public class Bond extends CreditComponent
| Modifier and Type | Class and Description |
|---|---|
class |
Bond.BondCalibrator
The BondCalibrator implements a calibrator that calibrates the yield, the credit basis, or the Z
Spread for the bond given the price input.
|
| Modifier and Type | Field and Description |
|---|---|
BondCurrencyParams |
_ccyParams
Bond Currency Parameters
|
BondCFTerminationEvent |
_cfteParams
Bond CF Termination Event Parameters
|
BondCouponParams |
_cpnParams
Bond Coupon Parameters
|
CompCRValParams |
_crValParams
Bond Credit Valuation Parameters
|
BondFloaterParams |
_fltParams
Bond Floater Parameters
|
BondIdentifierParams |
_idParams
Bond Identifier Parameters
|
BondIRValuationParams |
_irValParams
Bond IR Valuation Parameters
|
java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> |
_mmFixings
Double map of date/rate index and fixings
|
BondNotionalParams |
_notlParams
Bond Notional Parameters
|
BondFixedPeriodGenerationParams |
_periodParams
Bond Fixed Period Generation Parameters
|
QuotingParams |
_quotingParams
Bond Quoting Parameters
|
BondTSYParams |
_tsyParams
Bond Treasury Parameters
|
NULL_SER_STRING, VERSION
| Constructor and Description |
|---|
Bond()
Constructor: Constructs an empty bond object
|
Bond(byte[] ab)
Bond de-serialization from input byte array
|
| Modifier and Type | Method and Description |
|---|---|
double |
calcAccrued(double dblDate,
ComponentMarketParams mktParams)
Calculate the bond's accrued for the period identified by the valuation date
|
double |
calcBondBasisFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the Bond Basis from credit basis to Maturity
|
double |
calcBondBasisFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the Bond Basis from credit basis to Work-out
|
double |
calcBondBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the Bond Basis from Discount Margin to Maturity
|
double |
calcBondBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the Bond Basis from Discount Margin to Work-out
|
double |
calcBondBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Bond Basis from G Spread to Maturity
|
double |
calcBondBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the Bond Basis from G Spread to Work-out
|
double |
calcBondBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Bond Basis from I Spread to Maturity
|
double |
calcBondBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the Bond Basis from I Spread to Work-out
|
double |
calcBondBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the Bond Basis from Option Adjusted Spread to Maturity
|
double |
calcBondBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the Bond Basis from Option Adjusted Spread to Work-out
|
double |
calcBondBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Bond Basis from Par ASW to Maturity
|
double |
calcBondBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the Bond Basis from Par ASW to Work-out
|
double |
calcBondBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Basis from PECS to Maturity
|
double |
calcBondBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Basis from PECS to Work-out
|
double |
calcBondBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Bond Basis to maturity from price
|
double |
calcBondBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the Bond Basis to Work-out from price
|
double |
calcBondBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Bond Basis from spread treasury benchmark to Maturity
|
double |
calcBondBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the Bond Basis from spread treasury benchmark to Work-out
|
double |
calcBondBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Basis from yield to maturity
|
double |
calcBondBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the Bond Basis from Yield to work-out
|
double |
calcBondBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond Basis from Yield Spread to Maturity
|
double |
calcBondBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the Bond Basis from Yield Spread to Work-out
|
double |
calcBondBasisFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Basis from yield to maturity
|
double |
calcBondBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Bond Basis from Z Spread to Maturity
|
double |
calcBondBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the Bond Basis from Z Spread to Work-out
|
double |
calcConvexityFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the Bond Convexity from Bond Basis to maturity
|
double |
calcConvexityFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the Bond Convexity from Bond Basis to Work-out
|
double |
calcConvexityFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond convexity from credit basis to Maturity
|
double |
calcConvexityFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond convexity from credit basis to Work-out
|
double |
calcConvexityFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond convexity from Discount Margin to Maturity
|
double |
calcConvexityFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond convexity from Discount Margin to Work-out
|
double |
calcConvexityFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond convexity from G Spread to Maturity
|
double |
calcConvexityFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond convexity from G Spread to Work-out
|
double |
calcConvexityFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond convexity from I Spread to Maturity
|
double |
calcConvexityFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond convexity from I Spread to Work-out
|
double |
calcConvexityFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond convexity from Option Adjusted Spread to maturity
|
double |
calcConvexityFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond convexity from Option Adjusted Spread to Work-out
|
double |
calcConvexityFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond convexity from Par ASW to Maturity
|
double |
calcConvexityFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond convexity from Par ASW to Work-out
|
double |
calcConvexityFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Convexity from credit basis to Maturity
|
double |
calcConvexityFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Convexity from PECS to Work-out
|
double |
calcConvexityFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond convexity to maturity from price
|
double |
calcConvexityFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond convexity to Work-out from price
|
double |
calcConvexityFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond convexity from spread treasury benchmark to Maturity
|
double |
calcConvexityFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond convexity from spread treasury benchmark to Work-out
|
double |
calcConvexityFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond convexity from Yield to maturity
|
double |
calcConvexityFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond convexity from Work-out Yield
|
double |
calcConvexityFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond Convexity from Yield Spread to maturity
|
double |
calcConvexityFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the Bond Convexity from Yield Spread to Work-out
|
double |
calcConvexityFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond convexity from Yield to maturity
|
double |
calcConvexityFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond convexity from Z Spread to maturity
|
double |
calcConvexityFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond convexity from Z Spread to Work-out
|
double |
calcCreditBasisFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond credit basis from Bond Basis to maturity
|
double |
calcCreditBasisFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond credit basis from Bond Basis to Work-out
|
double |
calcCreditBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Credit Basis from Discount Margin to Maturity
|
double |
calcCreditBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond Credit Basis from Discount Margin to Work-out
|
double |
calcCreditBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Credit Basis from G Spread to Maturity
|
double |
calcCreditBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Credit Basis from G Spread to Work-out
|
double |
calcCreditBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Credit Basis from I Spread to Maturity
|
double |
calcCreditBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Credit Basis from I Spread to Work-out
|
double |
calcCreditBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond credit basis from Option Adjusted Spread to maturity
|
double |
calcCreditBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond credit basis from Option Adjusted Spread to Work-out
|
double |
calcCreditBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Credit Basis from Par ASW to Maturity
|
double |
calcCreditBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Credit Basis from Par ASW to Work-out
|
double |
calcCreditBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Credit Basis from PECS to Maturity
|
double |
calcCreditBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Credit Basis from PECS to Work-out
|
double |
calcCreditBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond credit basis to maturity from price
|
double |
calcCreditBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond credit basis to Work-out from price
|
double |
calcCreditBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Credit Basis from spread treasury benchmark to Maturity
|
double |
calcCreditBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond Credit Basis from spread treasury benchmark to Work-out
|
double |
calcCreditBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond credit basis from Yield to maturity
|
double |
calcCreditBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond credit basis from Yield to work-out
|
double |
calcCreditBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond credit basis from Yield Spread to maturity
|
double |
calcCreditBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond credit basis from Yield Spread to Work-out
|
double |
calcCreditBasisFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond credit basis from Yield to maturity
|
double |
calcCreditBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond credit basis from Z Spread to maturity
|
double |
calcCreditBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond credit basis from Z Spread to Work-out
|
JulianDate |
calcCurrentCouponDate(JulianDate dt)
Returns the coupon date for the period containing the specified date
|
double |
calcCurrentCouponRate(JulianDate dt,
ComponentMarketParams mktParams)
Returns the coupon rate for the period corresponding to the specified date
|
double |
calcDiscountMarginFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Discount Margin from Bond Basis to maturity
|
double |
calcDiscountMarginFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond Discount Margin from Bond Basis to Work-out
|
double |
calcDiscountMarginFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Discount Margin from credit basis to Maturity
|
double |
calcDiscountMarginFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond Discount Margin from credit basis to Work-out
|
double |
calcDiscountMarginFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond Discount Margin from G Spread to Maturity
|
double |
calcDiscountMarginFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Discount Margin from G Spread to Work-out
|
double |
calcDiscountMarginFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond Discount Margin from Option Adjusted Spread to maturity
|
double |
calcDiscountMarginFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond Discount Margin from Option Adjusted Spread to Work-out
|
double |
calcDiscountMarginFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond Discount Margin from Par ASW to Maturity
|
double |
calcDiscountMarginFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Discount Margin from Par ASW to Work-out
|
double |
calcDiscountMarginFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Discount Margin from PECS to Maturity
|
double |
calcDiscountMarginFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Discount Margin from PECS to Work-out
|
double |
calcDiscountMarginFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond Discount Margin to maturity from price
|
double |
calcDiscountMarginFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond Discount Margin to Work-out from price
|
double |
calcDiscountMarginFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond Discount Margin from spread treasury benchmark to Maturity
|
double |
calcDiscountMarginFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond Discount Margin from spread treasury benchmark to Work-out
|
double |
calcDiscountMarginFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond Discount Margin from Yield to maturity
|
double |
calcDiscountMarginFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond Discount Margin from Work-out Yield
|
double |
calcDiscountMarginFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond Discount Margin from Yield Spread to maturity
|
double |
calcDiscountMarginFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond Discount Margin from Yield Spread to Work-out
|
double |
calcDiscountMarginFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond Discount Margin from Yield to maturity
|
double |
calcDiscountMarginFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond Discount Margin from Z Spread to maturity
|
double |
calcDiscountMarginFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond Discount Margin from Z Spread to Work-out
|
double |
calcDurationFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond duration from Bond Basis to maturity
|
double |
calcDurationFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond duration from Bond Basis to Work-out
|
double |
calcDurationFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond Duration from credit basis to Maturity
|
double |
calcDurationFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond Duration from credit basis to Work-out
|
double |
calcDurationFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Duration from Discount Margin to Maturity
|
double |
calcDurationFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond Duration from Discount Margin to Work-out
|
double |
calcDurationFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Duration from G Spread to Maturity
|
double |
calcDurationFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Duration from G Spread to Work-out
|
double |
calcDurationFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Duration from I Spread to Maturity
|
double |
calcDurationFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Duration from I Spread to Work-out
|
double |
calcDurationFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond duration from Option Adjusted Spread to maturity
|
double |
calcDurationFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond duration from Option Adjusted Spread to Work-out
|
double |
calcDurationFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Duration from Par ASW to Maturity
|
double |
calcDurationFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Duration from Par ASW to Work-out
|
double |
calcDurationFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Duration from PECS to Maturity
|
double |
calcDurationFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Duration from PECS to Work-out
|
double |
calcDurationFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond duration to maturity from price
|
double |
calcDurationFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond duration to Work-out from price
|
double |
calcDurationFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond duration from spread treasury benchmark to Maturity
|
double |
calcDurationFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond duration from spread treasury benchmark to Work-out
|
double |
calcDurationFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond duration from Yield to maturity
|
double |
calcDurationFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond duration from Work-out Yield
|
double |
calcDurationFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond Duration from Yield Spread to maturity
|
double |
calcDurationFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond duration from Yield Spread to Work-out
|
double |
calcDurationFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond duration from Yield to maturity
|
double |
calcDurationFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond duration from Z Spread to maturity
|
double |
calcDurationFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond duration from Z Spread to Work-out
|
double |
calcExerciseBondBasisFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the Bond Basis from credit basis to Exercise
|
double |
calcExerciseBondBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the Bond Basis from Discount Margin to Exercise
|
double |
calcExerciseBondBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Bond Basis from G Spread to Exercise
|
double |
calcExerciseBondBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Bond Basis from I Spread to Exercise
|
double |
calcExerciseBondBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the Bond Basis from Option Adjusted Spread to Exercise
|
double |
calcExerciseBondBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Bond Basis from Par ASW to Exercise
|
double |
calcExerciseBondBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Basis from PECS to Exercise
|
double |
calcExerciseBondBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Bond Basis to exercise from price
|
double |
calcExerciseBondBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Bond Basis from spread treasury benchmark to Exercise
|
double |
calcExerciseBondBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Basis from yield to exercise
|
double |
calcExerciseBondBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond Basis from Yield Spread to Exercise
|
double |
calcExerciseBondBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Bond Basis from Z Spread to Exercise
|
double |
calcExerciseConvexityFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond convexity from Bond Basis to exercise
|
double |
calcExerciseConvexityFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond convexity from credit basis to Exercise
|
double |
calcExerciseConvexityFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond convexity from Discount Margin to Exercise
|
double |
calcExerciseConvexityFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond convexity from G Spread to Exercise
|
double |
calcExerciseConvexityFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond convexity from I Spread to Exercise
|
double |
calcExerciseConvexityFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond convexity from Option Adjusted Spread to exercise
|
double |
calcExerciseConvexityFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond convexity from Par ASW to Exercise
|
double |
calcExerciseConvexityFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Convexity from credit basis to Exercise
|
double |
calcExerciseConvexityFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond convexity to exercise from price
|
double |
calcExerciseConvexityFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond convexity from spread treasury benchmark to Exercise
|
double |
calcExerciseConvexityFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond convexity from Yield to exercise
|
double |
calcExerciseConvexityFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond convexity from Yield Spread to exercise
|
double |
calcExerciseConvexityFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond convexity from Z Spread to exercise
|
double |
calcExerciseCreditBasisFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond credit basis from Bond Basis to exercise
|
double |
calcExerciseCreditBasisFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Credit Basis from Discount Margin to Exercise
|
double |
calcExerciseCreditBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Credit Basis from G Spread to Exercise
|
double |
calcExerciseCreditBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Credit Basis from I Spread to Exercise
|
double |
calcExerciseCreditBasisFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond credit basis from Option Adjusted Spread to exercise
|
double |
calcExerciseCreditBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Credit Basis from Par ASW to Exercise
|
double |
calcExerciseCreditBasisFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Credit Basis from PECS to Exercise
|
double |
calcExerciseCreditBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond credit basis to exercise from price
|
double |
calcExerciseCreditBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Credit Basis from spread treasury benchmark to Exercise
|
double |
calcExerciseCreditBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond credit basis from Yield to exercise
|
double |
calcExerciseCreditBasisFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond credit basis from Yield Spread to exercise
|
double |
calcExerciseCreditBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond credit basis from Z Spread to exercise
|
double |
calcExerciseDiscountMarginFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Discount Margin from Bond Basis to exercise
|
double |
calcExerciseDiscountMarginFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Discount Margin from credit basis to Exercise
|
double |
calcExerciseDiscountMarginFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond Discount Margin from G Spread to Exercise
|
double |
calcExerciseDiscountMarginFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond Discount Margin from Option Adjusted Spread to exercise
|
double |
calcExerciseDiscountMarginFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond Discount Margin from Par ASW to Exercise
|
double |
calcExerciseDiscountMarginFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Discount Margin from PECS to Exercise
|
double |
calcExerciseDiscountMarginFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond Discount Margin to exercise from price
|
double |
calcExerciseDiscountMarginFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond Discount Margin from spread treasury benchmark to Exercise
|
double |
calcExerciseDiscountMarginFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond Discount Margin from Yield to exercise
|
double |
calcExerciseDiscountMarginFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond Discount Margin from Yield Spread to exercise
|
double |
calcExerciseDiscountMarginFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond Discount Margin from Z Spread to exercise
|
double |
calcExerciseDurationFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond duration from Bond Basis to exercise
|
double |
calcExerciseDurationFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond Duration from credit basis to Exercise
|
double |
calcExerciseDurationFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Duration from Discount Margin to Exercise
|
double |
calcExerciseDurationFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Duration from G Spread to Exercise
|
double |
calcExerciseDurationFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Duration from I Spread to Exercise
|
double |
calcExerciseDurationFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond duration from Option Adjusted Spread to exercise
|
double |
calcExerciseDurationFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Duration from Par ASW to Exercise
|
double |
calcExerciseDurationFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Duration from PECS to Exercise
|
double |
calcExerciseDurationFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond duration to exercise from price
|
double |
calcExerciseDurationFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond duration from spread treasury benchmark to Exercise
|
double |
calcExerciseDurationFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond duration from Yield to exercise
|
double |
calcExerciseDurationFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Duration from Yield Spread to exercise
|
double |
calcExerciseDurationFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond duration from Z Spread to exercise
|
double |
calcExerciseGSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond G Spread from Bond Basis to Exercise
|
double |
calcExerciseGSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond G Spread from credit basis to Exercise
|
double |
calcExerciseGSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblDiscountMargin)
Calculate the bond G Spread from Discount Margin to Exercise
|
double |
calcExerciseGSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond G Spread from I Spread to Exercise
|
double |
calcExerciseGSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond G Spread from Option Adjusted Spread to Exercise
|
double |
calcExerciseGSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond G Spread from Par ASW to Exercise
|
double |
calcExerciseGSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond G Spread from PECS to Exercise
|
double |
calcExerciseGSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond G spread to exercise from price
|
double |
calcExerciseGSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond G Spread from spread treasury benchmark to Exercise
|
double |
calcExerciseGSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond G spread from Yield to exercise
|
double |
calcExerciseGSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond G Spread from Yield Spread to Exercise
|
double |
calcExerciseGSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond G Spread from Z Spread to Exercise
|
double |
calcExerciseISpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond I Spread from Bond Basis to exercise
|
double |
calcExerciseISpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond I Spread from credit basis to Exercise
|
double |
calcExerciseISpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond I Spread from G Spread to Exercise
|
double |
calcExerciseISpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond I Spread from Option Adjusted Spread to exercise
|
double |
calcExerciseISpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond I Spread from Par ASW to Exercise
|
double |
calcExerciseISpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond I Spread from PECS to Exercise
|
double |
calcExerciseISpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond I spread to exercise from price
|
double |
calcExerciseISpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond I Spread from spread treasury benchmark to Exercise
|
double |
calcExerciseISpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond I spread from Yield to exercise
|
double |
calcExerciseISpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond I Spread from Yield Spread to exercise
|
double |
calcExerciseISpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond I Spread from Z Spread to exercise
|
double |
calcExerciseOASFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Option Adjusted Spread from Bond Basis to exercise
|
double |
calcExerciseOASFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Option Adjusted Spread from credit basis to Exercise
|
double |
calcExerciseOASFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Option Adjusted Spread from Discount Margin to Exercise
|
double |
calcExerciseOASFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Option Adjusted Spread from G Spread to Exercise
|
double |
calcExerciseOASFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Option Adjusted Spread from I Spread to Exercise
|
double |
calcExerciseOASFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Option Adjusted Spread from Par ASW to Exercise
|
double |
calcExerciseOASFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the bond Option Adjusted Spread from PECS to Exercise
|
double |
calcExerciseOASFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond Option Adjusted spread to exercise from price
|
double |
calcExerciseOASFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Option Adjusted Spread from spread treasury benchmark to Exercise
|
double |
calcExerciseOASFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Option Adjusted Spread from yield to exercise
|
double |
calcExerciseOASFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond Option Adjusted Spread from Yield Spread to exercise
|
double |
calcExerciseOASFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond OAS from Z Spread to Exercise
|
double |
calcExerciseParASWFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the Bond Par ASW from Bond Basis to exercise
|
double |
calcExerciseParASWFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond par ASW from credit basis to Exercise
|
double |
calcExerciseParASWFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Par ASW from Discount Margin to Exercise
|
double |
calcExerciseParASWFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Par ASW from G Spread to Exercise
|
double |
calcExerciseParASWFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Par ASW from I Spread to Exercise
|
double |
calcExerciseParASWFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond par ASW from Option Adjusted Spread to exercise
|
double |
calcExerciseParASWFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Par ASW from PECS to Exercise
|
double |
calcExerciseParASWFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond par ASW to exercise from price
|
double |
calcExerciseParASWFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond par ASW from spread treasury benchmark to Exercise
|
double |
calcExerciseParASWFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond par ASW from Yield to exercise
|
double |
calcExerciseParASWFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond Par ASW from Yield Spread to exercise
|
double |
calcExerciseParASWFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond par ASW from Z Spread to exercise
|
double |
calcExercisePECSFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the Bond PECS from Bond Basis to exercise
|
double |
calcExercisePECSFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the Bond PECS from credit basis to Exercise
|
double |
calcExercisePECSFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the Bond PECS from Discount Margin to Exercise
|
double |
calcExercisePECSFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Bond PECS from G Spread to Exercise
|
double |
calcExercisePECSFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Bond PECS from I Spread to Exercise
|
double |
calcExercisePECSFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the Bond PECS from Option Adjusted Spread to exercise
|
double |
calcExercisePECSFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Bond PECS from Par ASW to Exercise
|
double |
calcExercisePECSFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Bond PECS to exercise from price
|
double |
calcExercisePECSFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Bond PECS from spread treasury benchmark to Exercise
|
double |
calcExercisePECSFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the Bond PECS from Yield to exercise
|
double |
calcExercisePECSFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond PECS from Yield Spread to exercise
|
double |
calcExercisePECSFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Bond PECS from Z Spread to exercise
|
double |
calcExercisePriceFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond price from Bond Basis to Exercise
|
double |
calcExercisePriceFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond price from credit basis to Exercise
|
double |
calcExercisePriceFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond price from Discount Margin to Exercise
|
double |
calcExercisePriceFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond price from G Spread to Exercise
|
double |
calcExercisePriceFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond price from I Spread to Exercise
|
double |
calcExercisePriceFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond price from Option Adjusted Spread to Exercise
|
double |
calcExercisePriceFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond price from Par ASW to Exercise
|
double |
calcExercisePriceFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Price from PECS to Exercise
|
double |
calcExercisePriceFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond price from spread treasury benchmark to Exercise
|
double |
calcExercisePriceFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond price from exercise yield
|
double |
calcExercisePriceFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond price from Yield Spread to Exercise
|
double |
calcExercisePriceFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond price from Z Spread to Exercise
|
double |
calcExerciseTSYSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond spread to treasury from Bond Basis to exercise
|
double |
calcExerciseTSYSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Spread to Treasury from credit basis to Exercise
|
double |
calcExerciseTSYSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblDiscountMargin)
Calculate the bond Spread to Treasury from Discount Margin to Exercise
|
double |
calcExerciseTSYSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond Spread to Treasury from G Spread to Exercise
|
double |
calcExerciseTSYSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond Spread to Treasury from I Spread to Exercise
|
double |
calcExerciseTSYSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond spread to treasury from Option Adjusted Spread to exercise
|
double |
calcExerciseTSYSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Spread to Treasury Benchmark from Par ASW to Exercise
|
double |
calcExerciseTSYSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Spread to Treasury from PECS to Exercise
|
double |
calcExerciseTSYSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond spread to treasury to exercise from price
|
double |
calcExerciseTSYSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond spread to treasury from exercise Yield
|
double |
calcExerciseTSYSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond spread to treasury from Yield Spread to exercise
|
double |
calcExerciseTSYSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond spread to treasury from Z Spread to exercise
|
double |
calcExerciseYieldFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond yield from Bond Basis to Exercise
|
double |
calcExerciseYieldFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond yield from credit basis to Exercise
|
double |
calcExerciseYieldFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblDiscountMargin)
Calculate the bond yield from Discount Margin to Exercise
|
double |
calcExerciseYieldFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond yield from G Spread to Exercise
|
double |
calcExerciseYieldFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond yield from I Spread to Exercise
|
double |
calcExerciseYieldFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond yield from Option Adjusted Spread to Exercise
|
double |
calcExerciseYieldFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond yield from Par ASW to Exercise
|
double |
calcExerciseYieldFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Yield from PECS to Exercise
|
WorkoutInfo |
calcExerciseYieldFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond yield to exercise from price
|
double |
calcExerciseYieldFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond yield from spread treasury benchmark to Exercise
|
double |
calcExerciseYieldFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond yield from Yield Spread to Exercise
|
double |
calcExerciseYieldFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond yield from Z Spread to Exercise
|
double |
calcExerciseYieldSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Yield Spread from Bond Basis to Exercise
|
double |
calcExerciseYieldSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the Yield Spread from credit basis to Exercise
|
double |
calcExerciseYieldSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the Yield Spread from Discount Margin to Exercise
|
double |
calcExerciseYieldSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Yield Spread from G Spread to Exercise
|
double |
calcExerciseYieldSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Yield Spread from I Spread to Exercise
|
double |
calcExerciseYieldSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the Yield Spread from Option Adjusted Spread to Exercise
|
double |
calcExerciseYieldSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Yield Spread from Par ASW to Exercise
|
double |
calcExerciseYieldSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Yield Spread from PECS to Exercise
|
double |
calcExerciseYieldSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Yield Spread to exercise from price
|
double |
calcExerciseYieldSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Yield Spread from spread treasury benchmark to Exercise
|
double |
calcExerciseYieldSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the Yield Spread from yield to exercise
|
double |
calcExerciseYieldSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Yield Spread from Z Spread to Exercise
|
double |
calcExerciseZSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Z Spread from Bond Basis to exercise
|
double |
calcExerciseZSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Z Spread from credit basis to Exercise
|
double |
calcExerciseZSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Z Spread from Discount Margin to Exercise
|
double |
calcExerciseZSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Z Spread from G Spread to Exercise
|
double |
calcExerciseZSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Z Spread from I Spread to Exercise
|
double |
calcExerciseZSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond z spread to exercise from OAS
|
double |
calcExerciseZSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Z Spread from Par ASW to Exercise
|
double |
calcExerciseZSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Z Spread from PECS to Exercise
|
double |
calcExerciseZSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond z spread to exercise from price
|
double |
calcExerciseZSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Z Spread from spread treasury benchmark to Exercise
|
double |
calcExerciseZSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Z Spread from yield to exercise
|
double |
calcExerciseZSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond Z Spread from Yield Spread to exercise
|
double |
calcGSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond G Spread from Bond Basis to Maturity
|
double |
calcGSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond G Spread from Bond Basis to Work-out
|
double |
calcGSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond G Spread from credit basis to Maturity
|
double |
calcGSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond G Spread from credit basis to Work-out
|
double |
calcGSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblDiscountMargin)
Calculate the bond G Spread from Discount Margin to Maturity
|
double |
calcGSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond G Spread from Discount Margin to Work-out
|
double |
calcGSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond G Spread from I Spread to Maturity
|
double |
calcGSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond G Spread from I Spread to Work-out
|
double |
calcGSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond G Spread from Option Adjusted Spread to Maturity
|
double |
calcGSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond G Spread from Option Adjusted Spread to Work-out
|
double |
calcGSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond G Spread from Par ASW to Maturity
|
double |
calcGSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond G Spread from Par ASW to Work-out
|
double |
calcGSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond G Spread from PECS to Maturity
|
double |
calcGSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond G Spread from PECS to Work-out
|
double |
calcGSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond G spread to maturity from price
|
double |
calcGSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond G spread to Work-out from price
|
double |
calcGSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond G Spread from spread treasury benchmark to Maturity
|
double |
calcGSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond G Spread from spread treasury benchmark to Work-out
|
double |
calcGSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond G spread from Yield to maturity
|
double |
calcGSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond G spread from Work-out Yield
|
double |
calcGSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond G Spread from Yield Spread to Maturity
|
double |
calcGSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond G Spread from Yield Spread to Work-out
|
double |
calcGSpreadFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond G spread from Yield to maturity
|
double |
calcGSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond G Spread from Z Spread to Maturity
|
double |
calcGSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond G Spread from Z Spread to Work-out
|
double |
calcISpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond I Spread from Bond Basis to maturity
|
double |
calcISpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond I Spread from Bond Basis to Work-out
|
double |
calcISpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond I Spread from credit basis to Maturity
|
double |
calcISpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond I Spread from credit basis to Work-out
|
double |
calcISpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond I Spread from G Spread to Maturity
|
double |
calcISpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond I Spread from G Spread to Work-out
|
double |
calcISpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond I Spread from Option Adjusted Spread to maturity
|
double |
calcISpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond I Spread from Option Adjusted Spread to Work-out
|
double |
calcISpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond I Spread from Par ASW to Maturity
|
double |
calcISpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond I Spread from Par ASW to Work-out
|
double |
calcISpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond I Spread from PECS to Maturity
|
double |
calcISpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond I Spread from PECS to Work-out
|
double |
calcISpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond I spread to maturity from price
|
double |
calcISpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond I spread to Work-out from price
|
double |
calcISpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond I Spread from spread treasury benchmark to Maturity
|
double |
calcISpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond I Spread from spread treasury benchmark to Work-out
|
double |
calcISpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond I spread from Yield to maturity
|
double |
calcISpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond I spread from Work-out Yield
|
double |
calcISpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond I Spread from Yield Spread to maturity
|
double |
calcISpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond I Spread from Yield Spread to Work-out
|
double |
calcISpreadFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond I spread from Yield to maturity
|
double |
calcISpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond I Spread from Z Spread to maturity
|
double |
calcISpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond I Spread from Z Spread to Work-out
|
JulianDate |
calcNextCouponDate(JulianDate dt)
Returns the coupon date for the period subsequent to the specified date
|
double |
calcNextCouponRate(JulianDate dt,
ComponentMarketParams mktParams)
Returns the coupon rate for the period subsequent to the specified date
|
NextExerciseInfo |
calcNextValidExerciseDateOfType(JulianDate dt,
boolean bGetPut)
Returns the next exercise info of the given exercise type (call/put) subsequent to the specified date
|
NextExerciseInfo |
calcNextValidExerciseInfo(JulianDate dt)
Returns the next exercise info subsequent to the specified date
|
double |
calcOASFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Option Adjusted Spread from Bond Basis to maturity
|
double |
calcOASFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond Option Adjusted Spread from Bond Basis to work-out
|
double |
calcOASFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Option Adjusted Spread from credit basis to Maturity
|
double |
calcOASFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond Option Adjusted Spread from credit basis to Work-out
|
double |
calcOASFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Option Adjusted Spread from Discount Margin to Maturity
|
double |
calcOASFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond Option Adjusted Spread from Discount Margin to Work-out
|
double |
calcOASFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Option Adjusted Spread from G Spread to Maturity
|
double |
calcOASFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Option Adjusted Spread from G Spread to Work-out
|
double |
calcOASFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Option Adjusted Spread from I Spread to Maturity
|
double |
calcOASFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Option Adjusted Spread from I Spread to Work-out
|
double |
calcOASFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Option Adjusted Spread from Par ASW to Maturity
|
double |
calcOASFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Option Adjusted Spread from Par ASW to Work-out
|
double |
calcOASFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the bond Option Adjusted Spread from PECS to Maturity
|
double |
calcOASFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Option Adjusted Spread from PECS to Work-out
|
double |
calcOASFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond Option Adjusted spread to maturity from price
|
double |
calcOASFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond Option Adjusted spread to Work-out from price
|
double |
calcOASFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Option Adjusted Spread from spread treasury benchmark to Maturity
|
double |
calcOASFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond Option Adjusted Spread from spread treasury benchmark to Work-out
|
double |
calcOASFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Option Adjusted Spread from yield to maturity
|
double |
calcOASFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond Option Adjusted Spread from Yield to work-out
|
double |
calcOASFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond Option Adjusted Spread from Yield Spread to maturity
|
double |
calcOASFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond Option Adjusted Spread from Yield Spread to work-out
|
double |
calcOASFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Option Adjusted Spread from yield to maturity
|
double |
calcOASFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond OAS from Z Spread to Maturity
|
double |
calcOASFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the Bond Option Adjusted Spread from Z Spread to Work-out
|
double |
calcParASWFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the Bond Par ASW from Bond Basis to maturity
|
double |
calcParASWFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the Bond Par ASW from Bond Basis to Work-out
|
double |
calcParASWFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond par ASW from credit basis to Maturity
|
double |
calcParASWFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond par ASW from credit basis to Work-out
|
double |
calcParASWFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Par ASW from Discount Margin to Maturity
|
double |
calcParASWFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond Par ASW from Discount Margin to Work-out
|
double |
calcParASWFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Par ASW from G Spread to Maturity
|
double |
calcParASWFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Par ASW from G Spread to Work-out
|
double |
calcParASWFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Par ASW from I Spread to Maturity
|
double |
calcParASWFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Par ASW from I Spread to Work-out
|
double |
calcParASWFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond par ASW from Option Adjusted Spread to maturity
|
double |
calcParASWFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond par ASW from Option Adjusted Spread to Work-out
|
double |
calcParASWFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblPECS)
Calculate the Bond Par ASW from credit basis to Maturity
|
double |
calcParASWFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Par ASW from PECS to Work-out
|
double |
calcParASWFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond par ASW to maturity from price
|
double |
calcParASWFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond par ASW to Work-out from price
|
double |
calcParASWFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond par ASW from spread treasury benchmark to Maturity
|
double |
calcParASWFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond par ASW from spread treasury benchmark to Work-out
|
double |
calcParASWFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond par ASW from Yield to maturity
|
double |
calcParASWFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond par ASW from Work-out Yield
|
double |
calcParASWFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond Par ASW from Yield Spread to maturity
|
double |
calcParASWFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the Bond Par ASW from Yield Spread to Work-out
|
double |
calcParASWFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond par ASW from Yield to maturity
|
double |
calcParASWFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond par ASW from Z Spread to maturity
|
double |
calcParASWFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond par ASW from Z Spread to Work-out
|
double |
calcPECSFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the Bond PECS from Bond Basis to maturity
|
double |
calcPECSFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the Bond PECS from Bond Basis to Work-out
|
double |
calcPECSFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the Bond PECS from credit basis to Maturity
|
double |
calcPECSFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the Bond PECS from credit basis to Work-out
|
double |
calcPECSFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the Bond PECS from Discount Margin to Maturity
|
double |
calcPECSFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the Bond PECS from Discount Margin to Work-out
|
double |
calcPECSFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Bond PECS from G Spread to Maturity
|
double |
calcPECSFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the Bond PECS from G Spread to Work-out
|
double |
calcPECSFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Bond PECS from I Spread to Maturity
|
double |
calcPECSFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the Bond PECS from I Spread to Work-out
|
double |
calcPECSFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the Bond PECS from Option Adjusted Spread to maturity
|
double |
calcPECSFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the Bond PECS from Option Adjusted Spread to Work-out
|
double |
calcPECSFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Bond PECS from Par ASW to Maturity
|
double |
calcPECSFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the Bond PECS from Par ASW to Work-out
|
double |
calcPECSFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Bond PECS to maturity from price
|
double |
calcPECSFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the Bond PECS to Work-out from price
|
double |
calcPECSFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Bond PECS from spread treasury benchmark to Maturity
|
double |
calcPECSFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the Bond PECS from spread treasury benchmark to Work-out
|
double |
calcPECSFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the Bond PECS from Yield to maturity
|
double |
calcPECSFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the Bond PECS from Yield to work-out
|
double |
calcPECSFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the Bond PECS from Yield Spread to maturity
|
double |
calcPECSFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the Bond PECS from Yield Spread to Work-out
|
double |
calcPECSFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the Bond PECS from Yield to maturity
|
double |
calcPECSFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Bond PECS from Z Spread to maturity
|
double |
calcPECSFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the Bond PECS from Z Spread to Work-out
|
JulianDate |
calcPreviousCouponDate(JulianDate dt)
Returns the coupon date for the period prior to the specified date
|
double |
calcPreviousCouponRate(JulianDate dt,
ComponentMarketParams mktParams)
Returns the coupon rate for the period prior to the specified date
|
double |
calcPriceFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond price from Bond Basis to Maturity
|
double |
calcPriceFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond price from Bond Basis to Work-out
|
double |
calcPriceFromBumpedCC(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis,
boolean bFlat)
Calculate the bond's credit risky theoretical price from the bumped credit curve
|
double |
calcPriceFromBumpedDC(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDCBump)
Calculate the bond's non-credit risky theoretical price from the bumped discount curve
|
double |
calcPriceFromBumpedZC(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZCBump) |
double |
calcPriceFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond price from credit basis to Maturity
|
double |
calcPriceFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond price from credit basis to Work-out
|
double |
calcPriceFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond price from Discount Margin to Maturity
|
double |
calcPriceFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond price from Discount Margin to Work-out
|
double |
calcPriceFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond price from G Spread to Maturity
|
double |
calcPriceFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond price from G Spread to Work-out
|
double |
calcPriceFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond price from I Spread to Maturity
|
double |
calcPriceFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond price from I Spread to Work-out
|
double |
calcPriceFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond price from Option Adjusted Spread to Maturity
|
double |
calcPriceFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond price from Option Adjusted Spread to Work-out
|
double |
calcPriceFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond price from Par ASW to Maturity
|
double |
calcPriceFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond price from Par ASW to Work-out
|
double |
calcPriceFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Price from PECS to Maturity
|
double |
calcPriceFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Price from PECS to Work-out
|
double |
calcPriceFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond price from spread treasury benchmark to Maturity
|
double |
calcPriceFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond price from spread treasury benchmark to Work-out
|
double |
calcPriceFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond price from yield to maturity
|
double |
calcPriceFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond price from yield to work-out
|
double |
calcPriceFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond price from Yield Spread to Maturity
|
double |
calcPriceFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond price from Yield Spread to Work-out
|
double |
calcPriceFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond price from yield to maturity
|
double |
calcPriceFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond price from Z Spread to Maturity
|
double |
calcPriceFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond price from Z Spread to Work-out
|
double |
calcTSYSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond spread to treasury from Bond Basis to maturity
|
double |
calcTSYSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond spread to treasury from Bond Basis to Work-out
|
double |
calcTSYSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Spread to Treasury from credit basis to Maturity
|
double |
calcTSYSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond Spread to Treasury from credit basis to Work-out
|
double |
calcTSYSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblDiscountMargin)
Calculate the bond Spread to Treasury from Discount Margin to Maturity
|
double |
calcTSYSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond Spread to Treasury from Discount Margin to Work-out
|
double |
calcTSYSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond Spread to Treasury from G Spread to Maturity
|
double |
calcTSYSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Spread to Treasury from G Spread to Work-out
|
double |
calcTSYSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond Spread to Treasury from I Spread to Maturity
|
double |
calcTSYSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Spread to Treasury from I Spread to Work-out
|
double |
calcTSYSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond spread to treasury from Option Adjusted Spread to maturity
|
double |
calcTSYSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond spread to treasury from Option Adjusted Spread to Work-out
|
double |
calcTSYSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Spread to Treasury Benchmark from Par ASW to Maturity
|
double |
calcTSYSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Spread to Treasury Benchmark from Par ASW to Work-out
|
double |
calcTSYSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Spread to Treasury from PECS to Maturity
|
double |
calcTSYSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Spread to Treasury from PECS to Work-out
|
double |
calcTSYSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond spread to treasury to maturity from price
|
double |
calcTSYSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond spread to treasury to Work-out from price
|
double |
calcTSYSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond spread to treasury from Yield to maturity
|
double |
calcTSYSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond spread to treasury from Work-out Yield
|
double |
calcTSYSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond spread to treasury from Yield Spread to maturity
|
double |
calcTSYSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond spread to treasury from Yield Spread to Work-out
|
double |
calcTSYSpreadFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond spread to treasury from Yield to maturity
|
double |
calcTSYSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond spread to treasury from Z Spread to maturity
|
double |
calcTSYSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond spread to treasury from Z Spread to Work-out
|
double |
calcYieldFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond yield from Bond Basis to Maturity
|
double |
calcYieldFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond yield from Bond Basis to Work-out
|
double |
calcYieldFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond yield from credit basis to Maturity
|
double |
calcYieldFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond yield from credit basis to Work-out
|
double |
calcYieldFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblDiscountMargin)
Calculate the bond yield from Discount Margin to Maturity
|
double |
calcYieldFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond yield from Discount Margin to Work-out
|
double |
calcYieldFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond yield from G Spread to Maturity
|
double |
calcYieldFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond yield from G Spread to Work-out
|
double |
calcYieldFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond yield from I Spread to Maturity
|
double |
calcYieldFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond yield from I Spread to Work-out
|
double |
calcYieldFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond yield from Option Adjusted Spread to Maturity
|
double |
calcYieldFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond yield from Option Adjusted Spread to Work-out
|
double |
calcYieldFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond yield from Par ASW to Maturity
|
double |
calcYieldFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond yield from Par ASW to Work-out
|
double |
calcYieldFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Yield from PECS to Maturity
|
double |
calcYieldFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Yield from PECS to Work-out
|
double |
calcYieldFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond yield to maturity from price
|
double |
calcYieldFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond yield to Work-out from price
|
double |
calcYieldFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond yield from spread treasury benchmark to Maturity
|
double |
calcYieldFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond yield from spread treasury benchmark to Work-out
|
double |
calcYieldFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond yield from Yield Spread to Maturity
|
double |
calcYieldFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond yield from Yield Spread to Work-out
|
double |
calcYieldFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond yield from Z Spread to Maturity
|
double |
calcYieldFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond yield from Z Spread to Work-out
|
double |
calcYieldSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Yield Spread from Bond Basis to Maturity
|
double |
calcYieldSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond Yield Spread from Bond Basis to Work-out
|
double |
calcYieldSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the Yield Spread from credit basis to Maturity
|
double |
calcYieldSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the Yield Spread from credit basis to Work-out
|
double |
calcYieldSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the Yield Spread from Discount Margin to Maturity
|
double |
calcYieldSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the Yield Spread from Discount Margin to Work-out
|
double |
calcYieldSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Yield Spread from G Spread to Maturity
|
double |
calcYieldSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the Yield Spread from G Spread to Work-out
|
double |
calcYieldSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Yield Spread from I Spread to Maturity
|
double |
calcYieldSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the Yield Spread from I Spread to Work-out
|
double |
calcYieldSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the Yield Spread from Option Adjusted Spread to Maturity
|
double |
calcYieldSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the Yield Spread from Option Adjusted Spread to Work-out
|
double |
calcYieldSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Yield Spread from Par ASW to Maturity
|
double |
calcYieldSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the Yield Spread from Par ASW to Work-out
|
double |
calcYieldSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Yield Spread from PECS to Maturity
|
double |
calcYieldSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Yield Spread from PECS to Work-out
|
double |
calcYieldSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Yield Spread to maturity from price
|
double |
calcYieldSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the Yield Spread to Work-out from price
|
double |
calcYieldSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Yield Spread from spread treasury benchmark to Maturity
|
double |
calcYieldSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the Yield Spread from spread treasury benchmark to Work-out
|
double |
calcYieldSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the Yield Spread from yield to maturity
|
double |
calcYieldSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the Yield Spread from Yield to work-out
|
double |
calcYieldSpreadFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the Yield Spread from yield to maturity
|
double |
calcYieldSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Yield Spread from Z Spread to Maturity
|
double |
calcYieldSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the Yield Spread from Z Spread to Work-out
|
double |
calcYTMFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond yield to maturity from price
|
double |
calcZSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Z Spread from Bond Basis to maturity
|
double |
calcZSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond Z Spread from Bond Basis to work-out
|
double |
calcZSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Z Spread from credit basis to Maturity
|
double |
calcZSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond Z Spread from credit basis to Work-out
|
double |
calcZSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblDiscountMargin)
Calculate the bond Z Spread from Discount Margin to Maturity
|
double |
calcZSpreadFromDiscountMargin(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDiscountMargin)
Calculate the bond Z Spread from Discount Margin to Work-out
|
double |
calcZSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Z Spread from G Spread to Maturity
|
double |
calcZSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Z Spread from G Spread to Work-out
|
double |
calcZSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Z Spread from I Spread to Maturity
|
double |
calcZSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Z Spread from I Spread to Work-out
|
double |
calcZSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblOAS)
Calculate the bond z spread to maturity from OAS
|
double |
calcZSpreadFromOAS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblOAS)
Calculate the bond z spread to Work-out from OAS
|
double |
calcZSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Z Spread from Par ASW to Maturity
|
double |
calcZSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Z Spread from Par ASW to Work-out
|
double |
calcZSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPECS)
Calculate the Bond Z Spread from PECS to Maturity
|
double |
calcZSpreadFromPECS(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPECS)
Calculate the Bond Z Spread from PECS to Work-out
|
double |
calcZSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond z spread to maturity from price
|
double |
calcZSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond z spread to Work-out from price
|
double |
calcZSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Z Spread from spread treasury benchmark to Maturity
|
double |
calcZSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond Z Spread from spread treasury benchmark to Work-out
|
double |
calcZSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Z Spread from yield to maturity
|
double |
calcZSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond Z Spread from Yield to work-out
|
double |
calcZSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYieldSpread)
Calculate the bond Z Spread from Yield Spread to maturity
|
double |
calcZSpreadFromYieldSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYieldSpread)
Calculate the bond Z Spread from Yield Spread to work-out
|
double |
calcZSpreadFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Z Spread from yield to maturity
|
java.lang.String |
getAccrualDC()
Return the bond's accrual day count
|
java.lang.String |
getCalculationType()
Return the bond's calculation type
|
CashSettleParams |
getCashSettleParams()
Gets the component cash settlement parameters
|
java.lang.String |
getComponentName()
Gets the component name
|
double |
getCoupon(double dblValue,
ComponentMarketParams mktParams,
Period period)
Gets the component's coupon at the given date
|
java.lang.String |
getCouponCurrency()
Return the bond's coupon currency
|
java.lang.String |
getCouponDC()
Return the bond's coupon day count
|
java.util.List<ProductCouponPeriodCurveMeasures> |
getCouponFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams)
Gets the coupon flow for the credit component
|
int |
getCouponFreq()
Return the bond's coupon frequency
|
java.util.List<Period> |
getCouponPeriod()
Gets the component's coupon periods
|
java.lang.String |
getCouponType()
Return the bond's coupon type
|
java.lang.String |
getCreditCurveName()
Gets the credit curve name
|
CompCRValParams |
getCRValParams()
Get the credit component's Credit Valuation Parameters
|
double |
getCurrentCoupon()
Returns the current bond coupon
|
java.lang.String |
getCUSIP()
Gets the CUSIP
|
java.lang.String |
getEDSFCurveName()
Gets the EDSF curve name
|
JulianDate |
getEffectiveDate()
Get the Effective Date
|
double |
getEffectiveTsyBmkYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Retrieves the effective treasury benchmark yield from the valuation, the component market parameters,
and the market price
|
EmbeddedOptionSchedule |
getEmbeddedCallSchedule()
Return the bond's embedded call schedule
|
EmbeddedOptionSchedule |
getEmbeddedPutSchedule()
Return the bond's embedded put schedule
|
java.lang.String |
getFieldDelimiter()
Returns the Field Delimiter String
|
JulianDate |
getFinalMaturity()
Return the bond's final maturity
|
JulianDate |
getFirstCouponDate()
Get the First Coupon Date
|
java.lang.String |
getFloatCouponConvention()
Return the bond's floating coupon convention
|
double |
getFloatSpread()
Returns the floating spread of the bond
|
double |
getInitialNotional()
Gets the Initial Notional for the Component
|
java.lang.String |
getIRCurveName()
Gets the IR curve name
|
java.lang.String |
getISIN()
Gets the ISIN
|
java.util.List<ProductLossPeriodCurveMeasures> |
getLossFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams)
Generates the loss flow for the credit component based on the pricer parameters
|
java.util.List<ProductLossPeriodCurveMeasures> |
getLossFlowFromPrice(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Gets the bond's loss flow from price
|
JulianDate |
getMaturityDate()
Get the Maturity Date
|
java.lang.String |
getMaturityType()
Return the bond's maturity type
|
double |
getNotional(double dblDate)
Gets the Notional for the Component at the given date
|
double |
getNotional(double dblDateStart,
double dblDateEnd)
Gets the time-weighted Notional for the Component between 2 dates
|
java.lang.String |
getObjectTrailer()
Returns the Object Trailer String
|
JulianDate |
getPeriodResetDate(double dblValue)
Get the bond's reset date for the period identified by the valuation date
|
java.lang.String |
getPrimaryCode()
Return the primary code
|
java.lang.String |
getRateIndex()
Returns the rate index of the bond
|
double |
getRecovery(double dblDate,
CreditCurve cc)
Get the recovery of the credit component for the given date
|
double |
getRecovery(double dblDateStart,
double dblDateEnd,
CreditCurve cc)
Get the time-weighted recovery of the credit component between the given dates
|
java.lang.String |
getRedemptionCurrency()
Return the bond's redemption currency
|
double |
getRedemptionValue()
Return the bond's redemption value
|
java.lang.String[] |
getSecondaryCode()
Gets the component's secondary codes
|
double[] |
getSecTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams)
Retrieves the array of double for the bond's secondary treasury spreads from the Valuation
Parameters and the component market parameters
|
java.lang.String |
getTicker()
Returns the bond ticker
|
java.lang.String |
getTradeCurrency()
Return the bond's trade currency
|
java.lang.String |
getTreasuryCurveName()
Gets the treasury curve name
|
boolean |
hasBeenExercised()
Indicates if the bond has been exercised
|
boolean |
hasDefaulted()
Indicates if the bond has defaulted
|
boolean |
hasVariableCoupon()
Indicates if the bond has variable coupon
|
boolean |
inFirstCouponPeriod(double dblDate)
Indicates whether the given date is in the first coupon period
|
boolean |
inLastCouponPeriod(double dblDate)
Indicates whether the given date is in the final coupon period
|
boolean |
isCallable()
Indicates if the bond is callable
|
boolean |
isFloater()
Returns whether the bond is a floater
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boolean |
isPerpetual()
Indicates if the bond is perpetual
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boolean |
isPutable()
Indicates if the bond is putable
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boolean |
isSinkable()
Indicates if the bond is sinkable
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boolean |
isTradeable(ValuationParams valParams)
Calculates if the bond is tradeable on the given date
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static void |
main(java.lang.String[] astrArgs) |
byte[] |
serialize()