public class CDSComponent extends CreditDefaultSwap
Modifier and Type | Class and Description |
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class |
CDSComponent.SpreadCalibOP
CDS spread calibration output
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class |
CDSComponent.SpreadCalibrator
Implementation of the CDS spread calibrator
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NULL_SER_STRING, VERSION
Constructor and Description |
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CDSComponent(byte[] ab)
CDSComponent de-serialization from input byte array
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CDSComponent(double dblEffective,
double dblMaturity,
double dblCoupon,
int iFreq,
java.lang.String strCouponDC,
java.lang.String strAccrualDC,
java.lang.String strFloatingRateIndex,
boolean bConvCDS,
DateAdjustParams dapEffective,
DateAdjustParams dapMaturity,
DateAdjustParams dapPeriodStart,
DateAdjustParams dapPeriodEnd,
DateAdjustParams dapAccrualStart,
DateAdjustParams dapAccrualEnd,
DateAdjustParams dapPay,
DateAdjustParams dapReset,
FactorSchedule notlSchedule,
double dblNotional,
java.lang.String strIR,
CreditSetting crValParams,
java.lang.String strCalendar)
CDSComponent constructor: Most generic CDS creation functionality
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Modifier and Type | Method and Description |
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WengertJacobian |
calcPVDFMicroJack(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Compute the micro-Jacobian of the PV to the DF
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WengertJacobian |
calcQuoteDFMicroJack(java.lang.String strQuote,
ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Compute the micro-Jacobian of the given measure to the DF
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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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Serializer |
deserialize(byte[] ab)
De-serialize from a byte array.
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PredictorResponseWeightConstraint |
generateCalibPRLC(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
LatentStateMetricMeasure lsmm)
Generate the Calibratable Linearized Predictor/Response Constraints for the Component from the Market
Inputs.
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java.util.List<CashflowPeriod> |
getCashFlowPeriod()
Get the Component's Cash Flow Periods
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CashSettleParams |
getCashSettleParams()
Get the component cash settlement parameters
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java.lang.String |
getComponentName()
Get the component name
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double |
getCoupon(double dblValue,
ComponentMarketParams mktParams)
Get the component's coupon at the given date
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java.util.List<CashflowPeriodCurveFactors> |
getCouponFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams)
Get the coupon flow for the credit component
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java.lang.String |
getCreditCurveName()
Get the credit curve name
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CreditSetting |
getCRValParams()
Get the credit component's Credit Valuation Parameters
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java.lang.String |
getEDSFCurveName()
Get the EDSF curve name
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JulianDate |
getEffectiveDate()
Get the Effective Date
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java.lang.String |
getFieldDelimiter()
Returns the Field Delimiter String
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JulianDate |
getFirstCouponDate()
Get the First Coupon Date
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java.lang.String |
getForwardCurveName()
Get the Forward Curve Name
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double |
getInitialNotional()
Get the Initial Notional for the Component
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java.lang.String |
getIRCurveName()
Get the IR curve name
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java.util.List<LossPeriodCurveFactors> |
getLossFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams)
Generate the loss flow for the credit component based on the pricer parameters
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JulianDate |
getMaturityDate()
Get the Maturity Date
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java.util.Set<java.lang.String> |
getMeasureNames()
Retrieve the ordered set of the measure names whose values will be calculated
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double |
getNotional(double dblDate)
Get the Notional for the Component at the given date
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double |
getNotional(double dblDate1,
double dblDate2)
Get the time-weighted Notional for the Component between 2 dates
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java.lang.String |
getObjectTrailer()
Returns the Object Trailer String
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java.lang.String |
getPrimaryCode()
Return the primary code
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double |
getRecovery(double dblDate,
CreditCurve cc)
Get the recovery of the credit component for the given date
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double |
getRecovery(double dblDateStart,
double dblDateEnd,
CreditCurve cc)
Get the time-weighted recovery of the credit component between the given dates
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java.lang.String |
getTreasuryCurveName()
Get the treasury curve name
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double |
resetCoupon(double dblCoupon)
Reset the CDS's coupon
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byte[] |
serialize()
Serialize into a byte array.
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boolean |
setCurves(java.lang.String strIR,
java.lang.String strIRTSY,
java.lang.String strCC)
Set the component's IR, treasury, and credit curve names
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boolean |
setName(java.lang.String strName) |
void |
setPrimaryCode(java.lang.String strCode)
Set the component's primary code
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CaseInsensitiveTreeMap<java.lang.Double> |
value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Generate a full list of the component measures for the full input set of market parameters
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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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getSecondaryCode, terminalDate
calcCustomScenarioMeasures, calcMeasures, calcMeasureValue, tenor
getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter
public CDSComponent(double dblEffective, double dblMaturity, double dblCoupon, int iFreq, java.lang.String strCouponDC, java.lang.String strAccrualDC, java.lang.String strFloatingRateIndex, boolean bConvCDS, DateAdjustParams dapEffective, DateAdjustParams dapMaturity, DateAdjustParams dapPeriodStart, DateAdjustParams dapPeriodEnd, DateAdjustParams dapAccrualStart, DateAdjustParams dapAccrualEnd, DateAdjustParams dapPay, DateAdjustParams dapReset, FactorSchedule notlSchedule, double dblNotional, java.lang.String strIR, CreditSetting crValParams, java.lang.String strCalendar) throws java.lang.Exception
dblEffective
- Effective DatedblMaturity
- Maturity DatedblCoupon
- CouponiFreq
- FrequencystrCouponDC
- Coupon DCstrAccrualDC
- Accrual DCstrFloatingRateIndex
- Floating Rate IndexbConvCDS
- Is CDS ConventionaldapEffective
- Effective DAPdapMaturity
- Maturity DAPdapPeriodStart
- Period Start DAPdapPeriodEnd
- Period End DAPdapAccrualStart
- Accrual Start DAPdapAccrualEnd
- Accrual End DAPdapPay
- Pay DAPdapReset
- Reset DAPnotlSchedule
- Notional ScheduledblNotional
- Notional AmountstrIR
- IR Curve NamecrValParams
- Credit Valuation ParametersstrCalendar
- Calendarjava.lang.Exception
public CDSComponent(byte[] ab) throws java.lang.Exception
ab
- Byte Arrayjava.lang.Exception
- Thrown if CDSComponent cannot be properly de-serializedpublic java.lang.String getPrimaryCode()
CalibratableComponent
getPrimaryCode
in class CalibratableComponent
public void setPrimaryCode(java.lang.String strCode)
CalibratableComponent
setPrimaryCode
in class CalibratableComponent
strCode
- Primary Codepublic boolean setName(java.lang.String strName)
public java.lang.String getComponentName()
ComponentMarketParamRef
public java.lang.String getTreasuryCurveName()
ComponentMarketParamRef
public java.lang.String getEDSFCurveName()
ComponentMarketParamRef
public double getInitialNotional()
Component
getInitialNotional
in class Component
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 dblDate1, double dblDate2) throws java.lang.Exception
Component
getNotional
in class Component
dblDate1
- Double date firstdblDate2
- Double date secondjava.lang.Exception
- Thrown if 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 CreditSetting getCRValParams()
CreditComponent
getCRValParams
in class CreditComponent
public double getCoupon(double dblValue, ComponentMarketParams mktParams) throws java.lang.Exception
Component
public double resetCoupon(double dblCoupon) throws java.lang.Exception
resetCoupon
in class CreditDefaultSwap
dblCoupon
- The new Couponjava.lang.Exception
- Thrown if the coupon cannot be resetpublic 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 getForwardCurveName()
ComponentMarketParamRef
public java.lang.String getCreditCurveName()
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<CashflowPeriod> getCashFlowPeriod()
Component
getCashFlowPeriod
in class Component
public CashSettleParams getCashSettleParams()
Component
getCashSettleParams
in class Component
public java.util.List<CashflowPeriodCurveFactors> getCouponFlow(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams)
CreditComponent
getCouponFlow
in class CreditComponent
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- Component Market Paramspublic java.util.List<LossPeriodCurveFactors> getLossFlow(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams)
CreditComponent
getLossFlow
in class CreditComponent
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- ComponentMarketParamspublic CaseInsensitiveTreeMap<java.lang.Double> value(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams)
Component
public java.util.Set<java.lang.String> getMeasureNames()
Component
getMeasureNames
in class Component
public CaseInsensitiveTreeMap<java.lang.Double> valueFromQuotedSpread(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblFixCoupon, double dblQuotedSpread)
CreditDefaultSwap
valueFromQuotedSpread
in class CreditDefaultSwap
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- ComponentMarketParamsquotingParams
- Quoting ParametersdblFixCoupon
- Fix CoupondblQuotedSpread
- Quoted Spreadpublic WengertJacobian calcPVDFMicroJack(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams)
CalibratableComponent
calcPVDFMicroJack
in class CalibratableComponent
valParams
- Valuation ParameterspricerParams
- Pricer ParametersmktParams
- Component Market ParametersquotingParams
- Component Quoting Parameterspublic WengertJacobian calcQuoteDFMicroJack(java.lang.String strQuote, ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams)
CalibratableComponent
calcQuoteDFMicroJack
in class CalibratableComponent
strQuote
- Quote NamevalParams
- Valuation ParameterspricerParams
- Pricer ParametersmktParams
- Component Market ParametersquotingParams
- Component Quoting Parameterspublic PredictorResponseWeightConstraint generateCalibPRLC(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams, LatentStateMetricMeasure lsmm)
CalibratableComponent
generateCalibPRLC
in class CalibratableComponent
valParams
- Valuation ParameterspricerParams
- Pricer ParametersmktParams
- Component Market ParametersquotingParams
- Component Quoting Parameterslsmm
- The Latent State Metric and the Component Measurepublic double calibFlatSpread(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams) throws java.lang.Exception
calibFlatSpread
in class CreditDefaultSwap
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- ComponentMarketParamsquotingParams
- Quoting Parametersjava.lang.Exception
- Thrown if cannot calibratepublic java.lang.String getFieldDelimiter()
Serializer
getFieldDelimiter
in class Serializer
public java.lang.String getObjectTrailer()
Serializer
getObjectTrailer
in class Serializer
public byte[] serialize()
Serializer
serialize
in class Serializer
public Serializer deserialize(byte[] ab)
Serializer
deserialize
in class Serializer