Serialize into a byte array.
|
boolean |
setCFTEParams(BondCFTerminationEvent cfteParams)
Sets the bond cash flow termination event parameters
|
boolean |
setCouponParams(BondCouponParams cpnParams)
Sets the bond coupon parameters
|
boolean |
setCRValuationParams(CompCRValParams crValParams)
Sets the bond Credit Valuation parameters
|
boolean |
setCurrencyParams(BondCurrencyParams ccyParams)
Sets the bond currency parameters
|
boolean |
setCurves(java.lang.String strIR,
java.lang.String strIRTSY,
java.lang.String strCC)
Sets the component's IR, treasury, and credit curve names
|
void |
setEmbeddedCallSchedule(EmbeddedOptionSchedule eos)
Sets the bond's embedded call schedule
|
void |
setEmbeddedPutSchedule(EmbeddedOptionSchedule eos)
Sets the bond's embedded put schedule
|
boolean |
setFixings(java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> mmFixings)
Sets the bond fixings
|
boolean |
setFloaterParams(BondFloaterParams fltParams)
Sets the bond floater parameters
|
boolean |
setIdentifierParams(BondIdentifierParams idParams)
Sets the bond identifier parameters
|
boolean |
setIRValuationParams(BondIRValuationParams irValParams)
Sets the bond IR Valuation parameters
|
boolean |
setNotionalParams(BondNotionalParams notlParams)
Sets the bond notional parameters
|
boolean |
setPeriodGenParams(BondFixedPeriodGenerationParams periodParams)
Sets the bond Fixed Period Generation parameters
|
void |
setPrimaryCode(java.lang.String strCode)
Sets the component's primary code
|
boolean |
setQuotingParams(QuotingParams quotingParams)
Sets the bond quoting parameters
|
boolean |
setTSYParams(BondTSYParams tsyParams)
Sets the bond treasury parameters
|
void |
showPeriods()
Displays all the coupon periods onto stdout
|
java.util.Map<java.lang.String,java.lang.Double> |
value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Generates a full list of the component measures for the full input set of market parameters
|
calcCustomScenarioMeasures, calcMeasures, calcMeasureValue
getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter
public BondTSYParams _tsyParams
public BondCouponParams _cpnParams
public BondNotionalParams _notlParams
public BondFloaterParams _fltParams
public java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> _mmFixings
public BondCurrencyParams _ccyParams
public BondIdentifierParams _idParams
public BondIRValuationParams _irValParams
public CompCRValParams _crValParams
public BondCFTerminationEvent _cfteParams
public BondFixedPeriodGenerationParams _periodParams
public QuotingParams _quotingParams
public Bond()
public Bond(byte[] ab) throws java.lang.Exception
ab
- Byte Arrayjava.lang.Exception
- Thrown if Bond cannot be properly de-serializedpublic double[] getSecTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams)
valParams
- ValuationParamsmktParams
- ComponentMarketParamspublic double getEffectiveTsyBmkYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- ComponentMarketParamsquotingParams
- Bond Quoting parametersdblPrice
- Market pricejava.lang.Exception
- Thrown if the effective benchmark cannot be calculatedpublic boolean setTSYParams(BondTSYParams tsyParams)
tsyParams
- Bond treasury parameterspublic boolean setIdentifierParams(BondIdentifierParams idParams)
idParams
- Bond identifier parameterspublic boolean setCouponParams(BondCouponParams cpnParams)
cpnParams
- Bond coupon parameterspublic boolean setCurrencyParams(BondCurrencyParams ccyParams)
ccyParams
- Bond currency parameterspublic boolean setFloaterParams(BondFloaterParams fltParams)
fltParams
- Bond floater parameterspublic boolean setFixings(java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> mmFixings)
mmFixings
- Bond fixingspublic boolean setIRValuationParams(BondIRValuationParams irValParams)
irValParams
- Bond IR Valuation parameterspublic boolean setCRValuationParams(CompCRValParams crValParams)
crValParams
- Bond credit Valuation parameterspublic boolean setCFTEParams(BondCFTerminationEvent cfteParams)
cfteParams
- Bond cash flow termination event parameterspublic boolean setPeriodGenParams(BondFixedPeriodGenerationParams periodParams)
periodParams
- Bond Fixed Period Generation parameterspublic boolean setNotionalParams(BondNotionalParams notlParams)
notlParams
- Bond Notional parameterspublic boolean setQuotingParams(QuotingParams quotingParams)
quotingParams
- Bond Quoting parameterspublic java.lang.String getPrimaryCode()
CalibratableComponent
getPrimaryCode
in class CalibratableComponent
public void setPrimaryCode(java.lang.String strCode)
CalibratableComponent
setPrimaryCode
in class CalibratableComponent
strCode
- Primary Codepublic java.lang.String[] getSecondaryCode()
CalibratableComponent
getSecondaryCode
in class CalibratableComponent
public java.lang.String getISIN()
public java.lang.String getCUSIP()
public java.lang.String getComponentName()
ComponentMarketParamRef
public double getNotional(double dblDate) throws java.lang.Exception
Component
getNotional
in class Component
dblDate
- Double date inputjava.lang.Exception
- Thrown if Notional cannot be computedpublic double getNotional(double dblDateStart, double dblDateEnd) throws java.lang.Exception
Component
getNotional
in class Component
dblDateStart
- Double date firstdblDateEnd
- Double date secondjava.lang.Exception
- Thrown if Notional cannot be computedpublic double getInitialNotional() throws java.lang.Exception
Component
getInitialNotional
in class Component
java.lang.Exception
- Thrown if Initial Notional cannot be computedpublic double getRecovery(double dblDate, CreditCurve cc) throws java.lang.Exception
CreditComponent
getRecovery
in class CreditComponent
dblDate
- Double JulianDatecc
- Credit Curvejava.lang.Exception
- Thrown if recovery cannot be calculatedpublic double getRecovery(double dblDateStart, double dblDateEnd, CreditCurve cc) throws java.lang.Exception
CreditComponent
getRecovery
in class CreditComponent
dblDateStart
- Double JulianDatedblDateEnd
- Double JulianDatecc
- Credit Curvejava.lang.Exception
- Thrown if recovery cannot be calculatedpublic CompCRValParams getCRValParams()
CreditComponent
getCRValParams
in class CreditComponent
public double getCoupon(double dblValue, ComponentMarketParams mktParams, Period period) throws java.lang.Exception
Component
public boolean setCurves(java.lang.String strIR, java.lang.String strIRTSY, java.lang.String strCC)
Component
public java.lang.String getIRCurveName()
ComponentMarketParamRef
public java.lang.String getCreditCurveName()
ComponentMarketParamRef
public java.lang.String getTreasuryCurveName()
ComponentMarketParamRef
public java.lang.String getEDSFCurveName()
ComponentMarketParamRef
public JulianDate getEffectiveDate()
Component
getEffectiveDate
in class Component
public JulianDate getMaturityDate()
Component
getMaturityDate
in class Component
public JulianDate getFirstCouponDate()
Component
getFirstCouponDate
in class Component
public java.util.List<Period> getCouponPeriod()
Component
getCouponPeriod
in class Component
public CashSettleParams getCashSettleParams()
Component
getCashSettleParams
in class Component
public java.util.List<ProductCouponPeriodCurveMeasures> getCouponFlow(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams)
CreditComponent
getCouponFlow
in class CreditComponent
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- Component Market Paramspublic java.util.List<ProductLossPeriodCurveMeasures> getLossFlow(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams)
CreditComponent
getLossFlow
in class CreditComponent
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- ComponentMarketParamspublic java.util.List<ProductLossPeriodCurveMeasures> getLossFlowFromPrice(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice)
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- ComponentMarketParamsquotingParams
- Bond Quoting parametersdblPrice
- Input pricepublic boolean isFloater()
public java.lang.String getRateIndex()
public double getCurrentCoupon()
public double getFloatSpread()
public java.lang.String getTicker()
public void setEmbeddedCallSchedule(EmbeddedOptionSchedule eos)
eos
- Bond's embedded call schedulepublic void setEmbeddedPutSchedule(EmbeddedOptionSchedule eos)
eos
- Bond's embedded put schedulepublic boolean isCallable()
public boolean isPutable()
public boolean isSinkable()
public boolean hasVariableCoupon()
public boolean hasBeenExercised()
public boolean hasDefaulted()
public boolean isPerpetual()
public boolean isTradeable(ValuationParams valParams) throws java.lang.Exception
valParams
- Valuation Parametersjava.lang.Exception
- Thrown if inputs are invalidpublic EmbeddedOptionSchedule getEmbeddedCallSchedule()
public EmbeddedOptionSchedule getEmbeddedPutSchedule()
public java.lang.String getCouponType()
public java.lang.String getCouponDC()
public java.lang.String getAccrualDC()
public java.lang.String getMaturityType()
public int getCouponFreq()
public JulianDate getFinalMaturity()
public java.lang.String getCalculationType()
public double getRedemptionValue()
public java.lang.String getCouponCurrency()
public java.lang.String getRedemptionCurrency()
public boolean inFirstCouponPeriod(double dblDate) throws java.lang.Exception
dblDate
- Valuation Datejava.lang.Exception
- Thrown if inputs are invalidpublic boolean inLastCouponPeriod(double dblDate) throws java.lang.Exception
dblDate
- Valuation Datejava.lang.Exception
- Thrown if inputs are invalidpublic java.lang.String getTradeCurrency()
public java.lang.String getFloatCouponConvention()
public JulianDate getPeriodResetDate(double dblValue)
dblValue
- Valuation Datepublic JulianDate calcPreviousCouponDate(JulianDate dt)
dt
- Valuation Datepublic double calcPreviousCouponRate(JulianDate dt, ComponentMarketParams mktParams) throws java.lang.Exception
dt
- Valuation DatemktParams
- Component Market Paramsjava.lang.Exception
- Thrown if the previous coupon rate cannot be calculatedpublic JulianDate calcCurrentCouponDate(JulianDate dt)
dt
- Valuation Datepublic JulianDate calcNextCouponDate(JulianDate dt)
dt
- Valuation Datepublic NextExerciseInfo calcNextValidExerciseDateOfType(JulianDate dt, boolean bGetPut)
dt
- Valuation DatebGetPut
- TRUE => Gets the next put datepublic NextExerciseInfo calcNextValidExerciseInfo(JulianDate dt)
dt
- Valuation Datepublic double calcCurrentCouponRate(JulianDate dt, ComponentMarketParams mktParams) throws java.lang.Exception
dt
- Valuation DatemktParams
- Component Market Paramsjava.lang.Exception
- Thrown if the current period coupon rate cannot be calculatedpublic double calcNextCouponRate(JulianDate dt, ComponentMarketParams mktParams) throws java.lang.Exception
dt
- Valuation DatemktParams
- Component Market Paramsjava.lang.Exception
- Thrown if the subsequent coupon rate cannot be calculatedpublic double calcAccrued(double dblDate, ComponentMarketParams mktParams) throws java.lang.Exception
dblDate
- Valuation DatemktParams
- Bond market parametersjava.lang.Exception
- Thrown if accrual cannot be calculatedpublic double calcPriceFromBumpedZC(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZCBump) throws java.lang.Exception
java.lang.Exception
public double calcPriceFromBumpedDC(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDCBump) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- ComponentMarketParamsdblWorkoutDate
- Double Work-out datedblWorkoutFactor
- Double Work-out factordblDCBump
- Bump to be applied to the DCjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromBumpedCC(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis, boolean bFlat) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- ComponentMarketParamsdblWorkoutDate
- Double Work-out datedblWorkoutFactor
- Double Work-out factordblCreditBasis
- Bump to be applied to the credit curvebFlat
- Is the CDS Curve flat (for PECS)java.lang.Exception
- Thrown if the bond's credit risky theoretical price cannot be calculatedpublic double calcPriceFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Exercise Yield inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcZSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcZSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcZSpreadFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcExerciseZSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcOASFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcOASFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcOASFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcExerciseOASFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcBondBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcExerciseBondBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcYieldSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldSpreadFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcExerciseYieldSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcCreditBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcCreditBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcCreditBasisFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcExerciseCreditBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcPECSFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcPECSFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcPECSFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcExercisePECSFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcTSYSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcTSYSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcTSYSpreadFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcExerciseTSYSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcGSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the G spread cannot be calculatedpublic double calcGSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the G spread cannot be calculatedpublic double calcGSpreadFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the G spread cannot be calculatedpublic double calcExerciseGSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the G spread cannot be calculatedpublic double calcISpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the I spread cannot be calculatedpublic double calcISpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the I spread cannot be calculatedpublic double calcISpreadFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the I spread cannot be calculatedpublic double calcExerciseISpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the I spread cannot be calculatedpublic double calcDiscountMarginFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDiscountMarginFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDiscountMarginFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcExerciseDiscountMarginFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDurationFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcDurationFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcDurationFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcExerciseDurationFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcParASWFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcParASWFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcParASWFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcExerciseParASWFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcConvexityFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYield
- Work-out Yield inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcExerciseConvexityFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcYieldFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the yield to Work-out cannot be calculatedpublic double calcYieldFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the yield to maturity cannot be calculatedpublic double calcYTMFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the yield to maturity cannot be calculatedpublic WorkoutInfo calcExerciseYieldFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice)
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the yield to exercise cannot be calculatedpublic double calcZSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the z spread to Work-out cannot be calculatedpublic double calcZSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the z spread to maturity cannot be calculatedpublic double calcExerciseZSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the z spread to exercise cannot be calculatedpublic double calcOASFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the Option Adjusted spread to Work-out cannot be calculatedpublic double calcOASFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Option Adjusted spread to maturity cannot be calculatedpublic double calcExerciseOASFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Option Adjusted spread to exercise cannot be calculatedpublic double calcBondBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the Bond Basis to Work-out cannot be calculatedpublic double calcBondBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Bond Basis to maturity cannot be calculatedpublic double calcExerciseBondBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Bond Basis to exercise cannot be calculatedpublic double calcYieldSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the Yield Spread to Work-out cannot be calculatedpublic double calcYieldSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Yield Spread to maturity cannot be calculatedpublic double calcExerciseYieldSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Yield Spread to exercise cannot be calculatedpublic double calcCreditBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the credit basis to Work-out cannot be calculatedpublic double calcCreditBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the credit basis to maturity cannot be calculatedpublic double calcExerciseCreditBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the credit basis to exercise cannot be calculatedpublic double calcPECSFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the PECS to Work-out cannot be calculatedpublic double calcPECSFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the PECS to maturity cannot be calculatedpublic double calcExercisePECSFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the PECS to exercise cannot be calculatedpublic double calcTSYSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the spread to treasury to Work-out cannot be calculatedpublic double calcTSYSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the spread to treasury to maturity cannot be calculatedpublic double calcExerciseTSYSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the spread to treasury to exercise cannot be calculatedpublic double calcGSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the G spread to Work-out cannot be calculatedpublic double calcGSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the G spread to maturity cannot be calculatedpublic double calcExerciseGSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the G spread to exercise cannot be calculatedpublic double calcISpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the I spread to Work-out cannot be calculatedpublic double calcISpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the I spread to maturity cannot be calculatedpublic double calcExerciseISpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the I spread to exercise cannot be calculatedpublic double calcDiscountMarginFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the Discount Margin to Work-out cannot be calculatedpublic double calcDiscountMarginFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Discount Margin to maturity cannot be calculatedpublic double calcExerciseDiscountMarginFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the Discount Margin to exercise cannot be calculatedpublic double calcDurationFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the duration to Work-out cannot be calculatedpublic double calcDurationFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the duration to maturity cannot be calculatedpublic double calcExerciseDurationFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the duration to exercise cannot be calculatedpublic double calcParASWFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the par ASW to Work-out cannot be calculatedpublic double calcParASWFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the par ASW to maturity cannot be calculatedpublic double calcExerciseParASWFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the par ASW to exercise cannot be calculatedpublic double calcConvexityFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblPrice
- Price inputjava.lang.Exception
- Thrown if the convexity to Work-out cannot be calculatedpublic double calcConvexityFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the convexity to maturity cannot be calculatedpublic double calcExerciseConvexityFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price inputjava.lang.Exception
- Thrown if the convexity to exercise cannot be calculatedpublic double calcPriceFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcBondBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcExerciseBondBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcYieldSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcExerciseYieldSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcYieldFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcExerciseYieldFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcOASFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcOASFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExerciseOASFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcCreditBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcCreditBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcExerciseCreditBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcPECSFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcPECSFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcExercisePECSFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcTSYSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcTSYSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcExerciseTSYSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcGSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcGSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcExerciseGSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcISpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcISpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcExerciseISpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcDiscountMarginFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDiscountMarginFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcExerciseDiscountMarginFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcDurationFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcDurationFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcExerciseDurationFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcParASWFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcParASWFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcExerciseParASWFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcConvexityFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblZSpread
- Z Spread to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcExerciseConvexityFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcPriceFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcZSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Bond OASjava.lang.Exception
- Thrown if the z spread to Work-out cannot be calculatedpublic double calcZSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Bond OAS inputjava.lang.Exception
- Thrown if the z spread to maturity cannot be calculatedpublic double calcExerciseZSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Bond OAS Inputjava.lang.Exception
- Thrown if the z spread to exercise cannot be calculatedpublic double calcBondBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcExerciseBondBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcYieldSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcExerciseYieldSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- OAS to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcYieldFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcExerciseYieldFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcCreditBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcCreditBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcExerciseCreditBasisFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcPECSFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcPECSFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcExercisePECSFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcTSYSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcTSYSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcExerciseTSYSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcGSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcGSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcExerciseGSpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcISpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcISpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcExerciseISpreadFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcDiscountMarginFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDiscountMarginFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcExerciseDiscountMarginFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDurationFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcDurationFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcExerciseDurationFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcParASWFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcParASWFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcExerciseParASWFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcConvexityFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblOAS
- Option Adjusted Spread to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcExerciseConvexityFromOAS(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblOAS) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblOAS
- Option Adjusted Spread to exercise inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcPriceFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcZSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcZSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcExerciseZSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcOASFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcOASFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcExerciseOASFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcYieldFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcYieldFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcExerciseYieldFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcYieldSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcYieldSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Maturity inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcExerciseYieldSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Exercise inputjava.lang.Exception
- Thrown if the Yield Spread cannot be calculatedpublic double calcCreditBasisFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcCreditBasisFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcExerciseCreditBasisFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcPECSFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcPECSFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcExercisePECSFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcTSYSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcTSYSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcExerciseTSYSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcGSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcGSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcExerciseGSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcISpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcISpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcExerciseISpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcDiscountMarginFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDiscountMarginFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcExerciseDiscountMarginFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDurationFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcDurationFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcExerciseDurationFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcParASWFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic double calcParASWFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic double calcExerciseParASWFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcConvexityFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcExerciseConvexityFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise inputjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic double calcPriceFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcZSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- YieldSpread to work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcZSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcExerciseZSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcOASFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to work-out inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcOASFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcExerciseOASFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the Option Adjusted Spread cannot be calculatedpublic double calcYieldFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcYieldFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcExerciseYieldFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcBondBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Maturity inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcExerciseBondBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Exercise inputjava.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcCreditBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcCreditBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcExerciseCreditBasisFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcPECSFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcPECSFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcExercisePECSFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the PECS cannot be calculatedpublic double calcTSYSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcTSYSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcExerciseTSYSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcGSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcGSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Maturity inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcExerciseGSpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to Exercise inputjava.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcISpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcISpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcExerciseISpreadFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcDiscountMarginFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDiscountMarginFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcExerciseDiscountMarginFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the Discount Margin cannot be calculatedpublic double calcDurationFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcDurationFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcExerciseDurationFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcParASWFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic double calcParASWFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the Par ASW cannot be calculatedpublic double calcExerciseParASWFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcConvexityFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYieldSpread
- Yield Spread to Work-out inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to maturity inputjava.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcExerciseConvexityFromYieldSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYieldSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYieldSpread
- Yield Spread to exercise inputjava.lang.Exception
- Thrown if the Convexity cannot be calculatedpublic double calcPriceFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcYieldFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcYieldFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcExerciseYieldFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcZSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate Work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcZSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Maturity inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcExerciseZSpreadFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblCreditBasis
- credit basis to Exercise inputjava.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcOASFromCreditBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblCreditBasis
- credit basis to Work-out inputjava.lang.Exception