org.drip.param.market

Class CreditCurveScenarioContainer

java.lang.Object

org.drip.param.market.CreditCurveScenarioContainer

public class CreditCurveScenarioContainer
extends java.lang.Object

CreditCurveScenarioContainer contains the place holder for the bump parameters and the curves for the different credit curve scenarios. Contains the spread and the recovery bumps, and the credit curve scenario generator object that wraps the calibration instruments. It also contains the base credit curve, spread bumped up/down credit curves, recovery bumped up/down credit curves, and the tenor mapped up/down credit curves.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
static int	CC_BASE CC Scenario Base
static int	CC_FLAT_DN CC Scenario Parallel Down
static int	CC_FLAT_UP CC Scenario Parallel Up
static int	CC_RR_FLAT_DN CC Scenario Recovery Parallel Down
static int	CC_RR_FLAT_UP CC Scenario Recovery Parallel Up
static int	CC_TENOR_DN CC Scenario Tenor Down
static int	CC_TENOR_UP CC Scenario Tenor Up

Constructor Summary

Constructors

Constructor and Description
CreditCurveScenarioContainer(CalibratableComponent[] aCalibInst, double dblCouponBump, double dblRecoveryBump) Construct CreditCurveScenarioContainer from the array of calibration instruments, the coupon bump parameter, and the recovery bump parameter

Method Summary

Modifier and Type	Method and Description
CreditCurve	base() Return the base credit curve
CreditCurve	bumpDown() Return the bump Down credit curve
CreditCurve	bumpRecoveryDown() Return the recovery bump Down credit curve
CreditCurve	bumpRecoveryUp() Return the recovery bump up credit curve
CreditCurve	bumpUp() Return the bump up credit curve
boolean	cookCustomCC(java.lang.String strName, java.lang.String strCustomName, ValuationParams valParams, MergedDiscountForwardCurve dc, GovvieCurve gc, java.lang.String[] astrCalibMeasure, double[] adblQuote, double dblRecovery, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp, boolean bFlat, ManifestMeasureTweak rvtpDC, ManifestMeasureTweak rvtpTSY, ManifestMeasureTweak rvtpCC) Cook the credit curve according to the desired tweak parameters
boolean	cookScenarioCC(java.lang.String strName, ValuationParams valParams, MergedDiscountForwardCurve dc, GovvieCurve gc, java.lang.String[] astrCalibMeasure, double[] adblQuote, double dblRecovery, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp, boolean bFlat, int iScenario) Cook and save the credit curves corresponding to the scenario specified
CaseInsensitiveTreeMap<CreditCurve>	custom() Return the Custom credit curve map
CaseInsensitiveTreeMap<CreditCurve>	tenorBumpDown() Return the tenor bump Down credit curve map
CaseInsensitiveTreeMap<CreditCurve>	tenorBumpUp() Return the tenor bump up credit curve map

Methods inherited from class java.lang.Object

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

Field Detail

CC_BASE

public static final int CC_BASE

CC Scenario Base

See Also:

Constant Field Values

CC_FLAT_UP

public static final int CC_FLAT_UP

CC Scenario Parallel Up

See Also:

Constant Field Values

CC_FLAT_DN

public static final int CC_FLAT_DN

CC Scenario Parallel Down

See Also:

Constant Field Values

CC_TENOR_UP

public static final int CC_TENOR_UP

CC Scenario Tenor Up

See Also:

Constant Field Values

CC_TENOR_DN

public static final int CC_TENOR_DN

CC Scenario Tenor Down

See Also:

Constant Field Values

CC_RR_FLAT_UP

public static final int CC_RR_FLAT_UP

CC Scenario Recovery Parallel Up

See Also:

Constant Field Values

CC_RR_FLAT_DN

public static final int CC_RR_FLAT_DN

CC Scenario Recovery Parallel Down

See Also:

Constant Field Values

Constructor Detail

CreditCurveScenarioContainer

public CreditCurveScenarioContainer(CalibratableComponent[] aCalibInst,
                                    double dblCouponBump,
                                    double dblRecoveryBump)
                             throws java.lang.Exception

Construct CreditCurveScenarioContainer from the array of calibration instruments, the coupon bump parameter, and the recovery bump parameter

Parameters:

aCalibInst - Array of calibration instruments

dblCouponBump - Coupon Bump

dblRecoveryBump - Recovery Bump

Throws:

java.lang.Exception - Thrown if inputs are invalid

Method Detail

cookScenarioCC

public boolean cookScenarioCC(java.lang.String strName,
                              ValuationParams valParams,
                              MergedDiscountForwardCurve dc,
                              GovvieCurve gc,
                              java.lang.String[] astrCalibMeasure,
                              double[] adblQuote,
                              double dblRecovery,
                              LatentStateFixingsContainer lsfc,
                              ValuationCustomizationParams vcp,
                              boolean bFlat,
                              int iScenario)

Cook and save the credit curves corresponding to the scenario specified

Parameters:

strName - Credit Curve Name

valParams - ValuationParams

dc - Base Discount Curve

gc - Govvie Curve

astrCalibMeasure - Matched array of Calibration measures

adblQuote - Matched array of Quotes

dblRecovery - Curve Recovery

lsfc - Latent State Fixings Container

vcp - Valuation Customization Parameters

bFlat - Whether the calibration is to a flat curve

iScenario - One of the values in the CC_ enum listed above.

Returns:

Success (true), failure (false)

cookCustomCC

public boolean cookCustomCC(java.lang.String strName,
                            java.lang.String strCustomName,
                            ValuationParams valParams,
                            MergedDiscountForwardCurve dc,
                            GovvieCurve gc,
                            java.lang.String[] astrCalibMeasure,
                            double[] adblQuote,
                            double dblRecovery,
                            LatentStateFixingsContainer lsfc,
                            ValuationCustomizationParams vcp,
                            boolean bFlat,
                            ManifestMeasureTweak rvtpDC,
                            ManifestMeasureTweak rvtpTSY,
                            ManifestMeasureTweak rvtpCC)

Cook the credit curve according to the desired tweak parameters

Parameters:

strName - Scenario Credit Curve Name

strCustomName - Scenario Name

valParams - Valuation Parameters

dc - Discount Curve

gc - Govvie Curve

astrCalibMeasure - Array of calibration measures

adblQuote - Double array of input quotes

dblRecovery - Recovery Rate

lsfc - Latent State Fixings Container

vcp - Valuation Customization Parameters

bFlat - Whether the calibration is flat

rvtpDC - Node Tweak Parameters for the Base Discount Curve

rvtpTSY - Node Tweak Parameters for the TSY Discount Curve

rvtpCC - Node Tweak Parameters for the Credit Curve

Returns:

True - Credit Curve successfully created

base

public CreditCurve base()

Return the base credit curve

Returns:

The base credit curve

bumpUp

public CreditCurve bumpUp()

Return the bump up credit curve

Returns:

The Bumped up credit curve

bumpDown

public CreditCurve bumpDown()

Return the bump Down credit curve

Returns:

The Bumped Down credit curve

bumpRecoveryUp

public CreditCurve bumpRecoveryUp()

Return the recovery bump up credit curve

Returns:

The Recovery Bumped up credit curve

bumpRecoveryDown

public CreditCurve bumpRecoveryDown()

Return the recovery bump Down credit curve

Returns:

The Recovery Bumped Down credit curve

tenorBumpUp

public CaseInsensitiveTreeMap<CreditCurve> tenorBumpUp()

Return the tenor bump up credit curve map

Returns:

The Tenor Bumped up credit curve Map

tenorBumpDown

public CaseInsensitiveTreeMap<CreditCurve> tenorBumpDown()

Return the tenor bump Down credit curve map

Returns:

The Tenor Bumped Down credit curve Map

custom

public CaseInsensitiveTreeMap<CreditCurve> custom()

Return the Custom credit curve map

Returns:

The Custom credit curve Map