondBasisFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Bond Basis from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return Bond Basis from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Bond Basis from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return Bond Basis from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Bond Basis from E Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblESpread E Spread to Work-out
*
* @return Bond Basis from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Bond Basis cannot be calculated
*/
public abstract double bondBasisFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from E Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Maturity
*
* @return Bond Basis from E Spread to Maturity
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from E Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Optimal Exercise
*
* @return Bond Basis from E Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromESpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return Bond Basis from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Bond Basis cannot be calculated
*/
public abstract double bondBasisFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return Bond Basis from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return Bond Basis from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return Bond Basis from I Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Bond Basis cannot be calculated
*/
public abstract double bondBasisFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return Bond Basis from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Optimal Exercise
*
* @return Bond Basis from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread J Spread to Work-out
*
* @return Bond Basis from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Bond Basis cannot be calculated
*/
public abstract double bondBasisFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return Bond Basis from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Optimal Exercise
*
* @return Bond Basis from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from N Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblNSpread N Spread to Work-out
*
* @return Bond Basis from N Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Bond Basis cannot be calculated
*/
public abstract double bondBasisFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from N Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Maturity
*
* @return Bond Basis from N Spread to Maturity
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from N Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Optimal Exercise
*
* @return Bond Basis from N Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromNSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return Bond Basis from OAS to Work-out
*
* @throws java.lang.Exception Thrown if the Bond Basis cannot be calculated
*/
public abstract double bondBasisFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Bond Basis from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return Bond Basis from OAS to Maturity
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Bond Basis from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return Bond Basis from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Bond Basis from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return Bond Basis from PECS to Work-out
*
* @throws java.lang.Exception Thrown if the Bond Basis cannot be calculated
*/
public abstract double bondBasisFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Bond Basis from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return Bond Basis from PECS to Maturity
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Bond Basis from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return Bond Basis from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Bond Basis from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return Bond Basis from Price to Work-out
*
* @throws java.lang.Exception Thrown if the Bond Basis cannot be calculated
*/
public abstract double bondBasisFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Bond Basis from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return Bond Basis from Price to Maturity
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Bond Basis from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return Bond Basis from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Bond Basis from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return Bond Basis from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Bond Basis cannot be calculated
*/
public abstract double bondBasisFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return Bond Basis from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return Bond Basis from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return Bond Basis from Yield to Work-out
*
* @throws java.lang.Exception Thrown if the Bond Basis cannot be calculated
*/
public abstract double bondBasisFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Bond Basis from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return Bond Basis from Yield to Maturity
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Bond Basis from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return Bond Basis from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Bond Basis from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return Bond Basis from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Bond Basis cannot be calculated
*/
public abstract double bondBasisFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return Bond Basis from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return Bond Basis from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from Z Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblZSpread Z Spread to Work-out
*
* @return Bond Basis from Z Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Bond Basis cannot be calculated
*/
public abstract double bondBasisFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from Z Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Maturity
*
* @return Bond Basis from Z Spread to Maturity
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Bond Basis from Z Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Optimal Exercise
*
* @return Bond Basis from Z Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Bond Basis cannot be calculated
*/
public abstract double bondBasisFromZSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Convexity from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return Convexity from ASW to Work-out
*
* @throws java.lang.Exception Thrown if the Convexity cannot be calculated
*/
public abstract double convexityFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Convexity from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return Convexity from ASW to Maturity
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Convexity from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return Convexity from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Convexity from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return Convexity from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if the Convexity cannot be calculated
*/
public abstract double convexityFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Convexity from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return Convexity from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Convexity from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return Convexity from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Convexity from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return Convexity from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if the Convexity cannot be calculated
*/
public abstract double convexityFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Convexity from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return Convexity from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Convexity from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return Convexity from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Convexity from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return Convexity from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if the Convexity cannot be calculated
*/
public abstract double convexityFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Convexity from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return Convexity from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Convexity from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return Convexity from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Convexity from E Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblESpread E Spread to Work-out
*
* @return Convexity from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Convexity cannot be calculated
*/
public abstract double convexityFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Convexity from E Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Maturity
*
* @return Convexity from E Spread to Maturity
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Convexity from E Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Optimal Exercise
*
* @return Convexity from E Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromESpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Convexity from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return Convexity from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Convexity cannot be calculated
*/
public abstract double convexityFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Convexity from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return Convexity from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Convexity from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return Convexity from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Convexity from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return Convexity from I Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Convexity cannot be calculated
*/
public abstract double convexityFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Convexity from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return Convexity from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Convexity from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Optimal Exercise
*
* @return Convexity from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Convexity from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread J Spread to Work-out
*
* @return Convexity from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Convexity cannot be calculated
*/
public abstract double convexityFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Convexity from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return Convexity from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Convexity from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Optimal Exercise
*
* @return Convexity from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Convexity from N Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblNSpread N Spread to Work-out
*
* @return Convexity from N Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Convexity cannot be calculated
*/
public abstract double convexityFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Convexity from N Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Maturity
*
* @return Convexity from N Spread to Maturity
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Convexity from N Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Optimal Exercise
*
* @return Convexity from N Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromNSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Convexity from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return Convexity from OAS to Work-out
*
* @throws java.lang.Exception Thrown if the Convexity cannot be calculated
*/
public abstract double convexityFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Convexity from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return Convexity from OAS to Maturity
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Convexity from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return Convexity from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Convexity from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return Convexity from PECS to Work-out
*
* @throws java.lang.Exception Thrown if the Convexity cannot be calculated
*/
public abstract double convexityFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Convexity from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return Convexity from PECS to Maturity
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Convexity from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return Convexity from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Convexity from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return Convexity from Price to Work-out
*
* @throws java.lang.Exception Thrown if the Convexity cannot be calculated
*/
public abstract double convexityFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Convexity from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return Convexity from Price to Maturity
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Convexity from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return Convexity from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Convexity from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return Convexity from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Convexity cannot be calculated
*/
public abstract double convexityFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Convexity from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return Convexity from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Convexity from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return Convexity from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Convexity from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return Convexity from Yield to Work-out
*
* @throws java.lang.Exception Thrown if the Convexity cannot be calculated
*/
public abstract double convexityFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Convexity from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return Convexity from Yield to Maturity
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Convexity from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return Convexity from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Convexity from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return Convexity from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Convexity cannot be calculated
*/
public abstract double convexityFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Convexity from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return Convexity from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Convexity from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return Convexity from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Convexity from Z Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblZSpread Z Spread to Work-out
*
* @return Convexity from Z Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Convexity cannot be calculated
*/
public abstract double convexityFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Convexity from Z Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Maturity
*
* @return Convexity from Z Spread to Maturity
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Convexity from Z Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Optimal Exercise
*
* @return Convexity from Z to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Convexity cannot be calculated
*/
public abstract double convexityFromZSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return Credit Basis from ASW to Work-out
*
* @throws java.lang.Exception Thrown if the Credit Basis cannot be calculated
*/
public abstract double creditBasisFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Credit Basis from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return Credit Basis from ASW to Maturity
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Credit Basis from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return Credit Basis from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Credit Basis from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return Credit Basis from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if the Credit Basis cannot be calculated
*/
public abstract double creditBasisFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Credit Basis from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return Credit Basis from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Credit Basis from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return Credit Basis from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Credit Basis from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return Credit Basis from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if the Credit Basis cannot be calculated
*/
public abstract double creditBasisFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Credit Basis from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return Credit Basis from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Credit Basis from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return Credit Basis from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double creditBasisFromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Credit Basis from E Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblESpread E Spread to Work-out
*
* @return Credit Basis from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Credit Basis cannot be calculated
*/
public abstract double creditBasisFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from E Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Maturity
*
* @return Credit Basis from E Spread to Maturity
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from E Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Optimal Exercise
*
* @return Credit Basis from E Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromESpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return Credit Basis from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Credit Basis cannot be calculated
*/
public abstract double creditBasisFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return Credit Basis from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return Credit Basis from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return Credit Basis from I Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Credit Basis cannot be calculated
*/
public abstract double creditBasisFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return Credit Basis from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Optimal Exercise
*
* @return Credit Basis from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread J Spread to Work-out
*
* @return Credit Basis from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Credit Basis cannot be calculated
*/
public abstract double creditBasisFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return Credit Basis from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Optimal Exercise
*
* @return Credit Basis from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from N Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblNSpread N Spread to Work-out
*
* @return Credit Basis from N Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Credit Basis cannot be calculated
*/
public abstract double creditBasisFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from N Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Maturity
*
* @return Credit Basis from N Spread to Maturity
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from N Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Optimal Exercise
*
* @return Credit Basis from N Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromNSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return Credit Basis from OAS to Work-out
*
* @throws java.lang.Exception Thrown if the Credit Basis cannot be calculated
*/
public abstract double creditBasisFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Credit Basis from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return Credit Basis from OAS to Maturity
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Credit Basis from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return Credit Basis from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Credit Basis from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return Credit Basis from PECS to Work-out
*
* @throws java.lang.Exception Thrown if the Credit Basis cannot be calculated
*/
public abstract double creditBasisFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Credit Basis from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return Credit Basis from PECS to Maturity
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Credit Basis from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return Credit Basis from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Credit Basis from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return Credit Basis from Price to Work-out
*
* @throws java.lang.Exception Thrown if the Credit Basis cannot be calculated
*/
public abstract double creditBasisFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Credit Basis from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return Credit Basis from Price to Maturity
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Credit Basis from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return Credit Basis from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Credit Basis from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return Credit Basis from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Credit Basis cannot be calculated
*/
public abstract double creditBasisFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return Credit Basis from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return Credit Basis from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return Credit Basis from Yield to Work-out
*
* @throws java.lang.Exception Thrown if the Credit Basis cannot be calculated
*/
public abstract double creditBasisFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Credit Basis from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return Credit Basis from Yield to Maturity
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Credit Basis from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return Credit Basis from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Credit Basis from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return Credit Basis from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Credit Basis cannot be calculated
*/
public abstract double creditBasisFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return Credit Basis from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return Credit Basis from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from Z Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblZSpread Z Spread to Work-out
*
* @return Credit Basis from Z Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Credit Basis cannot be calculated
*/
public abstract double creditBasisFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from Z Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Maturity
*
* @return Credit Basis from Z Spread to Maturity
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Credit Basis from Z Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Optimal Exercise
*
* @return Credit Basis from Z Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Credit Basis cannot be calculated
*/
public abstract double creditBasisFromZSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return Discount Margin from ASW to Work-out
*
* @throws java.lang.Exception Thrown if the Discount Margin cannot be calculated
*/
public abstract double discountMarginFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Discount Margin from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return Discount Margin from ASW to Maturity
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Discount Margin from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return Discount Margin from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Discount Margin from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return Discount Margin from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if the Discount Margin cannot be calculated
*/
public abstract double discountMarginFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Discount Margin from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return Discount Margin from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Discount Margin from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return Discount Margin from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Discount Margin from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return Discount Margin from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if the Discount Margin cannot be calculated
*/
public abstract double discountMarginFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Discount Margin from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return Discount Margin from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Discount Margin from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return Discount Margin from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Discount Margin from E Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblESpread E Spread to Work-out
*
* @return Discount Margin from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Discount Margin cannot be calculated
*/
public abstract double discountMarginFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from E Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Maturity
*
* @return Discount Margin from E Spread to Maturity
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from E Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Optimal Exercise
*
* @return Discount Margin from E Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromESpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return Discount Margin from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Discount Margin cannot be calculated
*/
public abstract double discountMarginFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return Discount Margin from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return Discount Margin from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return Discount Margin from I Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Discount Margin cannot be calculated
*/
public abstract double discountMarginFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return Discount Margin from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Optimal Exercise
*
* @return Discount Margin from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread J Spread to Work-out
*
* @return Discount Margin from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Discount Margin cannot be calculated
*/
public abstract double discountMarginFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return Discount Margin from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Optimal Exercise
*
* @return Discount Margin from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from N Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblNSpread N Spread to Work-out
*
* @return Discount Margin from N Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Discount Margin cannot be calculated
*/
public abstract double discountMarginFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from N Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Maturity
*
* @return Discount Margin from N Spread to Maturity
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from N Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Optimal Exercise
*
* @return Discount Margin from N Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromNSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return Discount Margin from OAS to Work-out
*
* @throws java.lang.Exception Thrown if the Discount Margin cannot be calculated
*/
public abstract double discountMarginFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Discount Margin from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return Discount Margin from OAS to Maturity
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Discount Margin from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return Discount Margin from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Discount Margin from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return Discount Margin from PECS to Work-out
*
* @throws java.lang.Exception Thrown if the Discount Margin cannot be calculated
*/
public abstract double discountMarginFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Discount Margin from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return Discount Margin from PECS to Maturity
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Discount Margin from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return Discount Margin from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Discount Margin from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return Discount Margin from Price to Work-out
*
* @throws java.lang.Exception Thrown if the Discount Margin cannot be calculated
*/
public abstract double discountMarginFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Discount Margin from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return Discount Margin from Price to Maturity
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Discount Margin from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return Discount Margin from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Discount Margin from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return Discount Margin from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Discount Margin cannot be calculated
*/
public abstract double discountMarginFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return Discount Margin from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return Discount Margin from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return Discount Margin from Yield to Work-out
*
* @throws java.lang.Exception Thrown if the Discount Margin cannot be calculated
*/
public abstract double discountMarginFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Discount Margin from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return Discount Margin from Yield to Maturity
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Discount Margin from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return Discount Margin from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Discount Margin from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return Discount Margin from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Discount Margin cannot be calculated
*/
public abstract double discountMarginFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return Discount Margin from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return Discount Margin from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from Z Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblZSpread Z Spread to Work-out
*
* @return Discount Margin from Z Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Discount Margin cannot be calculated
*/
public abstract double discountMarginFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from Z Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Maturity
*
* @return Discount Margin from Z Spread to Maturity
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Discount Margin from Z Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Optimal Exercise
*
* @return Discount Margin from Z Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Discount Margin cannot be calculated
*/
public abstract double discountMarginFromZSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Duration from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return Duration from ASW to Work-out
*
* @throws java.lang.Exception Thrown if the Duration cannot be calculated
*/
public abstract double durationFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Duration from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return Duration from ASW to Maturity
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Duration from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return Duration from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Duration from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return Duration from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Duration from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return Duration from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Duration from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return Duration from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Duration from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return Duration from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Duration from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return Duration from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Duration from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return Duration from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Duration from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return Duration from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Duration from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return Duration from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Duration from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return Duration from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Duration from E Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblESpread E Spread to Work-out
*
* @return Duration from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Duration from E Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Maturity
*
* @return Duration from E Spread to Maturity
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Duration from E Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Optimal Exercise
*
* @return Duration from E Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromESpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Duration from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return Duration from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Duration from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return Duration from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Duration from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return Duration from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Duration from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return Duration from I Spread to Work-out
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Duration from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return Duration from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Duration from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Optimal Exercise
*
* @return Duration from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Duration from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread J Spread to Work-out
*
* @return Duration from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Duration from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return Duration from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Duration from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Optimal Exercise
*
* @return Duration from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Duration from N Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblNSpread N Spread to Work-out
*
* @return Duration from N Spread to Work-out
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Duration from N Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Maturity
*
* @return Duration from N Spread to Maturity
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Duration from N Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Optimal Exercise
*
* @return Duration from N Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromNSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Duration from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return Duration from OAS to Work-out
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Duration from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return Duration from OAS to Maturity
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Duration from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return Duration from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Duration from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return Duration from PECS to Work-out
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Duration from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return Duration from PECS to Maturity
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Duration from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return Duration from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Duration from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return Duration from Price to Work-out
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Duration from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return Duration from Price to Maturity
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Duration from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return Duration from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Duration from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return Duration from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Duration from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return Duration from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Duration from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return Duration from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Duration from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return Duration from Yield to Work-out
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Duration from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return Duration from Yield to Maturity
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Duration from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return Duration from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Duration from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return Duration from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Duration from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return Duration from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Duration from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return Duration from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Duration from Z Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblZSpread Z Spread to Work-out
*
* @return Duration from Z Spread to Work-out
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Duration from Z Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Maturity
*
* @return Duration from Z Spread to Maturity
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Duration from Z Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Optimal Exercise
*
* @return Duration from Z Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Duration cannot be calculated
*/
public abstract double durationFromZSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate E Spread from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return E Spread from ASW to Work-out
*
* @throws java.lang.Exception Thrown if the E Spread cannot be calculated
*/
public abstract double eSpreadFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate E Spread from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return E Spread from ASW to Maturity
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double eSpreadFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate E Spread from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return E Spread from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate E Spread from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return E Spread from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if the Z Spread cannot be calculated
*/
public abstract double eSpreadFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate E Spread from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return E Spread from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate E Spread from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return E Spread from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate E Spread from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return E Spread from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if the E Spread cannot be calculated
*/
public abstract double eSpreadFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate E Spread from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return E Spread from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate E Spread from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return E Spread from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate E Spread from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return E Spread from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if the E Spread cannot be calculated
*/
public abstract double eSpreadFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate E Spread from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return E Spread from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate E Spread from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return E Spread from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate E Spread from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return E Spread from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if the E Spread cannot be calculated
*/
public abstract double eSpreadFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate E Spread from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return E Spread from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate E Spread from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return E Spread from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate E Spread from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return E Spread from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if the E Spread cannot be calculated
*/
public abstract double eSpreadFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate E Spread from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return E Spread from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate E Spread from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread ISpread to Optimal Exercise
*
* @return E Spread from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate E Spread from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread J Spread to Work-out
*
* @return E Spread from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if the E Spread cannot be calculated
*/
public abstract double eSpreadFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate E Spread from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return E Spread from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate E Spread from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread JSpread to Optimal Exercise
*
* @return E Spread from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate E Spread from N Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblNSpread N Spread to Work-out
*
* @return E Spread from N Spread to Work-out
*
* @throws java.lang.Exception Thrown if the E Spread cannot be calculated
*/
public abstract double eSpreadFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate E Spread from N Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Maturity
*
* @return E Spread from N Spread to Maturity
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate E Spread from N Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Optimal Exercise
*
* @return E Spread from N Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromNSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate E Spread from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return E Spread from OAS to Work-out
*
* @throws java.lang.Exception Thrown if the E Spread cannot be calculated
*/
public abstract double eSpreadFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate E Spread from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return E Spread from OAS to Maturity
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate E Spread from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return E Spread from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate E Spread from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return E Spread from Price to Work-out
*
* @throws java.lang.Exception Thrown if the E Spread cannot be calculated
*/
public abstract double eSpreadFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate E Spread from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return E Spread from Price to Maturity
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate E Spread from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return E Spread from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate E Spread from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return E Spread from PECS to Work-out
*
* @throws java.lang.Exception Thrown if the E Spread cannot be calculated
*/
public abstract double eSpreadFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate E Spread from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return E Spread from PECS to Maturity
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate E Spread from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return E Spread from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate E Spread from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return E Spread from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if the E Spread cannot be calculated
*/
public abstract double eSpreadFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate E Spread from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return E Spread from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate E Spread from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return E Spread from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate E Spread from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return E Spread from Yield to Work-out
*
* @throws java.lang.Exception Thrown if the E Spread cannot be calculated
*/
public abstract double eSpreadFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate E Spread from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return E Spread from Yield to Maturity
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate E Spread from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return E Spread from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate E Spread from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return E Spread from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if the E Spread cannot be calculated
*/
public abstract double eSpreadFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate E Spread from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return E Spread from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate E Spread from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return E Spread from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if E Spread cannot be calculated
*/
public abstract double eSpreadFromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate G Spread from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return G Spread from ASW to Work-out
*
* @throws java.lang.Exception Thrown if the G Spread cannot be calculated
*/
public abstract double gSpreadFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate G Spread from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return G Spread from ASW to Maturity
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate G Spread from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return G Spread from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate G Spread from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return G Spread from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if the G Spread cannot be calculated
*/
public abstract double gSpreadFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate G Spread from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return G Spread from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate G Spread from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return G Spread from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate G Spread from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return G Spread from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if the G Spread cannot be calculated
*/
public abstract double gSpreadFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate G Spread from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return G Spread from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate G Spread from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return G Spread from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate G Spread from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return G Spread from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if the G Spread cannot be calculated
*/
public abstract double gSpreadFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate G Spread from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return G Spread from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate G Spread from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return G Spread from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate G Spread from E Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblESpread E Spread to Work-out
*
* @return G Spread from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if the G Spread cannot be calculated
*/
public abstract double gSpreadFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate G Spread from E Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Maturity
*
* @return G Spread from E Spread to Maturity
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate G Spread from E Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Optimal Exercise
*
* @return G Spread from E Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromESpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate G Spread from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return G Spread from I Spread to Work-out
*
* @throws java.lang.Exception Thrown if the G Spread cannot be calculated
*/
public abstract double gSpreadFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate G Spread from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return G Spread from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate G Spread from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Optimal Exercise
*
* @return G Spread from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate G Spread from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread J Spread to Work-out
*
* @return G Spread from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if the G Spread cannot be calculated
*/
public abstract double gSpreadFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate G Spread from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return G Spread from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate G Spread from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Optimal Exercise
*
* @return G Spread from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate G Spread from N Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblNSpread N Spread to Work-out
*
* @return G Spread from N Spread to Work-out
*
* @throws java.lang.Exception Thrown if the G Spread cannot be calculated
*/
public abstract double gSpreadFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate G Spread from N Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Maturity
*
* @return G Spread from N Spread to Maturity
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate G Spread from N Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Optimal Exercise
*
* @return G Spread from N Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromNSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate G Spread from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return G Spread from OAS to Work-out
*
* @throws java.lang.Exception Thrown if the G Spread cannot be calculated
*/
public abstract double gSpreadFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate G Spread from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return G Spread from OAS to Maturity
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate G Spread from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return G Spread from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate G Spread from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return G Spread from PECS to Work-out
*
* @throws java.lang.Exception Thrown if the G Spread cannot be calculated
*/
public abstract double gSpreadFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate G Spread from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return G Spread from PECS to Maturity
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate G Spread from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return G Spread from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate G Spread from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return G Spread from Price to Work-out
*
* @throws java.lang.Exception Thrown if the G Spread cannot be calculated
*/
public abstract double gSpreadFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate G Spread from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return G Spread from Price to Maturity
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate G Spread from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return G Spread from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate G Spread from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return G Spread from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if the G Spread cannot be calculated
*/
public abstract double gSpreadFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate G Spread from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return G Spread from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate G Spread from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return G Spread from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate G Spread from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return G Spread from Yield to Work-out
*
* @throws java.lang.Exception Thrown if the G Spread cannot be calculated
*/
public abstract double gSpreadFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate G Spread from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return G Spread from Yield to Maturity
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate G Spread from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return G Spread from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate G Spread from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return G Spread from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if the G Spread cannot be calculated
*/
public abstract double gSpreadFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate G Spread from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return G Spread from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate G Spread from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return G Spread from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate G Spread from Z Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblZSpread Z Spread to Work-out
*
* @return G Spread from Z Spread to Work-out
*
* @throws java.lang.Exception Thrown if the G Spread cannot be calculated
*/
public abstract double gSpreadFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate G Spread from Z Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Maturity
*
* @return G Spread from Z Spread to Maturity
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate G Spread from Z Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Optimal Exercise
*
* @return G Spread from Z Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if G Spread cannot be calculated
*/
public abstract double gSpreadFromZSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate I Spread from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return I Spread from ASW to Work-out
*
* @throws java.lang.Exception Thrown if the I Spread cannot be calculated
*/
public abstract double iSpreadFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate I Spread from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return I Spread from ASW to Maturity
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate I Spread from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return I Spread from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate I Spread from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return I Spread from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if the I Spread cannot be calculated
*/
public abstract double iSpreadFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate I Spread from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return I Spread from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate I Spread from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return I Spread from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate I Spread from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return I Spread from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if the I Spread cannot be calculated
*/
public abstract double iSpreadFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate I Spread from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return I Spread from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate I Spread from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return I Spread from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate I Spread from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return I Spread from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if the I Spread cannot be calculated
*/
public abstract double iSpreadFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate I Spread from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return I Spread from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate I Spread from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return I Spread from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate I Spread from E Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblESpread E Spread to Work-out
*
* @return I Spread from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if the I Spread cannot be calculated
*/
public abstract double iSpreadFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate I Spread from E Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Maturity
*
* @return I Spread from E Spread to Maturity
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate I Spread from E Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Optimal Exercise
*
* @return I Spread from E Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromESpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate I Spread from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return I Spread from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if the I Spread cannot be calculated
*/
public abstract double iSpreadFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate I Spread from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return I Spread from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate I Spread from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return I Spread from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate I Spread from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread J Spread to Work-out
*
* @return I Spread from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if the I Spread cannot be calculated
*/
public abstract double iSpreadFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate I Spread from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return I Spread from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate I Spread from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Optimal Exercise
*
* @return I Spread from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate I Spread from N Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblNSpread N Spread to Work-out
*
* @return I Spread from N Spread to Work-out
*
* @throws java.lang.Exception Thrown if the I Spread cannot be calculated
*/
public abstract double iSpreadFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate I Spread from N Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Maturity
*
* @return I Spread from N Spread to Maturity
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate I Spread from N Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Optimal Exercise
*
* @return I Spread from N Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromNSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate I Spread from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return I Spread from OAS to Work-out
*
* @throws java.lang.Exception Thrown if the I Spread cannot be calculated
*/
public abstract double iSpreadFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate I Spread from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return I Spread from OAS to Maturity
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate I Spread from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return I Spread from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate I Spread from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return I Spread from PECS to Work-out
*
* @throws java.lang.Exception Thrown if the I Spread cannot be calculated
*/
public abstract double iSpreadFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate I Spread from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return I Spread from PECS to Maturity
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate I Spread from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return I Spread from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate I Spread from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return I Spread from Price to Work-out
*
* @throws java.lang.Exception Thrown if the I Spread cannot be calculated
*/
public abstract double iSpreadFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate I Spread from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return I Spread from Price to Maturity
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate I Spread from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return I Spread from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate I Spread from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return I Spread from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if the I Spread cannot be calculated
*/
public abstract double iSpreadFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate I Spread from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return I Spread from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate I Spread from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return I Spread from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate I Spread from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return I Spread from Yield to Work-out
*
* @throws java.lang.Exception Thrown if the I Spread cannot be calculated
*/
public abstract double iSpreadFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate I Spread from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return I Spread from Yield to Maturity
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate I Spread from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return I Spread from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate I Spread from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return I Spread from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if the I Spread cannot be calculated
*/
public abstract double iSpreadFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate I Spread from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return I Spread from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate I Spread from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return I Spread from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate I Spread from Z Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblZSpread Z Spread to Work-out
*
* @return I Spread from Z Spread to Work-out
*
* @throws java.lang.Exception Thrown if the I Spread cannot be calculated
*/
public abstract double iSpreadFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate I Spread from Z Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Maturity
*
* @return I Spread from Z Spread to Maturity
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate I Spread from Z Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Optimal Exercise
*
* @return I Spread from Z Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if I Spread cannot be calculated
*/
public abstract double iSpreadFromZSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate J Spread from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return J Spread from ASW to Work-out
*
* @throws java.lang.Exception Thrown if the J Spread cannot be calculated
*/
public abstract double jSpreadFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate J Spread from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return J Spread from ASW to Maturity
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate J Spread from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return J Spread from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate J Spread from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return J Spread from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if the J Spread cannot be calculated
*/
public abstract double jSpreadFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate J Spread from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return J Spread from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate J Spread from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return J Spread from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate J Spread from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return J Spread from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if the J Spread cannot be calculated
*/
public abstract double jSpreadFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate J Spread from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return J Spread from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate J Spread from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return J Spread from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate J Spread from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return J Spread from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if the J Spread cannot be calculated
*/
public abstract double jSpreadFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate J Spread from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return J Spread from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate J Spread from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return J Spread from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate J Spread from E Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblESpread E Spread to Work-out
*
* @return J Spread from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if the J Spread cannot be calculated
*/
public abstract double jSpreadFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate J Spread from E Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Maturity
*
* @return J Spread from E Spread to Maturity
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate J Spread from E Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Optimal Exercise
*
* @return J Spread from E Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromESpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate J Spread from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return J Spread from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if the J Spread cannot be calculated
*/
public abstract double jSpreadFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate J Spread from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return J Spread from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate J Spread from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return J Spread from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate J Spread from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return J Spread from I Spread to Work-out
*
* @throws java.lang.Exception Thrown if the J Spread cannot be calculated
*/
public abstract double jSpreadFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate J Spread from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return J Spread from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate J Spread from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Optimal Exercise
*
* @return J Spread from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate J Spread from N Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblNSpread N Spread to Work-out
*
* @return J Spread from N Spread to Work-out
*
* @throws java.lang.Exception Thrown if the J Spread cannot be calculated
*/
public abstract double jSpreadFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate J Spread from N Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Maturity
*
* @return J Spread from N Spread to Maturity
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate J Spread from N Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Optimal Exercise
*
* @return J Spread from N Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double jSpreadFromNSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate J Spread from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return J Spread from OAS to Work-out
*
* @throws java.lang.Exception Thrown if the J Spread cannot be calculated
*/
public abstract double jSpreadFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate J Spread from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return J Spread from OAS to Maturity
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate J Spread from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return J Spread from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate J Spread from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return J Spread from PECS to Work-out
*
* @throws java.lang.Exception Thrown if the J Spread cannot be calculated
*/
public abstract double jSpreadFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate J Spread from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return J Spread from PECS to Maturity
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate J Spread from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return J Spread from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate J Spread from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return J Spread from Price to Work-out
*
* @throws java.lang.Exception Thrown if the J Spread cannot be calculated
*/
public abstract double jSpreadFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate J Spread from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return J Spread from Price to Maturity
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate J Spread from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return J Spread from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate J Spread from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return J Spread from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if the J Spread cannot be calculated
*/
public abstract double jSpreadFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate J Spread from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return J Spread from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate J Spread from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return J Spread from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate J Spread from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return J Spread from Yield to Work-out
*
* @throws java.lang.Exception Thrown if the J Spread cannot be calculated
*/
public abstract double jSpreadFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate J Spread from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return J Spread from Yield to Maturity
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate J Spread from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return J Spread from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate J Spread from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return J Spread from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if the J Spread cannot be calculated
*/
public abstract double jSpreadFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate J Spread from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return J Spread from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate J Spread from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return J Spread from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate J Spread from Z Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblZSpread Z Spread to Work-out
*
* @return J Spread from Z Spread to Work-out
*
* @throws java.lang.Exception Thrown if the J Spread cannot be calculated
*/
public abstract double jSpreadFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate J Spread from Z Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Maturity
*
* @return J Spread from Z Spread to Maturity
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate J Spread from Z Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Optimal Exercise
*
* @return J Spread from Z Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if J Spread cannot be calculated
*/
public abstract double jSpreadFromZSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return Macaulay Duration from ASW to Work-out
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return Macaulay Duration from ASW to Maturity
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return Macaulay Duration from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return Macaulay Duration from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return Macaulay Duration from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return Macaulay Duration from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return Macaulay Duration from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return Macaulay Duration from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return Macaulay Duration from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return Macaulay Duration from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return Macaulay Duration from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return Macaulay Duration from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from E Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblESpread E Spread to Work-out
*
* @return Macaulay Duration from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from E Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Maturity
*
* @return Macaulay Duration from E Spread to Maturity
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from E Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Optimal Exercise
*
* @return Macaulay Duration from E Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromESpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return Macaulay Duration from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return Macaulay Duration from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return Macaulay Duration from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return Macaulay Duration from I Spread to Work-out
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return Macaulay Duration from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Optimal Exercise
*
* @return Macaulay Duration from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread J Spread to Work-out
*
* @return Macaulay Duration from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return Macaulay Duration from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Optimal Exercise
*
* @return Macaulay Duration from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from N Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblNSpread N Spread to Work-out
*
* @return Macaulay Duration from N Spread to Work-out
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from N Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Maturity
*
* @return Macaulay Duration from N Spread to Maturity
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from N Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Optimal Exercise
*
* @return Macaulay Duration from N Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromNSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return Macaulay Duration from OAS to Work-out
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return Macaulay Duration from OAS to Maturity
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return Macaulay Duration from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double mnacaulayDurationFromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return Macaulay Duration from PECS to Work-out
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return Macaulay Duration from PECS to Maturity
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return Macaulay Duration from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return Macaulay Duration from Price to Work-out
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return Macaulay Duration from Price to Maturity
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return Macaulay Duration from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return Macaulay Duration from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return Macaulay Duration from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return Macaulay Duration from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return Macaulay Duration from Yield to Work-out
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return Macaulay Duration from Yield to Maturity
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return Macaulay Duration from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return Macaulay Duration from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return Macaulay Duration from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return Macaulay Duration from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Z Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblZSpread Z Spread to Work-out
*
* @return Macaulay Duration from Z Spread to Work-out
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Z Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Maturity
*
* @return Macaulay Duration from Z Spread to Maturity
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Macaulay Duration from Z Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Optimal Exercise
*
* @return Macaulay Duration from Z Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Macaulay Duration cannot be calculated
*/
public abstract double macaulayDurationFromZSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return Modified Duration from ASW to Work-out
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Modified Duration from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return Modified Duration from ASW to Maturity
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Modified Duration from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return Modified Duration from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return Modified Duration from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return Modified Duration from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return Modified Duration from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return Modified Duration from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return Modified Duration from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return Modified Duration from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return Modified Duration from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return Modified Duration from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return Modified Duration from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Modified Duration from E Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblESpread E Spread to Work-out
*
* @return Modified Duration from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from E Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Maturity
*
* @return Modified Duration from E Spread to Maturity
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from E Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Optimal Exercise
*
* @return Modified Duration from E Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromESpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return Modified Duration from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return Modified Duration from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return Modified Duration from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return Modified Duration from I Spread to Work-out
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return Modified Duration from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Optimal Exercise
*
* @return Modified Duration from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread JSpread to Work-out
*
* @return Modified Duration from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return Modified Duration from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Optimal Exercise
*
* @return Modified Duration from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from N Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblNSpread N Spread to Work-out
*
* @return Modified Duration from N Spread to Work-out
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from N Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Maturity
*
* @return Modified Duration from N Spread to Maturity
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from N Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Optimal Exercise
*
* @return Modified Duration from N Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromNSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return Modified Duration from OAS to Work-out
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Modified Duration from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return Modified Duration from OAS to Maturity
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Modified Duration from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return Modified Duration from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Modified Duration from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return Modified Duration from PECS to Work-out
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Modified Duration from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return Modified Duration from PECS to Maturity
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Modified Duration from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return Modified Duration from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return Modified Duration from Price to Work-out
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return Modified Duration from Price to Maturity
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return Modified Duration from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Modified Duration from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return Modified Duration from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return Modified Duration from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return Modified Duration from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return Modified Duration from Yield to Work-out
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return Modified Duration from Yield to Maturity
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return Modified Duration from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return Modified Duration from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return Modified Duration from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return Modified Duration from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Z Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblZSpread Z Spread to Work-out
*
* @return Modified Duration from Z Spread to Work-out
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Z Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Maturity
*
* @return Modified Duration from Z Spread to Maturity
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Modified Duration from Z Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Optimal Exercise
*
* @return Modified Duration from Z Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Modified Duration cannot be calculated
*/
public abstract double modifiedDurationFromZSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate N Spread from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return N Spread from ASW to Work-out
*
* @throws java.lang.Exception Thrown if the N Spread cannot be calculated
*/
public abstract double nSpreadFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate N Spread from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return N Spread from ASW to Maturity
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate N Spread from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return N Spread from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate N Spread from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return N Spread from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if the N Spread cannot be calculated
*/
public abstract double nSpreadFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate N Spread from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return N Spread from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate N Spread from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return N Spread from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate N Spread from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return N Spread from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if the N Spread cannot be calculated
*/
public abstract double nSpreadFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate N Spread from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return N Spread from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate N Spread from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return N Spread from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate N Spread from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return N Spread from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if the N Spread cannot be calculated
*/
public abstract double nSpreadFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate N Spread from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return N Spread from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate N Spread from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return N Spread from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate N Spread from E Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblESpread E Spread to Work-out
*
* @return N Spread from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if the N Spread cannot be calculated
*/
public abstract double nSpreadFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate N Spread from E Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Maturity
*
* @return N Spread from E Spread to Maturity
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate N Spread from E Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Optimal Exercise
*
* @return N Spread from E Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromESpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate N Spread from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return N Spread from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if the N Spread cannot be calculated
*/
public abstract double nSpreadFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate N Spread from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return N Spread from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate N Spread from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return N Spread from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate N Spread from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return N Spread from I Spread to Work-out
*
* @throws java.lang.Exception Thrown if the N Spread cannot be calculated
*/
public abstract double nSpreadFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate N Spread from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return N Spread from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate N Spread from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Optimal Exercise
*
* @return N Spread from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate N Spread from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread J Spread to Work-out
*
* @return N Spread from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if the N Spread cannot be calculated
*/
public abstract double nSpreadFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate N Spread from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return N Spread from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate N Spread from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Optimal Exercise
*
* @return N Spread from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate N Spread from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return N Spread from OAS to Work-out
*
* @throws java.lang.Exception Thrown if the N Spread cannot be calculated
*/
public abstract double nSpreadFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate N Spread from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return N Spread from OAS to Maturity
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate N Spread from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return N Spread from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate N Spread from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return N Spread from PECS to Work-out
*
* @throws java.lang.Exception Thrown if the N Spread cannot be calculated
*/
public abstract double nSpreadFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate N Spread from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return N Spread from PECS to Maturity
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate N Spread from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return N Spread from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate N Spread from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return N Spread from Price to Work-out
*
* @throws java.lang.Exception Thrown if the N Spread cannot be calculated
*/
public abstract double nSpreadFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate N Spread from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return N Spread from Price to Maturity
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate N Spread from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return N Spread from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate N Spread from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return N Spread from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if the N Spread cannot be calculated
*/
public abstract double nSpreadFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate N Spread from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return N Spread from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate N Spread from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return N Spread from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate N Spread from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return N Spread from Yield to Work-out
*
* @throws java.lang.Exception Thrown if the N Spread cannot be calculated
*/
public abstract double nSpreadFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate N Spread from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return N Spread from Yield to Maturity
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate N Spread from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return N Spread from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate N Spread from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return N Spread from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if the N Spread cannot be calculated
*/
public abstract double nSpreadFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate N Spread from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return N Spread from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate N Spread from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return N Spread from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate N Spread from Z Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblZSpread Z Spread to Work-out
*
* @return N Spread from Z Spread to Work-out
*
* @throws java.lang.Exception Thrown if the N Spread cannot be calculated
*/
public abstract double nSpreadFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate N Spread from Z Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Maturity
*
* @return N Spread from Z Spread to Maturity
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate N Spread from Z Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Optimal Exercise
*
* @return N Spread from Z Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if N Spread cannot be calculated
*/
public abstract double nSpreadFromZSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate OAS from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return OAS from ASW to Work-out
*
* @throws java.lang.Exception Thrown if the OAS cannot be calculated
*/
public abstract double oasFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate OAS from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return OAS from ASW to Maturity
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate OAS from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return OAS from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate OAS from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return OAS from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if the OAS cannot be calculated
*/
public abstract double oasFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate OAS from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return OAS from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate OAS from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return OAS from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate OAS from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return OAS from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if the OAS cannot be calculated
*/
public abstract double oasFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate OAS from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return OAS from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate OAS from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return OAS from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate OAS from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return OAS from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if the OAS cannot be calculated
*/
public abstract double oasFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate OAS from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return OAS from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate OAS from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return OAS from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate OAS from E Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblESpread E Spread to Work-out
*
* @return OAS from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if the OAS cannot be calculated
*/
public abstract double oasFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate OAS from E Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Maturity
*
* @return OAS from E Spread to Maturity
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate OAS from E Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Optimal Exercise
*
* @return OAS from E Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromESpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate OAS from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return OAS from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if the OAS cannot be calculated
*/
public abstract double oasFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate OAS from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return OAS from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate OAS from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return OAS from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate OAS from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return OAS from I Spread to Work-out
*
* @throws java.lang.Exception Thrown if the OAS cannot be calculated
*/
public abstract double oasFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate OAS from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return OAS from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate OAS from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread ISpread to Optimal Exercise
*
* @return OAS from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate OAS from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread J Spread to Work-out
*
* @return OAS from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if the OAS cannot be calculated
*/
public abstract double oasFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate OAS from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return OAS from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate OAS from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread JSpread to Optimal Exercise
*
* @return OAS from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate OAS from N Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblNSpread N Spread to Work-out
*
* @return OAS from N Spread to Work-out
*
* @throws java.lang.Exception Thrown if the OAS cannot be calculated
*/
public abstract double oasFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate OAS from N Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Maturity
*
* @return OAS from N Spread to Maturity
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate OAS from N Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Optimal Exercise
*
* @return OAS from N Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromNSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate OAS from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return OAS from PECS to Work-out
*
* @throws java.lang.Exception Thrown if the OAS cannot be calculated
*/
public abstract double oasFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate OAS from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return OAS from PECS to Maturity
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate OAS from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return OAS from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate OAS from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return OAS from Price to Work-out
*
* @throws java.lang.Exception Thrown if the OAS cannot be calculated
*/
public abstract double oasFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate OAS from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return OAS from Price to Maturity
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate OAS from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return OAS from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate OAS from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return OAS from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if the OAS cannot be calculated
*/
public abstract double oasFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate OAS from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return OAS from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate OAS from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return OAS from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate OAS from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return OAS from Yield to Work-out
*
* @throws java.lang.Exception Thrown if the OAS cannot be calculated
*/
public abstract double oasFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate OAS from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return OAS from Yield to Maturity
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate OAS from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return OAS from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate OAS from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return OAS from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if the OAS cannot be calculated
*/
public abstract double oasFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate OAS from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return OAS from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate OAS from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return OAS from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate OAS from Z Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblZSpread Z Spread to Work-out
*
* @return OAS from Z Spread to Work-out
*
* @throws java.lang.Exception Thrown if the OAS cannot be calculated
*/
public abstract double oasFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate OAS from Z Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Maturity
*
* @return OAS from Z Spread to Maturity
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate OAS from Z Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Optimal Exercise
*
* @return OAS from Z Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if OAS cannot be calculated
*/
public abstract double oasFromZSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate PECS from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return PECS from ASW to Work-out
*
* @throws java.lang.Exception Thrown if the PECS cannot be calculated
*/
public abstract double pecsFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate PECS from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return PECS from ASW to Maturity
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate PECS from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return PECS from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate PECS from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return PECS from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if the PECS cannot be calculated
*/
public abstract double pecsFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate PECS from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return PECS from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate PECS from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return PECS from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate PECS from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return PECS from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if the PECS cannot be calculated
*/
public abstract double pecsFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate PECS from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return PECS from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate PECS from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return PECS from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate PECS from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return PECS from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if the PECS cannot be calculated
*/
public abstract double pecsFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate PECS from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return PECS from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate PECS from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return PECS from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate PECS from E Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblESpread E Spread to Work-out
*
* @return PECS from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if the PECS cannot be calculated
*/
public abstract double pecsFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate PECS from E Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Maturity
*
* @return PECS from E Spread to Maturity
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate PECS from E Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Optimal Exercise
*
* @return PECS from E Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromESpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate PECS from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return PECS from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if the PECS cannot be calculated
*/
public abstract double pecsFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate PECS from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return PECS from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate PECS from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return PECS from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate PECS from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return PECS from I Spread to Work-out
*
* @throws java.lang.Exception Thrown if the PECS cannot be calculated
*/
public abstract double pecsFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate PECS from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return PECS from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate PECS from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread ISpread to Optimal Exercise
*
* @return PECS from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate PECS from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread J Spread to Work-out
*
* @return PECS from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if the PECS cannot be calculated
*/
public abstract double pecsFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate PECS from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return PECS from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate PECS from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread JSpread to Optimal Exercise
*
* @return PECS from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate PECS from N Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblNSpread N Spread to Work-out
*
* @return PECS from N Spread to Work-out
*
* @throws java.lang.Exception Thrown if the PECS cannot be calculated
*/
public abstract double pecsFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate PECS from N Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Maturity
*
* @return PECS from N Spread to Maturity
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate PECS from N Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Optimal Exercise
*
* @return PECS from N Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromNSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate PECS from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return PECS from OAS to Work-out
*
* @throws java.lang.Exception Thrown if the PECS cannot be calculated
*/
public abstract double pecsFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate PECS from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return PECS from OAS to Maturity
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate PECS from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return PECS from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate PECS from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return PECS from Price to Work-out
*
* @throws java.lang.Exception Thrown if the Price cannot be calculated
*/
public abstract double pecsFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate PECS from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return PECS from Price to Maturity
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate PECS from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return PECS from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate PECS from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return PECS from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if the PECS cannot be calculated
*/
public abstract double pecsFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate PECS from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return PECS from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate PECS from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return PECS from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate PECS from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return PECS from Yield to Work-out
*
* @throws java.lang.Exception Thrown if the PECS cannot be calculated
*/
public abstract double pecsFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate PECS from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return PECS from Yield to Maturity
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate PECS from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return PECS from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate PECS from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return PECS from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if the PECS cannot be calculated
*/
public abstract double pecsFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate PECS from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return PECS from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate PECS from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return PECS from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate PECS from Z Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblZSpread Z Spread to Work-out
*
* @return PECS from Z Spread to Work-out
*
* @throws java.lang.Exception Thrown if the PECS cannot be calculated
*/
public abstract double pecsFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate PECS from Z Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Maturity
*
* @return PECS from Z Spread to Maturity
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate PECS from Z Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Optimal Exercise
*
* @return PECS from Z Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if PECS cannot be calculated
*/
public abstract double pecsFromZSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Price from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return Price from ASW to Work-out
*
* @throws java.lang.Exception Thrown if the Price cannot be calculated
*/
public abstract double priceFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Price from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return Price from ASW to Maturity
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Price from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return Price from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Price from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return Price from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if the Price cannot be calculated
*/
public abstract double priceFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Price from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return Price from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Price from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return Price from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Price from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return Price from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if the Price cannot be calculated
*/
public abstract double priceFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Price from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return Price from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Price from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return Price from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Price from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return Price from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if the Price cannot be calculated
*/
public abstract double priceFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Price from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return Price from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Price from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return Price from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Price from E Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblESpread E Spread to Work-out
*
* @return Price from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Price cannot be calculated
*/
public abstract double priceFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Price from E Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Maturity
*
* @return Price from E Spread to Maturity
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Price from E Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Optimal Exercise
*
* @return Price from E Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromESpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Price from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return Price from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Price cannot be calculated
*/
public abstract double priceFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Price from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return Price from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Price from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return Price from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Price from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return Price from I Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Price cannot be calculated
*/
public abstract double priceFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Price from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return Price from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Price from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread ISpread to Optimal Exercise
*
* @return Price from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Price from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread J Spread to Work-out
*
* @return Price from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Price cannot be calculated
*/
public abstract double priceFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Price from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return Price from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Price from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Optimal Exercise
*
* @return Price from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Price from N Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblNSpread N Spread to Work-out
*
* @return Price from N Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Price cannot be calculated
*/
public abstract double priceFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Price from N Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Maturity
*
* @return Price from N Spread to Maturity
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Price from N Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Optimal Exercise
*
* @return Price from N Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromNSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Price from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return Price from OAS to Work-out
*
* @throws java.lang.Exception Thrown if the Price cannot be calculated
*/
public abstract double priceFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Price from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return Price from OAS to Maturity
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Price from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return Price from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Price from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return Price from PECS to Work-out
*
* @throws java.lang.Exception Thrown if the PECS cannot be calculated
*/
public abstract double priceFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Price from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return Price from PECS to Maturity
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Price from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return Price from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Price from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return Price from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Price cannot be calculated
*/
public abstract double priceFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Price from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return Price from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Price from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return Price from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Price from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return Price from Yield to Work-out
*
* @throws java.lang.Exception Thrown if the Price cannot be calculated
*/
public abstract double priceFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Price from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return Price from Yield to Maturity
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Price from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return Price from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Price from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return Price from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Price cannot be calculated
*/
public abstract double priceFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Price from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return Price from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Price from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return Price from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Price from Z Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblZSpread Z Spread to Work-out
*
* @return Price from Z Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Price cannot be calculated
*/
public abstract double priceFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Price from Z Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Maturity
*
* @return Price from Z Spread to Maturity
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Price from Z Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Optimal Exercise
*
* @return Price from Z Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Price cannot be calculated
*/
public abstract double priceFromZSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return TSY Spread from ASW to Work-out
*
* @throws java.lang.Exception Thrown if the TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate TSY Spread from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return TSY Spread from ASW to Maturity
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate TSY Spread from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return TSY Spread from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return TSY Spread from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if the TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return TSY Spread from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return TSY Spread from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return TSY Spread from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if the TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return TSY Spread from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return TSY Spread from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return TSY Spread from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if the TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return TSY Spread from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return TSY Spread from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate TSY Spread from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return TSY Spread from I Spread to Work-out
*
* @throws java.lang.Exception Thrown if the TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return TSY Spread from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Optimal Exercise
*
* @return TSY Spread from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from E Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblESpread E Spread to Work-out
*
* @return TSY Spread from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if the TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from E Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Maturity
*
* @return TSY Spread from E Spread to Maturity
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from E Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Optimal Exercise
*
* @return TSY Spread from E Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromESpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return TSY Spread from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if the TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return TSY Spread from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return TSY Spread from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread J Spread to Work-out
*
* @return TSY Spread from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if the TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return TSY Spread from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Optimal Exercise
*
* @return TSY Spread from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from N Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblNSpread N Spread to Work-out
*
* @return TSY Spread from N Spread to Work-out
*
* @throws java.lang.Exception Thrown if the TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from N Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Maturity
*
* @return TSY Spread from N Spread to Maturity
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from N Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Optimal Exercise
*
* @return TSY Spread from N Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromNSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return TSY Spread from OAS to Work-out
*
* @throws java.lang.Exception Thrown if the TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate TSY Spread from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return TSY Spread from OAS to Maturity
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate TSY Spread from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return TSY Spread from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate TSY Spread from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return TSY Spread from PECS to Work-out
*
* @throws java.lang.Exception Thrown if the TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate TSY Spread from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return TSY Spread from PECS to Maturity
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate TSY Spread from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return TSY Spread from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return TSY Spread from Price to Work-out
*
* @throws java.lang.Exception Thrown if the TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return TSY Spread from Price to Maturity
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return TSY Spread from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return TSY Spread from Yield to Work-out
*
* @throws java.lang.Exception Thrown if the TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return TSY Spread from Yield to Maturity
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return TSY Spread from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return TSY Spread from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if the TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return TSY Spread from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return TSY Spread from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Z Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblZSpread Z Spread to Work-out
*
* @return TSY Spread from Z Spread to Work-out
*
* @throws java.lang.Exception Thrown if the TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Z Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Maturity
*
* @return TSY Spread from Z Spread to Maturity
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate TSY Spread from Z Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Optimal Exercise
*
* @return TSY Spread from Z Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if TSY Spread cannot be calculated
*/
public abstract double tsySpreadFromZSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Yield from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return Yield from ASW to Work-out
*
* @throws java.lang.Exception Thrown if the Yield cannot be calculated
*/
public abstract double yieldFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Yield from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return Yield from ASW to Maturity
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Yield from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return Yield from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Yield from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return Yield from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if the Yield cannot be calculated
*/
public abstract double yieldFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Yield from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return Yield from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Yield from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return Yield from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Yield from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return Yield from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if the Yield cannot be calculated
*/
public abstract double yieldFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Yield from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return Yield from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Yield from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return Yield from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Yield from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return Yield from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if the Yield cannot be calculated
*/
public abstract double yieldFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Yield from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return Yield from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Yield from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return Yield from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Yield from E Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblESpread E Spread to Work-out
*
* @return Yield from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield cannot be calculated
*/
public abstract double yieldFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Yield from E Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Maturity
*
* @return Yield from E Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Yield from E Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Optimal Exercise
*
* @return Yield from E Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromESpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Yield from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return Yield from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield cannot be calculated
*/
public abstract double yieldFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Yield from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return Yield from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Yield from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return Yield from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Yield from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return Yield from I Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield cannot be calculated
*/
public abstract double yieldFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Yield from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return Yield from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Yield from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread ISpread to Optimal Exercise
*
* @return Yield from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Yield from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread J Spread to Work-out
*
* @return Yield from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield cannot be calculated
*/
public abstract double yieldFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Yield from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return Yield from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Yield from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Optimal Exercise
*
* @return Yield from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Yield from N Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblNSpread N Spread to Work-out
*
* @return Yield from N Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield cannot be calculated
*/
public abstract double yieldFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Yield from N Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Maturity
*
* @return Yield from N Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Yield from N Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Optimal Exercise
*
* @return Yield from N Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromNSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Yield from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return Yield from OAS to Work-out
*
* @throws java.lang.Exception Thrown if the Yield cannot be calculated
*/
public abstract double yieldFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Yield from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return Yield from OAS to Maturity
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Yield from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return Yield from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Yield from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return Yield from PECS to Work-out
*
* @throws java.lang.Exception Thrown if the Yield cannot be calculated
*/
public abstract double yieldFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Yield from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return Yield from PECS to Maturity
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Yield from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return Yield from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Yield from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return Yield from Price to Work-out
*
* @throws java.lang.Exception Thrown if the Yield cannot be calculated
*/
public abstract double yieldFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Yield from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return Yield from Price to Maturity
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Yield from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return Yield from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Yield from Price to Work-out after applying the Tax Credit Coupon Extension
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return Yield from Price to Work-out after applying the Tax Credit Coupon Extension
*
* @throws java.lang.Exception Thrown if the Yield cannot be calculated
*/
public abstract double yieldFromPriceTC (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Yield from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return Yield from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield cannot be calculated
*/
public abstract double yieldFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Yield from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return Yield from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Yield from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return Yield from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Yield from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return Yield from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield cannot be calculated
*/
public abstract double yieldFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Yield from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return Yield from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Yield from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return Yield from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Yield from Z Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblZSpread Z Spread to Work-out
*
* @return Yield from Z Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield cannot be calculated
*/
public abstract double yieldFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Yield from Z Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Maturity
*
* @return Yield from Z Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Yield from Z Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Optimal Exercise
*
* @return Yield from Z Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield cannot be calculated
*/
public abstract double yieldFromZSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return Yield01 from ASW to Work-out
*
* @throws java.lang.Exception Thrown if the Yield01 cannot be calculated
*/
public abstract double yield01FromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Yield01 from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return Yield01 from ASW to Maturity
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Yield01 from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return Yield01 from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Yield01 from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return Yield01 from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if the Yield01 cannot be calculated
*/
public abstract double yield01FromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Yield01 from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return Yield01 from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Yield01 from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return Yield01 from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Yield01 from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return Yield01 from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if the Yield01 cannot be calculated
*/
public abstract double yield01FromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Yield01 from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return Yield01 from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Yield01 from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return Yield01 from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Yield01 from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return Yield01 from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if the Yield01 cannot be calculated
*/
public abstract double yield01FromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Yield01 from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return Yield01 from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Yield01 from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return Yield01 from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Yield01 from E Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblESpread E Spread to Work-out
*
* @return Yield01 from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield01 cannot be calculated
*/
public abstract double yield01FromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from E Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Maturity
*
* @return Yield01 from E Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from E Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Optimal Exercise
*
* @return Yield01 from E Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromESpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return Yield01 from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield01 cannot be calculated
*/
public abstract double yield01FromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return Yield01 from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return Yield01 from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return Yield01 from I Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield01 cannot be calculated
*/
public abstract double yield01FromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return Yield01 from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread ISpread to Optimal Exercise
*
* @return Yield01 from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread J Spread to Work-out
*
* @return Yield01 from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield01 cannot be calculated
*/
public abstract double yield01FromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return Yield01 from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread JSpread to Optimal Exercise
*
* @return Yield01 from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return Yield01 from OAS to Work-out
*
* @throws java.lang.Exception Thrown if the Yield01 cannot be calculated
*/
public abstract double yield01FromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Yield01 from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return Yield01 from OAS to Maturity
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Yield01 from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return Yield01 from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Yield01 from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return Yield01 from PECS to Work-out
*
* @throws java.lang.Exception Thrown if the Yield01 cannot be calculated
*/
public abstract double yield01FromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Yield01 from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return Yield01 from PECS to Maturity
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Yield01 from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return Yield01 from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Yield01 from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return Yield01 from Price to Work-out
*
* @throws java.lang.Exception Thrown if the Yield01 cannot be calculated
*/
public abstract double yield01FromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Yield01 from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return Yield01 from Price to Maturity
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Yield01 from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return Yield01 from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Yield01 from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return Yield01 from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield01 cannot be calculated
*/
public abstract double yield01FromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return Yield01 from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return Yield01 from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return Yield01 from Yield to Work-out
*
* @throws java.lang.Exception Thrown if the Yield01 cannot be calculated
*/
public abstract double yield01FromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Yield01 from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return Yield01 from Yield to Maturity
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Yield01 from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return Yield01 from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Yield01 from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return Yield01 from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield01 cannot be calculated
*/
public abstract double yield01FromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return Yield01 from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return Yield01 from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from Z Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblZSpread Z Spread to Work-out
*
* @return Yield01 from Z Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield01 cannot be calculated
*/
public abstract double yield01FromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from Z Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Maturity
*
* @return Yield01 from Z Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Yield01 from Z Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Optimal Exercise
*
* @return Yield01 from Z Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield01 cannot be calculated
*/
public abstract double yield01FromZSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return Yield Spread from ASW to Work-out
*
* @throws java.lang.Exception Thrown if the Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Yield Spread from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return Yield Spread from ASW to Maturity
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Yield Spread from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return Yield Spread from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Yield Spread from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return Yield Spread from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if the Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Yield Spread from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return Yield Spread from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Yield Spread from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return Yield Spread from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Yield Spread from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return Yield Spread from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if the Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Yield Spread from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return Yield Spread from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Yield Spread from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return Yield Spread from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Yield Spread from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return Yield Spread from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if the Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Yield Spread from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return Yield Spread from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Yield Spread from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return Yield Spread from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Yield Spread from E Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblESpread E Spread to Work-out
*
* @return Yield Spread from E Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from E Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Maturity
*
* @return Yield Spread from E Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromESpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from E Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblESpread E Spread to Optimal Exercise
*
* @return Yield Spread from E Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromESpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblESpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return Yield Spread from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return Yield Spread from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return Yield Spread from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return Yield Spread from I Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return Yield Spread from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread ISpread to Optimal Exercise
*
* @return Yield Spread from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread J Spread to Work-out
*
* @return Yield Spread from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return Yield Spread from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread JSpread to Optimal Exercise
*
* @return Yield Spread from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from N Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblNSpread N Spread to Work-out
*
* @return Yield Spread from N Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from N Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Maturity
*
* @return Yield Spread from N Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from N Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Optimal Exercise
*
* @return Yield Spread from N Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromNSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return Yield Spread from OAS to Work-out
*
* @throws java.lang.Exception Thrown if the Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Yield Spread from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return Yield Spread from OAS to Maturity
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Yield Spread from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return Yield Spread from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Yield Spread from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return Yield Spread from Price to Work-out
*
* @throws java.lang.Exception Thrown if the Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Yield Spread from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return Yield Spread from Price to Maturity
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Yield Spread from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return Yield Spread from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Yield Spread from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return Yield Spread from PECS to Work-out
*
* @throws java.lang.Exception Thrown if the Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Yield Spread from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return Yield Spread from PECS to Maturity
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Yield Spread from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return Yield Spread from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Yield Spread from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return Yield Spread from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return Yield Spread from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return Yield Spread from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return Yield Spread from Yield to Work-out
*
* @throws java.lang.Exception Thrown if the Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Yield Spread from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return Yield Spread from Yield to Maturity
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Yield Spread from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return Yield Spread from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Yield Spread from Z Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblZSpread Z Spread to Work-out
*
* @return Yield Spread from Z Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from Z Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Maturity
*
* @return Yield Spread from Z Spread to Maturity
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromZSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Yield Spread from Z Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblZSpread Z Spread to Optimal Exercise
*
* @return Yield Spread from Z Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double yieldSpreadFromZSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblZSpread)
throws java.lang.Exception;
/**
* Calculate Z Spread from ASW to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblASW ASW to Work-out
*
* @return Z Spread from ASW to Work-out
*
* @throws java.lang.Exception Thrown if the Z Spread cannot be calculated
*/
public abstract double zSpreadFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Z Spread from ASW to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Maturity
*
* @return Z Spread from ASW to Maturity
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromASW (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Z Spread from ASW to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblASW ASW to Optimal Exercise
*
* @return Z Spread from ASW to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromASWToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblASW)
throws java.lang.Exception;
/**
* Calculate Z Spread from Bond Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblBondBasis Bond Basis to Work-out
*
* @return Z Spread from Bond Basis to Work-out
*
* @throws java.lang.Exception Thrown if the Z Spread cannot be calculated
*/
public abstract double zSpreadFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Z Spread from Bond Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Maturity
*
* @return Z Spread from Bond Basis to Maturity
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromBondBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Z Spread from Bond Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblBondBasis Bond Basis to Optimal Exercise
*
* @return Z Spread from Bond Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromBondBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblBondBasis)
throws java.lang.Exception;
/**
* Calculate Z Spread from Credit Basis to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblCreditBasis Credit Basis to Work-out
*
* @return Z Spread from Credit Basis to Work-out
*
* @throws java.lang.Exception Thrown if the Z Spread cannot be calculated
*/
public abstract double zSpreadFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Z Spread from Credit Basis to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Maturity
*
* @return Z Spread from Credit Basis to Maturity
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromCreditBasis (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Z Spread from Credit Basis to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblCreditBasis Credit Basis to Optimal Exercise
*
* @return Z Spread from Credit Basis to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromCreditBasisToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblCreditBasis)
throws java.lang.Exception;
/**
* Calculate Z Spread from Discount Margin to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblDiscountMargin Discount Margin to Work-out
*
* @return Z Spread from Discount Margin to Work-out
*
* @throws java.lang.Exception Thrown if the Z Spread cannot be calculated
*/
public abstract double zSpreadFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Z Spread from Discount Margin to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Maturity
*
* @return Z Spread from Discount Margin to Maturity
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromDiscountMargin (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Z Spread from Discount Margin to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblDiscountMargin Discount Margin to Optimal Exercise
*
* @return Z Spread from Discount Margin to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromDiscountMarginToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblDiscountMargin)
throws java.lang.Exception;
/**
* Calculate Z Spread from G Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblGSpread G Spread to Work-out
*
* @return Z Spread from G Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Z Spread cannot be calculated
*/
public abstract double zSpreadFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Z Spread from G Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Maturity
*
* @return Z Spread from G Spread to Maturity
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromGSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Z Spread from G Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblGSpread G Spread to Optimal Exercise
*
* @return Z Spread from G Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromGSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblGSpread)
throws java.lang.Exception;
/**
* Calculate Z Spread from I Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblISpread I Spread to Work-out
*
* @return Z Spread from I Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Z Spread cannot be calculated
*/
public abstract double zSpreadFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Z Spread from I Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread I Spread to Maturity
*
* @return Z Spread from I Spread to Maturity
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromISpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Z Spread from I Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblISpread ISpread to Optimal Exercise
*
* @return Z Spread from I Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromISpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblISpread)
throws java.lang.Exception;
/**
* Calculate Z Spread from J Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblJSpread J Spread to Work-out
*
* @return Z Spread from J Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Z Spread cannot be calculated
*/
public abstract double zSpreadFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Z Spread from J Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread J Spread to Maturity
*
* @return Z Spread from J Spread to Maturity
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromJSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Z Spread from J Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblJSpread JSpread to Optimal Exercise
*
* @return Z Spread from J Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromJSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblJSpread)
throws java.lang.Exception;
/**
* Calculate Z Spread from N Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblNSpread N Spread to Work-out
*
* @return Z Spread from N Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Z Spread cannot be calculated
*/
public abstract double zSpreadFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Z Spread from N Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Maturity
*
* @return Z Spread from N Spread to Maturity
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromNSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Z Spread from N Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblNSpread N Spread to Optimal Exercise
*
* @return Z Spread from N Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromNSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblNSpread)
throws java.lang.Exception;
/**
* Calculate Z Spread from OAS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblOAS OAS to Work-out
*
* @return Z Spread from OAS to Work-out
*
* @throws java.lang.Exception Thrown if the Z Spread cannot be calculated
*/
public abstract double zSpreadFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Z Spread from OAS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Maturity
*
* @return Z Spread from OAS to Maturity
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromOAS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Z Spread from OAS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblOAS OAS to Optimal Exercise
*
* @return Z Spread from OAS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromOASToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblOAS)
throws java.lang.Exception;
/**
* Calculate Z Spread from Price to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPrice Price to Work-out
*
* @return Z Spread from Price to Work-out
*
* @throws java.lang.Exception Thrown if the Z Spread cannot be calculated
*/
public abstract double zSpreadFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Z Spread from Price to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Maturity
*
* @return Z Spread from Price to Maturity
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromPrice (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Z Spread from Price to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPrice Price to Optimal Exercise
*
* @return Z Spread from Price to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromPriceToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPrice)
throws java.lang.Exception;
/**
* Calculate Z Spread from PECS to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblPECS PECS to Work-out
*
* @return Z Spread from PECS to Work-out
*
* @throws java.lang.Exception Thrown if the Z Spread cannot be calculated
*/
public abstract double zSpreadFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Z Spread from PECS to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Maturity
*
* @return Z Spread from PECS to Maturity
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromPECS (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Z Spread from PECS to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblPECS PECS to Optimal Exercise
*
* @return Z Spread from PECS to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromPECSToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblPECS)
throws java.lang.Exception;
/**
* Calculate Z Spread from TSY Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblTSYSpread TSY Spread to Work-out
*
* @return Z Spread from TSY Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Z Spread cannot be calculated
*/
public abstract double zSpreadFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Z Spread from TSY Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Maturity
*
* @return Z Spread from TSY Spread to Maturity
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromTSYSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Z Spread from TSY Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblTSYSpread TSY Spread to Optimal Exercise
*
* @return Z Spread from TSY Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromTSYSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblTSYSpread)
throws java.lang.Exception;
/**
* Calculate Z Spread from Yield to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYield Yield to Work-out
*
* @return Z Spread from Yield to Work-out
*
* @throws java.lang.Exception Thrown if the Z Spread cannot be calculated
*/
public abstract double zSpreadFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Z Spread from Yield to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Maturity
*
* @return Z Spread from Yield to Maturity
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromYield (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Z Spread from Yield to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYield Yield to Optimal Exercise
*
* @return Z Spread from Yield to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromYieldToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYield)
throws java.lang.Exception;
/**
* Calculate Z Spread from Yield Spread to Work-out
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param iWorkoutDate Work-out Date
* @param dblWorkoutFactor Work-out Factor
* @param dblYieldSpread Yield Spread to Work-out
*
* @return Z Spread from Yield Spread to Work-out
*
* @throws java.lang.Exception Thrown if the Z Spread cannot be calculated
*/
public abstract double zSpreadFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final int iWorkoutDate,
final double dblWorkoutFactor,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Z Spread from Yield Spread to Maturity
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Maturity
*
* @return Z Spread from Yield Spread to Maturity
*
* @throws java.lang.Exception Thrown if Z Spread cannot be calculated
*/
public abstract double zSpreadFromYieldSpread (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate Z Spread from Yield Spread to Optimal Exercise
*
* @param valParams Valuation Parameters
* @param csqs Market Parameters
* @param vcp Valuation Customization Parameters
* @param dblYieldSpread Yield Spread to Optimal Exercise
*
* @return Z Spread from Yield Spread to Optimal Exercise
*
* @throws java.lang.Exception Thrown if Yield Spread cannot be calculated
*/
public abstract double zSpreadFromYieldSpreadToOptimalExercise (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final double dblYieldSpread)
throws java.lang.Exception;
/**
* Calculate the full set of Bond RV Measures from the Price Input
*
* @param valParams ValuationParams
* @param pricerParams Pricing Parameters
* @param csqs Bond market parameters
* @param vcp Valuation Customization Parameters
* @param wi Work out Information
* @param dblPrice Input Price
*
* @return Bond RV Measure Set
*/
public abstract org.drip.analytics.output.BondRVMeasures standardMeasures (
final org.drip.param.valuation.ValuationParams valParams,
final org.drip.param.pricer.CreditPricerParams pricerParams,
final org.drip.param.market.CurveSurfaceQuoteContainer csqs,
final org.drip.param.valuation.ValuationCustomizationParams vcp,
final org.drip.param.valuation.WorkoutInfo wi,
final double dblPrice);
/**
* Display all the coupon periods onto stdout
*
* @throws java.lang.Exception Thrown if the coupon periods cannot be displayed onto stdout
*/
public abstract void showPeriods()
throws java.lang.Exception;
}