public abstract class CreditCurve extends Serializer implements Curve
NULL_SER_STRING, VERSION
Constructor and Description |
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CreditCurve() |
Modifier and Type | Method and Description |
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abstract double |
calcHazard(JulianDate dt)
Calculates the hazard rate to the given date
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abstract double |
calcHazard(JulianDate dt1,
JulianDate dt2)
Calculates the hazard rate between a pair of forward dates
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abstract double |
calcHazard(java.lang.String strTenor)
Calculates the hazard rate to the given tenor
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abstract CreditCurve |
createFlatCurve(double dblFlatNodeValue,
boolean bSingleNode,
double dblRecovery)
Creates a flat hazard curve from the inputs
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abstract CreditCurve |
createParallelHazardShiftedCurve(double dblShift)
Creates a parallel shifted hazard curve
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abstract double |
getEffectiveRecovery(double dblDate1,
double dblDate2)
Calculates the time-weighted recovery between a pair of dates
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abstract double |
getEffectiveRecovery(JulianDate dt1,
JulianDate dt2)
Calculates the time-weighted recovery between a pair of dates
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abstract double |
getEffectiveRecovery(java.lang.String strTenor1,
java.lang.String strTenor2)
Calculates the time-weighted recovery between a pair of tenors
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abstract double |
getEffectiveSurvival(double dblDate1,
double dblDate2)
Calculates the time-weighted survival between a pair of 2 dates
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abstract double |
getEffectiveSurvival(JulianDate dt1,
JulianDate dt2)
Calculates the time-weighted survival between a pair of 2 dates
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abstract double |
getEffectiveSurvival(java.lang.String strTenor1,
java.lang.String strTenor2)
Calculates the time-weighted survival between a pair of 2 tenors
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abstract double |
getRecovery(double dblDate)
Calculates the recovery rate to the given date
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abstract double |
getRecovery(JulianDate dt)
Calculates the recovery rate to the given date
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abstract double |
getRecovery(java.lang.String strTenor)
Calculates the recovery rate to the given tenor
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abstract double |
getSurvival(double dblDate)
Calculates the survival to the given date
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abstract double |
getSurvival(JulianDate dt)
Calculates the survival to the given date
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abstract double |
getSurvival(java.lang.String strTenor)
Calculates the survival to the given tenor
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abstract void |
setInstrCalibInputs(ValuationParams valParam,
boolean bFlat,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
PricerParams pricerParam,
CalibratableComponent[] aCalibInst,
double[] adblCalibQuote,
java.lang.String[] astrCalibMeasure,
java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> mmFixing,
QuotingParams quotingParams)
Sets the calibration inputs for the CreditCurve
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abstract boolean |
setSpecificDefault(double dblSpecificDefaultDate)
Sets the Specific Default Date
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abstract boolean |
unsetSpecificDefault()
Removes the Specific Default Date
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deserialize, getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer, serialize
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
bumpNodeValue, createParallelShiftedCurve, createTweakedCurve, displayString, getCalibComponents, getCompQuotes, getName, getNodeDate, getQuote, getStartDate, setFlatValue, setNodeValue
public abstract void setInstrCalibInputs(ValuationParams valParam, boolean bFlat, DiscountCurve dc, DiscountCurve dcTSY, DiscountCurve dcEDSF, PricerParams pricerParam, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> mmFixing, QuotingParams quotingParams)
valParam
- ValuationParamsbFlat
- Flat calibration desired (True)dc
- Base Discount CurvedcTSY
- Treasury Discount CurvedcEDSF
- EDSF Discount CurvepricerParam
- PricerParamsaCalibInst
- Array of calibration instrumentsadblCalibQuote
- Array of calibration quotesastrCalibMeasure
- Array of calibration measuresmmFixing
- Fixings objectquotingParams
- Quoting Parameterspublic abstract CreditCurve createParallelHazardShiftedCurve(double dblShift)
dblShift
- Shift amountpublic abstract CreditCurve createFlatCurve(double dblFlatNodeValue, boolean bSingleNode, double dblRecovery)
dblFlatNodeValue
- Flat hazard node valuebSingleNode
- Uses a single node for Calibration (True)dblRecovery
- (Optional) Recovery to be used in creation of the flat curvepublic abstract boolean setSpecificDefault(double dblSpecificDefaultDate)
dblSpecificDefaultDate
- Date of Specific Defaultpublic abstract boolean unsetSpecificDefault()
public abstract double getSurvival(double dblDate) throws java.lang.Exception
dblDate
- Datejava.lang.Exception
- Thrown if the survival probability cannot be calculatedpublic abstract double getSurvival(JulianDate dt) throws java.lang.Exception
dt
- Datejava.lang.Exception
- Thrown if the survival probability cannot be calculatedpublic abstract double getSurvival(java.lang.String strTenor) throws java.lang.Exception
strTenor
- Tenorjava.lang.Exception
- Thrown if the survival probability cannot be calculatedpublic abstract double getEffectiveSurvival(double dblDate1, double dblDate2) throws java.lang.Exception
dblDate1
- First DatedblDate2
- Second Datejava.lang.Exception
- Thrown if the survival probability cannot be calculatedpublic abstract double getEffectiveSurvival(JulianDate dt1, JulianDate dt2) throws java.lang.Exception
dt1
- First Datedt2
- Second Datejava.lang.Exception
- Thrown if the survival probability cannot be calculatedpublic abstract double getEffectiveSurvival(java.lang.String strTenor1, java.lang.String strTenor2) throws java.lang.Exception
strTenor1
- First tenorstrTenor2
- Second tenorjava.lang.Exception
- Thrown if the survival probability cannot be calculatedpublic abstract double calcHazard(JulianDate dt1, JulianDate dt2) throws java.lang.Exception
dt1
- First Datedt2
- Second Datejava.lang.Exception
- Thrown if the hazard rate cannot be calculatedpublic abstract double calcHazard(JulianDate dt) throws java.lang.Exception
dt
- Datejava.lang.Exception
- Thrown if the hazard rate cannot be calculatedpublic abstract double calcHazard(java.lang.String strTenor) throws java.lang.Exception
strTenor
- Tenorjava.lang.Exception
- Thrown if the hazard rate cannot be calculatedpublic abstract double getRecovery(double dblDate) throws java.lang.Exception
dblDate
- Datejava.lang.Exception
- Thrown if the Recovery rate cannot be calculatedpublic abstract double getRecovery(JulianDate dt) throws java.lang.Exception
dt
- Datejava.lang.Exception
- Thrown if the Recovery rate cannot be calculatedpublic abstract double getRecovery(java.lang.String strTenor) throws java.lang.Exception
strTenor
- Tenorjava.lang.Exception
- Thrown if the Recovery rate cannot be calculatedpublic abstract double getEffectiveRecovery(double dblDate1, double dblDate2) throws java.lang.Exception
dblDate1
- First DatedblDate2
- Second Datejava.lang.Exception
- Thrown if the recovery cannot be calculatedpublic abstract double getEffectiveRecovery(JulianDate dt1, JulianDate dt2) throws java.lang.Exception
dt1
- First Datedt2
- Second Datejava.lang.Exception
- Thrown if the recovery cannot be calculatedpublic abstract double getEffectiveRecovery(java.lang.String strTenor1, java.lang.String strTenor2) throws java.lang.Exception
strTenor1
- First TenorstrTenor2
- Second Tenorjava.lang.Exception
- Thrown if the recovery cannot be calculated