public abstract class CreditDefaultSwap extends CreditComponent
NULL_SER_STRING, VERSION
Constructor and Description |
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CreditDefaultSwap() |
Modifier and Type | Method and Description |
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abstract double |
calibFlatSpread(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Calibrate the CDS's flat spread from the calculated up-front points
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abstract double |
resetCoupon(double dblCoupon)
Reset the CDS's coupon
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abstract CaseInsensitiveTreeMap<java.lang.Double> |
valueFromQuotedSpread(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblFixCoupon,
double dblQuotedSpread)
Value the CDS from the Quoted Spread
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getCouponFlow, getCRValParams, getLossFlow, getRecovery, getRecovery
calcPVDFMicroJack, calcQuoteDFMicroJack, generateCalibPRLC, getPrimaryCode, getSecondaryCode, setPrimaryCode, terminalDate
calcCustomScenarioMeasures, calcMeasures, calcMeasureValue, getCashFlowPeriod, getCashSettleParams, getCoupon, getEffectiveDate, getFirstCouponDate, getInitialNotional, getMaturityDate, getMeasureNames, getNotional, getNotional, setCurves, tenor, value
deserialize, getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer, serialize
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
getComponentName, getCreditCurveName, getEDSFCurveName, getForwardCurveName, getIRCurveName, getTreasuryCurveName
public abstract double resetCoupon(double dblCoupon) throws java.lang.Exception
dblCoupon
- The new Couponjava.lang.Exception
- Thrown if the coupon cannot be resetpublic abstract double calibFlatSpread(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams) throws java.lang.Exception
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- ComponentMarketParamsquotingParams
- Quoting Parametersjava.lang.Exception
- Thrown if cannot calibratepublic abstract CaseInsensitiveTreeMap<java.lang.Double> valueFromQuotedSpread(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblFixCoupon, double dblQuotedSpread)
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- ComponentMarketParamsquotingParams
- Quoting ParametersdblFixCoupon
- Fix CoupondblQuotedSpread
- Quoted Spread