org.drip.historical.state

Class CreditCurveMetrics

java.lang.Object

org.drip.historical.state.CreditCurveMetrics

public class CreditCurveMetrics
extends java.lang.Object

CreditCurveMetrics holds the computed Metrics associated the Credit Curve State.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
CreditCurveMetrics(JulianDate dtClose) CreditCurveMetrics Constructor

Method Summary

Modifier and Type	Method and Description
boolean	addRecoveryRate(JulianDate dt, double dblRecoveryRate) Add the Recovery Rate corresponding to the specified Date
boolean	addSurvivalProbability(JulianDate dt, double dblSurvivalProbability) Add the Survival Probability corresponding to the specified Date
JulianDate	close() Retrieve the Closing Date
double	recoveryRate(JulianDate dt) Retrieve the Recovery Rate corresponding to the specified Date
double	survivalProbability(JulianDate dt) Retrieve the Survival Probability corresponding to the specified Date

Methods inherited from class java.lang.Object

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

Constructor Detail

CreditCurveMetrics

public CreditCurveMetrics(JulianDate dtClose)
                   throws java.lang.Exception

CreditCurveMetrics Constructor

Parameters:

dtClose - The Closing Date

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

Method Detail

close

public JulianDate close()

Retrieve the Closing Date

Returns:

The Closing Date

addSurvivalProbability

public boolean addSurvivalProbability(JulianDate dt,
                                      double dblSurvivalProbability)

Add the Survival Probability corresponding to the specified Date

Parameters:

dt - The Date

dblSurvivalProbability - The Survival Probability

Returns:

TRUE - The Dated Survival Probability successfully added

addRecoveryRate

public boolean addRecoveryRate(JulianDate dt,
                               double dblRecoveryRate)

Add the Recovery Rate corresponding to the specified Date

Parameters:

dt - The Date

dblRecoveryRate - The Recovery Rate

Returns:

TRUE - The Dated Recovery Rate successfully added

survivalProbability

public double survivalProbability(JulianDate dt)
                           throws java.lang.Exception

Retrieve the Survival Probability corresponding to the specified Date

Parameters:

dt - The Specified Date

Returns:

The corresponding Survival Probability

Throws:

java.lang.Exception - Thrown if the Survival Probability cannot be retrieved

recoveryRate

public double recoveryRate(JulianDate dt)
                    throws java.lang.Exception

Retrieve the Recovery Rate corresponding to the specified Date

Parameters:

dt - The Specified Date

Returns:

The corresponding Recovery Rate

Throws:

java.lang.Exception - Thrown if the Recovery Rate cannot be retrieved