public class CDSBuilder
extends java.lang.Object
Constructor and Description |
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CDSBuilder() |
Modifier and Type | Method and Description |
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static CreditDefaultSwap |
CreateCDS(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
java.lang.String strIR,
CreditSetting crValParams,
java.lang.String strCalendar,
boolean bAdjustDates)
Creates the credit default swap from the effective/maturity dates, coupon, IR curve name, and
component credit valuation parameters.
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static CreditDefaultSwap |
CreateCDS(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
java.lang.String strIR,
double dblRecovery,
java.lang.String strCC,
java.lang.String strCalendar,
boolean bAdjustDates)
Creates the credit default swap from the effective/maturity dates, coupon, IR curve name, and
credit curve.
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static CreditDefaultSwap |
CreateCDS(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strIR,
CreditSetting crValParams,
java.lang.String strCalendar)
Creates the credit default swap from the effective date, tenor, coupon, IR curve name, and
component credit valuation parameters.
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static CreditDefaultSwap |
CreateCDS(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strIR,
java.lang.String strCC,
java.lang.String strCalendar)
Creates the credit default swap from the effective/maturity dates, coupon, IR curve name, and
credit curve.
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static CreditDefaultSwap |
CreateSAPC(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strCC)
Creates an Standard Asia Pacific CDS contract with full first stub
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static CreditDefaultSwap |
CreateSEUC(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strCC)
Creates an Standard EU CDS contract with full first stub
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static CreditDefaultSwap |
CreateSNAC(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strCC)
Creates an SNAC style CDS contract with full first stub
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static CreditDefaultSwap |
CreateSNAC(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strIR,
java.lang.String strCC,
java.lang.String strCalendar)
Creates an SNAC style CDS contract with full first stub
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static CreditDefaultSwap |
CreateSTEM(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strCC,
java.lang.String strLocation)
Creates an Standard Emerging Market CDS contract with full first stub
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static CreditDefaultSwap |
FromByteArray(byte[] ab)
Create a CDS Instance from the byte array
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public static final CreditDefaultSwap CreateCDS(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon, java.lang.String strIR, CreditSetting crValParams, java.lang.String strCalendar, boolean bAdjustDates)
dtEffective
- JulianDate effectivedtMaturity
- JulianDate maturitydblCoupon
- CouponstrIR
- IR Curve namecrValParams
- CompCRValParamsstrCalendar
- Optional Holiday Calendar for accrual calculationbAdjustDates
- Roll using the FWD mode for the period end dates and the pay datespublic static final CreditDefaultSwap CreateCDS(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon, java.lang.String strIR, double dblRecovery, java.lang.String strCC, java.lang.String strCalendar, boolean bAdjustDates)
dtEffective
- JulianDate effectivedtMaturity
- JulianDate maturitydblCoupon
- CouponstrIR
- IR Curve namedblRecovery
- Recovery RatestrCC
- Credit curve namestrCalendar
- Optional Holiday Calendar for accrual calculationbAdjustDates
- Roll using the FWD mode for the period end dates and the pay datespublic static final CreditDefaultSwap CreateSNAC(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCC)
dtEffective
- CDS Effective datestrTenor
- CDS TenordblCoupon
- SNAC strike couponstrCC
- Credit Curve namepublic static final CreditDefaultSwap CreateSNAC(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strIR, java.lang.String strCC, java.lang.String strCalendar)
dtEffective
- CDS Effective datestrTenor
- CDS TenordblCoupon
- SNAC strike couponstrIR
- IR Curve namestrCC
- Credit Curve namestrCalendar
- Holiday Calendarpublic static final CreditDefaultSwap CreateSEUC(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCC)
dtEffective
- CDS Effective datestrTenor
- CDS TenordblCoupon
- Strike couponstrCC
- Credit Curve namepublic static final CreditDefaultSwap CreateSAPC(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCC)
dtEffective
- CDS Effective datestrTenor
- CDS TenordblCoupon
- Strike couponstrCC
- Credit Curve namepublic static final CreditDefaultSwap CreateSTEM(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCC, java.lang.String strLocation)
dtEffective
- CDS Effective datestrTenor
- CDS TenordblCoupon
- Strike couponstrCC
- Credit Curve namepublic static final CreditDefaultSwap CreateCDS(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strIR, CreditSetting crValParams, java.lang.String strCalendar)
dtEffective
- JulianDate effectivestrTenor
- String tenordblCoupon
- CouponstrIR
- IR Curve namecrValParams
- CompCRValParamsstrCalendar
- Optional Holiday Calendar for accrual calculationpublic static final CreditDefaultSwap CreateCDS(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strIR, java.lang.String strCC, java.lang.String strCalendar)
dtEffective
- JulianDate effectivestrTenor
- String tenordblCoupon
- CouponstrIR
- IR Curve namestrCC
- Credit curve namestrCalendar
- Optional Holiday Calendar for accrual calculationpublic static final CreditDefaultSwap FromByteArray(byte[] ab)
ab
- Byte Array