Package | Description |
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org.drip.product.creator | |
org.drip.product.credit | |
org.drip.service.api |
Modifier and Type | Method and Description |
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static CreditDefaultSwap |
CDSBuilder.CreateCDS(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
java.lang.String strIR,
CreditSetting crValParams,
java.lang.String strCalendar,
boolean bAdjustDates)
Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and
component credit valuation parameters.
|
static CreditDefaultSwap |
CDSBuilder.CreateCDS(JulianDate dtEffective,
JulianDate dtMaturity,
double dblCoupon,
java.lang.String strIR,
double dblRecovery,
java.lang.String strCC,
java.lang.String strCalendar,
boolean bAdjustDates)
Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and
credit curve.
|
static CreditDefaultSwap |
CDSBuilder.CreateCDS(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strIR,
CreditSetting crValParams,
java.lang.String strCalendar)
Create the credit default swap from the effective date, tenor, coupon, IR curve name, and component
credit valuation parameters.
|
static CreditDefaultSwap |
CDSBuilder.CreateCDS(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strIR,
java.lang.String strCC,
java.lang.String strCalendar)
Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and credit
curve.
|
static CreditDefaultSwap |
CDSBuilder.CreateSAPC(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strCC)
Create an Standard Asia Pacific CDS contract with full first stub
|
static CreditDefaultSwap |
CDSBuilder.CreateSEUC(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strCC)
Create an Standard EU CDS contract with full first stub
|
static CreditDefaultSwap |
CDSBuilder.CreateSNAC(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strCC)
Create an SNAC style CDS contract with full first stub
|
static CreditDefaultSwap |
CDSBuilder.CreateSNAC(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strIR,
java.lang.String strCC,
java.lang.String strCalendar)
Create an SNAC style CDS contract with full first stub
|
static CreditDefaultSwap |
CDSBuilder.CreateSTEM(JulianDate dtEffective,
java.lang.String strTenor,
double dblCoupon,
java.lang.String strCC,
java.lang.String strLocation)
Create an Standard Emerging Market CDS contract with full first stub
|
static CreditDefaultSwap |
CDSBuilder.FromByteArray(byte[] ab)
Create a CDS Instance from the byte array
|
Modifier and Type | Class and Description |
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class |
CDSComponent
CDSComponent implements the credit default swap product contract details.
|
Constructor and Description |
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CDSComponent.SpreadCalibrator(CreditDefaultSwap cds,
int iCalibType)
Constructor: Construct the SpreadCalibrator from the CDS parent, and whether the calibration is
off of a single node
|
Modifier and Type | Method and Description |
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static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.GetEODCDSMeasures(CreditDefaultSwap cds,
JulianDate dtEOD)
Calculates the EOD Measures for the CDS using the closing discount and the credit curves
|
static CaseInsensitiveTreeMap<java.lang.Double> |
CreditAnalytics.GetLiveCDSMeasures(CreditDefaultSwap cds)
Calculate the CDS measures from live discount and credit curves
|