Package | Description |
---|---|
org.drip.state.creator | |
org.drip.state.curve | |
org.drip.state.estimator |
Modifier and Type | Method and Description |
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static ExplicitBootCreditCurve |
CreditCurveBuilder.CreateCreditCurve(double dblStart,
java.lang.String strName,
java.lang.String strCurrency,
double[] adblHazardRate,
double[] adblHazardDate,
double[] adblRecoveryRate,
double[] adblRecoveryDate,
double dblSpecificDefaultDate)
Create a credit curve from hazard rate and recovery rate term structures
|
static ExplicitBootCreditCurve |
CreditCurveBuilder.CreateCreditCurve(JulianDate dtStart,
java.lang.String strName,
java.lang.String strCurrency,
double[] adblDate,
double[] adblHazardRate,
double dblRecovery)
Create a credit curve from an array of dates and hazard rates
|
static ExplicitBootCreditCurve |
CreditCurveBuilder.FromByteArray(byte[] ab)
Create the credit curve from the given byte array
|
static ExplicitBootCreditCurve |
CreditCurveBuilder.FromFlatHazard(double dblStartDate,
java.lang.String strName,
java.lang.String strCurrency,
double dblHazardRate,
double dblRecovery)
Create a CreditCurve instance from a single node hazard rate
|
static ExplicitBootCreditCurve |
CreditCurveBuilder.FromHazardNode(double dblStartDate,
java.lang.String strName,
java.lang.String strCurrency,
double dblHazardRate,
double dblHazardDate,
double dblRecovery)
Create an instance of the CreditCurve object from a solitary hazard rate node
|
static ExplicitBootCreditCurve |
CreditCurveBuilder.FromSurvival(double dblStartDate,
java.lang.String strName,
java.lang.String strCurrency,
double[] adblSurvivalDate,
double[] adblSurvivalProbability,
double dblRecovery)
Create a CreditCurve instance from the input array of survival probabilities
|
Modifier and Type | Class and Description |
---|---|
class |
ForwardHazardCreditCurve
ForwardHazardCreditCurve manages the Survival Latent State, using the Hazard Rate as the State Response
Representation.
|
Modifier and Type | Method and Description |
---|---|
boolean |
NonlinearCurveCalibrator.bootstrapHazardRate(ExplicitBootCreditCurve cc,
Component comp,
int iInstr,
ValuationParams valParams,
DiscountCurve dc,
DiscountCurve dcTSY,
DiscountCurve dcEDSF,
PricerParams pricerParamsIn,
java.lang.String strMeasure,
double dblCalibValue,
java.util.Map<JulianDate,CaseInsensitiveTreeMap<java.lang.Double>> mmFixings,
QuotingParams quotingParams,
boolean bFlat)
Calibrate a single Hazard Rate Node from the corresponding Component
|