public abstract class CreditCurve extends Serializer implements Curve
NULL_SER_STRING, VERSION
Modifier and Type | Method and Description |
---|---|
double |
calcHazard(JulianDate dt)
Calculate the hazard rate to the given date
|
double |
calcHazard(JulianDate dt1,
JulianDate dt2)
Calculate the hazard rate between a pair of forward dates
|
double |
calcHazard(java.lang.String strTenor)
Calculate the hazard rate to the given tenor
|
CalibratableComponent[] |
calibComp()
Retrieve the Calibration Components
|
abstract CreditCurve |
createFlatCurve(double dblFlatNodeValue,
boolean bSingleNode,
double dblRecovery)
Create a flat hazard curve from the inputs
|
java.lang.String |
currency()
Get the Currency
|
JulianDate |
epoch()
Get the Epoch Date
|
double |
getEffectiveRecovery(double dblDate1,
double dblDate2)
Calculate the time-weighted recovery between a pair of dates
|
double |
getEffectiveRecovery(JulianDate dt1,
JulianDate dt2)
Calculate the time-weighted recovery between a pair of dates
|
double |
getEffectiveRecovery(java.lang.String strTenor1,
java.lang.String strTenor2)
Calculate the time-weighted recovery between a pair of tenors
|
double |
getEffectiveSurvival(double dblDate1,
double dblDate2)
Calculate the time-weighted survival between a pair of 2 dates
|
double |
getEffectiveSurvival(JulianDate dt1,
JulianDate dt2)
Calculate the time-weighted survival between a pair of 2 dates
|
double |
getEffectiveSurvival(java.lang.String strTenor1,
java.lang.String strTenor2)
Calculate the time-weighted survival between a pair of 2 tenors
|
abstract double |
getRecovery(double dblDate)
Calculate the recovery rate to the given date
|
double |
getRecovery(JulianDate dt)
Calculate the recovery rate to the given date
|
double |
getRecovery(java.lang.String strTenor)
Calculate the recovery rate to the given tenor
|
abstract double |
getSurvival(double dblDate)
Calculate the survival to the given date
|
double |
getSurvival(JulianDate dt)
Calculate the survival to the given date
|
double |
getSurvival(java.lang.String strTenor)
Calculate the survival to the given tenor
|
LatentStateMetricMeasure[] |
lsmm()
Retrieve the Array of the LSMM
|
double |
manifestMeasure(java.lang.String strInstr)
Retrieve the Manifest Measure of the given Instrument used to construct the Curve
|
java.lang.String |
name()
Get the Curve Name
|
boolean |
setCCIS(CurveConstructionInputSet ccis)
Set the Curve Construction Input Set Parameters
|
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,CaseInsensitiveTreeMap<java.lang.Double>> mmFixing,
QuotingParams quotingParams)
Set the calibration inputs for the CreditCurve
|
boolean |
setSpecificDefault(double dblSpecificDefaultDate)
Set the Specific Default Date
|
boolean |
unsetSpecificDefault()
Remove the Specific Default Date
|
deserialize, getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer, serialize
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
customTweakManifestMeasure, customTweakQuantificationMetric, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, shiftManifestMeasure
public java.lang.String name()
Curve
public java.lang.String currency()
Curve
public JulianDate epoch()
Curve
public boolean setSpecificDefault(double dblSpecificDefaultDate)
dblSpecificDefaultDate
- Date of Specific Defaultpublic boolean unsetSpecificDefault()
public abstract double getSurvival(double dblDate) throws java.lang.Exception
dblDate
- Datejava.lang.Exception
- Thrown if the survival probability cannot be calculatedpublic double getSurvival(JulianDate dt) throws java.lang.Exception
dt
- Datejava.lang.Exception
- Thrown if the survival probability cannot be calculatedpublic double getSurvival(java.lang.String strTenor) throws java.lang.Exception
strTenor
- Tenorjava.lang.Exception
- Thrown if the survival probability cannot be calculatedpublic 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 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 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 getRecovery(double dblDate) throws java.lang.Exception
dblDate
- Datejava.lang.Exception
- Thrown if the Recovery rate cannot be calculatedpublic double getRecovery(JulianDate dt) throws java.lang.Exception
dt
- Datejava.lang.Exception
- Thrown if the Recovery rate cannot be calculatedpublic double getRecovery(java.lang.String strTenor) throws java.lang.Exception
strTenor
- Tenorjava.lang.Exception
- Thrown if the Recovery rate cannot be calculatedpublic double getEffectiveRecovery(double dblDate1, double dblDate2) throws java.lang.Exception
dblDate1
- First DatedblDate2
- Second Datejava.lang.Exception
- Thrown if the recovery cannot be calculatedpublic double getEffectiveRecovery(JulianDate dt1, JulianDate dt2) throws java.lang.Exception
dt1
- First Datedt2
- Second Datejava.lang.Exception
- Thrown if the recovery cannot be calculatedpublic 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 calculatedpublic 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 double calcHazard(JulianDate dt) throws java.lang.Exception
dt
- Datejava.lang.Exception
- Thrown if the hazard rate cannot be calculatedpublic double calcHazard(java.lang.String strTenor) throws java.lang.Exception
strTenor
- Tenorjava.lang.Exception
- Thrown if the hazard rate cannot be calculatedpublic 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 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,CaseInsensitiveTreeMap<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 boolean setCCIS(CurveConstructionInputSet ccis)
Curve
public CalibratableComponent[] calibComp()
Curve
public LatentStateMetricMeasure[] lsmm()
LatentState
lsmm
in interface LatentState
public double manifestMeasure(java.lang.String strInstr) throws java.lang.Exception
Curve
manifestMeasure
in interface Curve
strInstr
- The Calibration Instrument's Code whose Manifest Measure is soughtjava.lang.Exception