org.drip.product.creator

Class CDSBasketBuilder

java.lang.Object

org.drip.product.creator.CDSBasketBuilder

public class CDSBasketBuilder
extends java.lang.Object

CDSBasketBuilder contains the suite of helper functions for creating the CDS Basket Product from different kinds of inputs and byte streams.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
CDSBasketBuilder()

Method Summary

Modifier and Type	Method and Description
static BasketProduct	MakeBasketDefaultSwap(Component[] aComp) Create the basket default swap from an array of the credit components.
static BasketProduct	MakeCDX(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon, java.lang.String strIR, java.lang.String[] astrCC, double[] adblWeight, java.lang.String strName) Create the named CDX from effective, maturity, coupon, IR curve name, credit curve name set, and their weights.
static BasketProduct	MakeCDX(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon, java.lang.String strIR, java.lang.String[] astrCC, java.lang.String strName) Create the named CDX from effective, maturity, coupon, IR curve name, credit curve name set.

Methods inherited from class java.lang.Object

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

Constructor Detail

CDSBasketBuilder

public CDSBasketBuilder()

Method Detail

MakeCDX

public static final BasketProduct MakeCDX(JulianDate dtEffective,
                                          JulianDate dtMaturity,
                                          double dblCoupon,
                                          java.lang.String strIR,
                                          java.lang.String[] astrCC,
                                          double[] adblWeight,
                                          java.lang.String strName)

Create the named CDX from effective, maturity, coupon, IR curve name, credit curve name set, and their weights.

Parameters:

dtEffective - JulianDate Effective

dtMaturity - JulianDate Maturity

dblCoupon - Coupon

strIR - IR curve name

astrCC - credit curve name

adblWeight - Credit Component Weights

strName - CDX name

Returns:

BasketDefaultSwap

MakeCDX

public static final BasketProduct MakeCDX(JulianDate dtEffective,
                                          JulianDate dtMaturity,
                                          double dblCoupon,
                                          java.lang.String strIR,
                                          java.lang.String[] astrCC,
                                          java.lang.String strName)

Create the named CDX from effective, maturity, coupon, IR curve name, credit curve name set.

Parameters:

dtEffective - JulianDate Effective

dtMaturity - JulianDate Maturity

dblCoupon - Coupon

strIR - IR curve name

astrCC - credit curve name

strName - CDX name

Returns:

BasketDefaultSwap

MakeBasketDefaultSwap

public static final BasketProduct MakeBasketDefaultSwap(Component[] aComp)

Create the basket default swap from an array of the credit components.

Parameters:

aComp - Array of the credit components

Returns:

BasketDefaultSwap object