public class CreditCurveBuilder
extends java.lang.Object
Constructor and Description |
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CreditCurveBuilder() |
Modifier and Type | Method and Description |
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static ExplicitBootCreditCurve |
CreateCreditCurve(double dblStart,
java.lang.String strName,
java.lang.String strCurrency,
double[] adblHazardRate,
double[] adblHazardDate,
double[] adblRecoveryRate,
double[] adblRecoveryDate,
double dblSpecificDefaultDate)
Create a credit curve from hazard rate and recovery rate term structures
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static ExplicitBootCreditCurve |
CreateCreditCurve(JulianDate dtStart,
java.lang.String strName,
java.lang.String strCurrency,
double[] adblDate,
double[] adblHazardRate,
double dblRecovery)
Create a credit curve from an array of dates and hazard rates
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static ExplicitBootCreditCurve |
FromByteArray(byte[] ab)
Create the credit curve from the given byte array
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static ExplicitBootCreditCurve |
FromFlatHazard(double dblStartDate,
java.lang.String strName,
java.lang.String strCurrency,
double dblHazardRate,
double dblRecovery)
Create a CreditCurve instance from a single node hazard rate
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static ExplicitBootCreditCurve |
FromHazardNode(double dblStartDate,
java.lang.String strName,
java.lang.String strCurrency,
double dblHazardRate,
double dblHazardDate,
double dblRecovery)
Create an instance of the CreditCurve object from a solitary hazard rate node
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static ExplicitBootCreditCurve |
FromSurvival(double dblStartDate,
java.lang.String strName,
java.lang.String strCurrency,
double[] adblSurvivalDate,
double[] adblSurvivalProbability,
double dblRecovery)
Create a CreditCurve instance from the input array of survival probabilities
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public static final ExplicitBootCreditCurve FromFlatHazard(double dblStartDate, java.lang.String strName, java.lang.String strCurrency, double dblHazardRate, double dblRecovery)
dblStartDate
- Curve epoch datestrName
- Credit Curve NamestrCurrency
- CurrencydblHazardRate
- Curve hazard ratedblRecovery
- Curve recoverypublic static final ExplicitBootCreditCurve FromSurvival(double dblStartDate, java.lang.String strName, java.lang.String strCurrency, double[] adblSurvivalDate, double[] adblSurvivalProbability, double dblRecovery)
dblStartDate
- Start DatestrName
- Credit Curve NamestrCurrency
- CurrencyadblSurvivalDate
- Array of datesadblSurvivalProbability
- Array of survival probabilitiesdblRecovery
- Recoverypublic static final ExplicitBootCreditCurve FromHazardNode(double dblStartDate, java.lang.String strName, java.lang.String strCurrency, double dblHazardRate, double dblHazardDate, double dblRecovery)
dblStartDate
- The Curve epoch datestrName
- Credit Curve NamestrCurrency
- CurrencydblHazardRate
- The solo hazard ratedblHazardDate
- DatedblRecovery
- Recoverypublic static final ExplicitBootCreditCurve CreateCreditCurve(JulianDate dtStart, java.lang.String strName, java.lang.String strCurrency, double[] adblDate, double[] adblHazardRate, double dblRecovery)
dtStart
- Curve epoch datestrName
- Credit Curve NamestrCurrency
- CurrencyadblDate
- Array of datesadblHazardRate
- Array of hazard ratesdblRecovery
- Recoverypublic static final ExplicitBootCreditCurve FromByteArray(byte[] ab)
ab
- Byte Arraypublic static final ExplicitBootCreditCurve CreateCreditCurve(double dblStart, java.lang.String strName, java.lang.String strCurrency, double[] adblHazardRate, double[] adblHazardDate, double[] adblRecoveryRate, double[] adblRecoveryDate, double dblSpecificDefaultDate)
dblStart
- Curve Epoch datestrName
- Credit Curve NamestrCurrency
- CurrencyadblHazardRate
- Matched array of hazard ratesadblHazardDate
- Matched array of hazard datesadblRecoveryRate
- Matched array of recovery ratesadblRecoveryDate
- Matched array of recovery datesdblSpecificDefaultDate
- (Optional) Specific Default Date