public class CreditScenarioCurveBuilder
extends java.lang.Object
Constructor and Description |
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CreditScenarioCurveBuilder() |
Modifier and Type | Method and Description |
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static CreditScenarioCurve |
CreateCCSC(CalibratableComponent[] aCalibInst)
Creates CreditScenarioCurve from the array of calibration instruments
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static CreditCurve |
CreateCreditCurve(java.lang.String strName,
JulianDate dt,
CalibratableComponent[] aCalibInst,
DiscountCurve dc,
double[] adblQuotes,
java.lang.String[] astrCalibMeasure,
double dblRecovery,
boolean bFlat)
Calibrates the base credit curve from the input credit instruments, measures, and the quotes
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public static final CreditScenarioCurve CreateCCSC(CalibratableComponent[] aCalibInst)
aCalibInst
- Array of calibration instrumentspublic static final CreditCurve CreateCreditCurve(java.lang.String strName, JulianDate dt, CalibratableComponent[] aCalibInst, DiscountCurve dc, double[] adblQuotes, java.lang.String[] astrCalibMeasure, double dblRecovery, boolean bFlat)
strName
- Credit Curve Namedt
- Valuation DateaCalibInst
- Array of calibration instrumentsdc
- Discount CurveadblQuotes
- Array of instrument QuotesastrCalibMeasure
- Array of calibration MeasuresdblRecovery
- Recovery RatebFlat
- Whether the Calibration is based off of a flat spread