CurrencyAmount |
IsdaCdsProductPricer.presentValue(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData) |
Calculates the present value of the CDS product.
|
CurrencyAmount |
IsdaCdsTradePricer.presentValue(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
PriceType priceType,
ReferenceData refData) |
Calculates the present value of the trade.
|
CurrencyAmount |
IsdaHomogenousCdsIndexProductPricer.presentValue(ResolvedCdsIndex cdsIndex,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData) |
Calculates the present value of the CDS index product.
|
CurrencyAmount |
IsdaHomogenousCdsIndexTradePricer.presentValue(ResolvedCdsIndexTrade trade,
CreditRatesProvider ratesProvider,
PriceType priceType,
ReferenceData refData) |
Calculates the present value of the trade.
|
CurrencyAmount |
IsdaCdsTradePricer.presentValueOnSettle(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
PriceType priceType,
ReferenceData refData) |
Calculates the present value of the underlying product.
|
CurrencyAmount |
IsdaHomogenousCdsIndexTradePricer.presentValueOnSettle(ResolvedCdsIndexTrade trade,
CreditRatesProvider ratesProvider,
PriceType priceType,
ReferenceData refData) |
Calculates the present value of the underlying product.
|
double |
IsdaCdsProductPricer.price(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData) |
Calculates the price of the CDS product, which is the present value per unit notional.
|
double |
IsdaCdsTradePricer.price(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
PriceType priceType,
ReferenceData refData) |
Calculates the price of the underlying product, which is the present value per unit notional.
|
double |
IsdaHomogenousCdsIndexProductPricer.price(ResolvedCdsIndex cdsIndex,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData) |
Calculates the price of the CDS index product, which is the minus of the present value per unit notional.
|
double |
IsdaHomogenousCdsIndexTradePricer.price(ResolvedCdsIndexTrade trade,
CreditRatesProvider ratesProvider,
PriceType priceType,
ReferenceData refData) |
Calculates the price of the underlying product, which is the present value per unit notional.
|
double |
IsdaCdsProductPricer.riskyAnnuity(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData) |
Calculates the risky annuity, which is RPV01 per unit notional.
|
double |
IsdaHomogenousCdsIndexProductPricer.riskyAnnuity(ResolvedCdsIndex cdsIndex,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData) |
Calculates the risky annuity, which is RPV01 per unit notional.
|
CurrencyAmount |
IsdaCdsProductPricer.rpv01(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData) |
Calculates the risky PV01 of the CDS product.
|
CurrencyAmount |
IsdaHomogenousCdsIndexProductPricer.rpv01(ResolvedCdsIndex cdsIndex,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData) |
Calculates the risky PV01 of the CDS index product.
|
CurrencyAmount |
IsdaCdsTradePricer.rpv01OnSettle(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
PriceType priceType,
ReferenceData refData) |
Calculates the risky PV01 of the underlying product.
|
CurrencyAmount |
IsdaHomogenousCdsIndexTradePricer.rpv01OnSettle(ResolvedCdsIndexTrade trade,
CreditRatesProvider ratesProvider,
PriceType priceType,
ReferenceData refData) |
Calculates the risky PV01 of the underlying product.
|