org.drip.analytics.cashflow

Class LossQuadratureMetrics

java.lang.Object

org.drip.analytics.cashflow.LossQuadratureMetrics

public class LossQuadratureMetrics
extends java.lang.Object

LossPeriodCurveFactors is an implementation of the period class enhanced by the loss period measures. It exports the following functionality: - Start/end survival probabilities, period effective notional/recovery/discount factor - Serialization into and de-serialization out of byte arrays

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
LossQuadratureMetrics(int iStartDate, int iEndDate, double dblStartSurvival, double dblEndSurvival, double dblAccrualDCF, double dblEffectiveNotional, double dblEffectiveRecovery, double dblEffectiveDF) Elaborate LossPeriodCurveFactors constructor

Method Summary

Modifier and Type	Method and Description
double	accrualDCF() Get the period's Accrual Day Count Fraction
double	effectiveDF() Get the period's effective discount factor
double	effectiveNotional() Get the period's effective notional
double	effectiveRecovery() Get the period's effective recovery
int	endDate() Period End Date
double	endSurvival() Survival at the period end
static LossQuadratureMetrics	MakeDefaultPeriod(int iStartDate, int iEndDate, double dblAccrualDCF, double dblEffectiveNotional, double dblEffectiveRecovery, MergedDiscountForwardCurve dc, CreditCurve cc, int iDefaultLag) Create an Instance of the LossPeriodCurveFactors using the Period's Dates and Curves to generate the Curve Measures
static LossQuadratureMetrics	MakeDefaultPeriod(int iStartDate, int iEndDate, double dblAccrualDCF, double dblEffectiveNotional, MergedDiscountForwardCurve dc, CreditCurve cc, int iDefaultLag) Create a LossPeriodCurveFactors instance from the period dates and the curve measures
int	startDate() Period Start Date
double	startSurvival() Survival Probability at the period beginning

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

LossQuadratureMetrics

public LossQuadratureMetrics(int iStartDate,
                             int iEndDate,
                             double dblStartSurvival,
                             double dblEndSurvival,
                             double dblAccrualDCF,
                             double dblEffectiveNotional,
                             double dblEffectiveRecovery,
                             double dblEffectiveDF)
                      throws java.lang.Exception

Elaborate LossPeriodCurveFactors constructor

Parameters:

iStartDate - Period Start Date

iEndDate - Period End Date

dblStartSurvival - Period Start Survival

dblEndSurvival - Period End Survival

dblAccrualDCF - Period Accrual DCF

dblEffectiveNotional - Period Effective Notional

dblEffectiveRecovery - Period Effective Recovery

dblEffectiveDF - Period Effective Discount Factor

Throws:

java.lang.Exception - Thrown if inputs are invalid

Method Detail

MakeDefaultPeriod

public static final LossQuadratureMetrics MakeDefaultPeriod(int iStartDate,
                                                            int iEndDate,
                                                            double dblAccrualDCF,
                                                            double dblEffectiveNotional,
                                                            double dblEffectiveRecovery,
                                                            MergedDiscountForwardCurve dc,
                                                            CreditCurve cc,
                                                            int iDefaultLag)

Create an Instance of the LossPeriodCurveFactors using the Period's Dates and Curves to generate the Curve Measures

Parameters:

iStartDate - Period Start Date

iEndDate - Period End Date

dblAccrualDCF - Period's Accrual Day Count Fraction

dblEffectiveNotional - Period's Effective Notional

dblEffectiveRecovery - Period's Effective Recovery

dc - Discount Curve

cc - Credit Curve

iDefaultLag - Default Pay Lag

Returns:

LossPeriodCurveFactors instance

MakeDefaultPeriod

public static final LossQuadratureMetrics MakeDefaultPeriod(int iStartDate,
                                                            int iEndDate,
                                                            double dblAccrualDCF,
                                                            double dblEffectiveNotional,
                                                            MergedDiscountForwardCurve dc,
                                                            CreditCurve cc,
                                                            int iDefaultLag)

Create a LossPeriodCurveFactors instance from the period dates and the curve measures

Parameters:

iStartDate - Period Start Date

iEndDate - Period End Date

dblAccrualDCF - Period's Accrual Day Count Fraction

dblEffectiveNotional - Period's Effective Notional

dc - Discount Curve

cc - Credit Curve

iDefaultLag - Default Pay Lag

Returns:

LossPeriodCurveFactors instance

startDate

public int startDate()

Period Start Date

Returns:

Period Start Date

startSurvival

public double startSurvival()

Survival Probability at the period beginning

Returns:

Survival Probability at the period beginning

endDate

public int endDate()

Period End Date

Returns:

Period End Date

endSurvival

public double endSurvival()

Survival at the period end

Returns:

Survival at the period end

effectiveNotional

public double effectiveNotional()

Get the period's effective notional

Returns:

Period's effective notional

effectiveRecovery

public double effectiveRecovery()

Get the period's effective recovery

Returns:

Period's effective recovery

effectiveDF

public double effectiveDF()

Get the period's effective discount factor

Returns:

Period's effective discount factor

accrualDCF

public double accrualDCF()

Get the period's Accrual Day Count Fraction

Returns:

Period's Accrual Day Count Fraction