org.drip.product.creator

Class CDSBuilder

java.lang.Object

org.drip.product.creator.CDSBuilder

public class CDSBuilder
extends java.lang.Object

CDSBuilder contains the suite of helper functions for creating the CreditDefaultSwap product from the parameters/byte array streams. It also creates the standard EU, NA, ASIA contracts, CDS with amortization schedules, and custom CDS from product codes/tenors.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
CDSBuilder()

Method Summary

Modifier and Type	Method and Description
static CreditDefaultSwap	CreateCDS(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon, java.lang.String strCurrency, CreditSetting cs, java.lang.String strCalendar, boolean bAdjustDates) Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and component credit valuation parameters.
static CreditDefaultSwap	CreateCDS(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon, java.lang.String strCurrency, double dblRecovery, java.lang.String strCredit, java.lang.String strCalendar, boolean bAdjustDates) Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and credit curve.
static CreditDefaultSwap	CreateCDS(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCurrency, CreditSetting cs, java.lang.String strCalendar) Create the credit default swap from the effective date, tenor, coupon, IR curve name, and component credit valuation parameters.
static CreditDefaultSwap	CreateCDS(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCurrency, java.lang.String strCredit, java.lang.String strCalendar) Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and credit curve.
static CreditDefaultSwap	CreateSAPC(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCredit) Create an Standard Asia Pacific CDS contract with full first stub
static CreditDefaultSwap	CreateSNAC(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCredit) Create an SNAC style CDS contract with full first stub
static CreditDefaultSwap	CreateSNAC(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCurrency, java.lang.String strCredit, java.lang.String strCalendar) Create an SNAC style CDS contract with full first stub
static CreditDefaultSwap	CreateSTEM(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCredit, java.lang.String strLocation) Create an Standard Emerging Market CDS contract with full first stub
static CreditDefaultSwap	CreateSTEU(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCredit) Create an Standard EU CDS contract with full first stub

Methods inherited from class java.lang.Object

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

Constructor Detail

CDSBuilder

public CDSBuilder()

Method Detail

CreateCDS

public static final CreditDefaultSwap CreateCDS(JulianDate dtEffective,
                                                JulianDate dtMaturity,
                                                double dblCoupon,
                                                java.lang.String strCurrency,
                                                CreditSetting cs,
                                                java.lang.String strCalendar,
                                                boolean bAdjustDates)

Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and component credit valuation parameters.

Parameters:

dtEffective - JulianDate effective

dtMaturity - JulianDate maturity

dblCoupon - Coupon

strCurrency - Currency

cs - Credit Setting Parameters

strCalendar - Optional Holiday Calendar for Accrual calculation

bAdjustDates - Roll using the FWD mode for the period end dates and the pay dates

Returns:

CreditDefaultSwap product

CreateCDS

public static final CreditDefaultSwap CreateCDS(JulianDate dtEffective,
                                                JulianDate dtMaturity,
                                                double dblCoupon,
                                                java.lang.String strCurrency,
                                                double dblRecovery,
                                                java.lang.String strCredit,
                                                java.lang.String strCalendar,
                                                boolean bAdjustDates)

Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and credit curve.

Parameters:

dtEffective - JulianDate effective

dtMaturity - JulianDate maturity

dblCoupon - Coupon

strCurrency - Currency

dblRecovery - Recovery Rate

strCredit - Credit curve name

strCalendar - Optional Holiday Calendar for Accrual calculation

bAdjustDates - Roll using the FWD mode for the period end dates and the pay dates

Returns:

CreditDefaultSwap product

CreateCDS

public static final CreditDefaultSwap CreateCDS(JulianDate dtEffective,
                                                java.lang.String strTenor,
                                                double dblCoupon,
                                                java.lang.String strCurrency,
                                                CreditSetting cs,
                                                java.lang.String strCalendar)

Create the credit default swap from the effective date, tenor, coupon, IR curve name, and component credit valuation parameters.

Parameters:

dtEffective - JulianDate effective

strTenor - String tenor

dblCoupon - Coupon

strCurrency - Currency

cs - Credit Setting Parameters

strCalendar - Optional Holiday Calendar for Accrual calculation

Returns:

CreditDefaultSwap product

CreateCDS

public static final CreditDefaultSwap CreateCDS(JulianDate dtEffective,
                                                java.lang.String strTenor,
                                                double dblCoupon,
                                                java.lang.String strCurrency,
                                                java.lang.String strCredit,
                                                java.lang.String strCalendar)

Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and credit curve.

Parameters:

dtEffective - JulianDate effective

strTenor - String tenor

dblCoupon - Coupon

strCurrency - Currency

strCredit - Credit curve name

strCalendar - Optional Holiday Calendar for accrual calculation

Returns:

CreditDefaultSwap product

CreateSNAC

public static final CreditDefaultSwap CreateSNAC(JulianDate dtEffective,
                                                 java.lang.String strTenor,
                                                 double dblCoupon,
                                                 java.lang.String strCurrency,
                                                 java.lang.String strCredit,
                                                 java.lang.String strCalendar)

Create an SNAC style CDS contract with full first stub

Parameters:

dtEffective - CDS Effective date

strTenor - CDS Tenor

dblCoupon - SNAC strike coupon

strCurrency - Currency

strCredit - Credit Curve name

strCalendar - Holiday Calendar

Returns:

CDS instance object

CreateSNAC

public static final CreditDefaultSwap CreateSNAC(JulianDate dtEffective,
                                                 java.lang.String strTenor,
                                                 double dblCoupon,
                                                 java.lang.String strCredit)

Create an SNAC style CDS contract with full first stub

Parameters:

dtEffective - CDS Effective date

strTenor - CDS Tenor

dblCoupon - SNAC strike coupon

strCredit - Credit Curve name

Returns:

CDS instance object

CreateSTEU

public static final CreditDefaultSwap CreateSTEU(JulianDate dtEffective,
                                                 java.lang.String strTenor,
                                                 double dblCoupon,
                                                 java.lang.String strCredit)

Create an Standard EU CDS contract with full first stub

Parameters:

dtEffective - CDS Effective date

strTenor - CDS Tenor

dblCoupon - Strike coupon

strCredit - Credit Curve name

Returns:

CDS instance object

CreateSAPC

public static final CreditDefaultSwap CreateSAPC(JulianDate dtEffective,
                                                 java.lang.String strTenor,
                                                 double dblCoupon,
                                                 java.lang.String strCredit)

Create an Standard Asia Pacific CDS contract with full first stub

Parameters:

dtEffective - CDS Effective date

strTenor - CDS Tenor

dblCoupon - Strike coupon

strCredit - Credit Curve name

Returns:

CDS instance object

CreateSTEM

public static final CreditDefaultSwap CreateSTEM(JulianDate dtEffective,
                                                 java.lang.String strTenor,
                                                 double dblCoupon,
                                                 java.lang.String strCredit,
                                                 java.lang.String strLocation)

Create an Standard Emerging Market CDS contract with full first stub

Parameters:

dtEffective - CDS Effective date

strTenor - CDS Tenor

dblCoupon - Strike coupon

strCredit - Credit Curve name

strLocation - Location

Returns:

CDS instance object