public class ForwardHazardCreditCurve extends ExplicitBootCreditCurve
NULL_SER_STRING, VERSION
Constructor and Description |
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ForwardHazardCreditCurve(byte[] ab)
ForwardHazardCreditCurve de-serialization from input byte array
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ForwardHazardCreditCurve(double dblStartDate,
java.lang.String strName,
java.lang.String strCurrency,
double[] adblHazardRate,
double[] adblHazardDate,
double[] adblRecoveryRate,
double[] adblRecoveryDate,
double dblSpecificDefaultDate)
Creates a credit curve from hazard rate and recovery rate term structures
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Modifier and Type | Method and Description |
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boolean |
bumpNodeValue(int iNodeIndex,
double dblValue)
Bump the node value at the node specified the index by the value
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CreditCurve |
createFlatCurve(double dblFlatNodeValue,
boolean bSingleNode,
double dblRecovery)
Create a flat hazard curve from the inputs
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CreditCurve |
customTweakManifestMeasure(ResponseValueTweakParams mmtp)
Create a LatentState Instance from the Manifest Measure Tweak Parameters
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Curve |
customTweakQuantificationMetric(ResponseValueTweakParams rvtp)
Create a LatentState Instance from the Quantification Metric Tweak Parameters
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Serializer |
deserialize(byte[] ab)
De-serialize from a byte array.
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double |
getRecovery(double dblDate)
Calculate the recovery rate to the given date
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double |
getSurvival(double dblDate)
Calculate the survival to the given date
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static void |
main(java.lang.String[] astrArgs) |
ForwardHazardCreditCurve |
parallelShiftManifestMeasure(double dblShift)
Create a LatentState Instance from the Manifest Measure Parallel Shift
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ForwardHazardCreditCurve |
parallelShiftQuantificationMetric(double dblShift)
Create a LatentState Instance from the Quantification Metric Parallel Shift
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byte[] |
serialize()
Serialize into a byte array.
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boolean |
setFlatValue(double dblValue)
Set the flat value across all the nodes
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boolean |
setNodeValue(int iNodeIndex,
double dblValue)
Set the Value/Slope at the Node specified by the Index
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ForwardHazardCreditCurve |
shiftManifestMeasure(int iSpanIndex,
double dblShift)
Create a LatentState Instance from the Shift of the Specified Manifest Measure
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calcHazard, calcHazard, calcHazard, calibComp, currency, epoch, getEffectiveRecovery, getEffectiveRecovery, getEffectiveRecovery, getEffectiveSurvival, getEffectiveSurvival, getEffectiveSurvival, getRecovery, getRecovery, getSurvival, getSurvival, lsmm, manifestMeasure, name, setCCIS, setInstrCalibInputs, setSpecificDefault, unsetSpecificDefault
getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
calibComp, currency, epoch, manifestMeasure, name, setCCIS
lsmm
public ForwardHazardCreditCurve(double dblStartDate, java.lang.String strName, java.lang.String strCurrency, double[] adblHazardRate, double[] adblHazardDate, double[] adblRecoveryRate, double[] adblRecoveryDate, double dblSpecificDefaultDate) throws java.lang.Exception
dblStartDate
- Curve Epoch datestrName
- Credit Curve NamestrCurrency
- CurrencyadblHazardRate
- Matched array of hazard ratesadblHazardDate
- Matched array of hazard datesadblRecoveryRate
- Matched array of recovery ratesadblRecoveryDate
- Matched array of recovery datesdblSpecificDefaultDate
- (Optional) Specific Default Datejava.lang.Exception
- Thrown if inputs are invalidpublic ForwardHazardCreditCurve(byte[] ab) throws java.lang.Exception
ab
- Byte Arrayjava.lang.Exception
- Thrown if ForwardHazardCreditCurve cannot be properly de-serializedpublic double getSurvival(double dblDate) throws java.lang.Exception
CreditCurve
getSurvival
in class CreditCurve
dblDate
- Datejava.lang.Exception
- Thrown if the survival probability cannot be calculatedpublic double getRecovery(double dblDate) throws java.lang.Exception
CreditCurve
getRecovery
in class CreditCurve
dblDate
- Datejava.lang.Exception
- Thrown if the Recovery rate cannot be calculatedpublic ForwardHazardCreditCurve parallelShiftQuantificationMetric(double dblShift)
LatentState
dblShift
- Parallel shift of the Quantification Metricpublic Curve customTweakQuantificationMetric(ResponseValueTweakParams rvtp)
LatentState
rvtp
- Quantification Metric Tweak Parameterspublic ForwardHazardCreditCurve parallelShiftManifestMeasure(double dblShift)
LatentState
dblShift
- Parallel shift of the Manifest Measurepublic ForwardHazardCreditCurve shiftManifestMeasure(int iSpanIndex, double dblShift)
LatentState
iSpanIndex
- Index into the Span that identifies the InstrumentdblShift
- Shift of the Manifest Measurepublic CreditCurve createFlatCurve(double dblFlatNodeValue, boolean bSingleNode, double dblRecovery)
CreditCurve
createFlatCurve
in class CreditCurve
dblFlatNodeValue
- Flat hazard node valuebSingleNode
- Uses a single node for Calibration (True)dblRecovery
- (Optional) Recovery to be used in creation of the flat curvepublic CreditCurve customTweakManifestMeasure(ResponseValueTweakParams mmtp)
LatentState
mmtp
- Manifest Measure Tweak Parameterspublic boolean setNodeValue(int iNodeIndex, double dblValue)
ExplicitBootCurve
iNodeIndex
- Node IndexdblValue
- Node Valuepublic boolean bumpNodeValue(int iNodeIndex, double dblValue)
ExplicitBootCurve
iNodeIndex
- node indexdblValue
- node bump valuepublic boolean setFlatValue(double dblValue)
ExplicitBootCurve
dblValue
- node valuepublic byte[] serialize()
Serializer
serialize
in class Serializer
public Serializer deserialize(byte[] ab)
Serializer
deserialize
in class Serializer
public static void main(java.lang.String[] astrArgs) throws java.lang.Exception
java.lang.Exception