public abstract class CreditComponent extends CalibratableComponent
NULL_SER_STRING, VERSION
Constructor and Description |
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CreditComponent() |
Modifier and Type | Method and Description |
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abstract java.util.List<CashflowPeriodCurveFactors> |
getCouponFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams)
Get the coupon flow for the credit component
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abstract CreditSetting |
getCRValParams()
Get the credit component's Credit Valuation Parameters
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abstract java.util.List<LossPeriodCurveFactors> |
getLossFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams)
Generate the loss flow for the credit component based on the pricer parameters
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abstract double |
getRecovery(double dblDate,
CreditCurve cc)
Get the recovery of the credit component for the given date
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abstract double |
getRecovery(double dblDate1,
double dblDate2,
CreditCurve cc)
Get the time-weighted recovery of the credit component between the given dates
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calcPVDFMicroJack, calcQuoteDFMicroJack, generateCalibPRLC, getPrimaryCode, getSecondaryCode, setPrimaryCode, terminalDate
calcCustomScenarioMeasures, calcMeasures, calcMeasureValue, getCashFlowPeriod, getCashSettleParams, getCoupon, getEffectiveDate, getFirstCouponDate, getInitialNotional, getMaturityDate, getMeasureNames, getNotional, getNotional, setCurves, tenor, value
deserialize, getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer, serialize
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
getComponentName, getCreditCurveName, getEDSFCurveName, getForwardCurveName, getIRCurveName, getTreasuryCurveName
public abstract java.util.List<CashflowPeriodCurveFactors> getCouponFlow(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams)
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- Component Market Paramspublic abstract java.util.List<LossPeriodCurveFactors> getLossFlow(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams)
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- ComponentMarketParamspublic abstract double getRecovery(double dblDate, CreditCurve cc) throws java.lang.Exception
dblDate
- Double JulianDatecc
- Credit Curvejava.lang.Exception
- Thrown if recovery cannot be calculatedpublic abstract double getRecovery(double dblDate1, double dblDate2, CreditCurve cc) throws java.lang.Exception
dblDate1
- Double JulianDatedblDate2
- Double JulianDatecc
- Credit Curvejava.lang.Exception
- Thrown if recovery cannot be calculatedpublic abstract CreditSetting getCRValParams()