org.drip.product.credit

Class CDSComponent

java.lang.Object

org.drip.product.definition.Component

org.drip.product.definition.CalibratableComponent

org.drip.product.definition.CreditComponent

org.drip.product.definition.CreditDefaultSwap

org.drip.product.credit.CDSComponent

All Implemented Interfaces:

ComponentMarketParamRef

public class CDSComponent
extends CreditDefaultSwap

CDSComponent implements the credit default swap product contract details. It exposes the following functionality: - Methods to extract effective date, maturity date, coupon, coupon day count, coupon frequency, contingent credit, currency, basket notional, credit valuation parameters, and optionally the outstanding notional schedule. - Methods to compute the Jacobians to/from quote-to-latent state/manifest measures - Serialization into and de-serialization out of byte arrays - CDS specific methods such as such loss metric/Jacobian estimation, quote flat spread calibration etc:

Author:

Lakshmi Krishnamurthy

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
class	CDSComponent.SpreadCalibOP CDS spread calibration output
class	CDSComponent.SpreadCalibrator Implementation of the CDS spread calibrator

Constructor Summary

Constructors

Constructor and Description

CDSComponent(int iEffectiveDate, int iMaturityDate, double dblCoupon, int iFreq, java.lang.String strCouponDC, java.lang.String strAccrualDC, java.lang.String strFloatingRateIndex, boolean bConvCDS, DateAdjustParams dapEffective, DateAdjustParams dapMaturity, DateAdjustParams dapPeriodStart, DateAdjustParams dapPeriodEnd, DateAdjustParams dapAccrualStart, DateAdjustParams dapAccrualEnd, DateAdjustParams dapPay, DateAdjustParams dapReset, Array2D notlSchedule, double dblNotional, java.lang.String strCouponCurrency, CreditSetting crValParams, java.lang.String strCalendar) CDSComponent constructor: Most generic CDS creation functionality

Method Summary

Modifier and Type	Method and Description
double	calibFlatSpread(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp) Calibrate the CDS's flat spread from the calculated up-front points
CaseInsensitiveTreeMap<java.lang.Double>	calibMeasures(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp) Generate a Map of the Calibration Measures
ProductQuoteSet	calibQuoteSet(LatentStateSpecification[] aLSS) Generate the Product Specific Calibration Quote Set
CashSettleParams	cashSettleParams() Get the Product's cash settlement parameters
CaseInsensitiveTreeMap<java.lang.String>	couponCurrency() Get the Map of Coupon Currencies
CompositePeriodCouponMetrics	couponMetrics(int iAccrualEndDate, ValuationParams valParams, CurveSurfaceQuoteContainer csqs) Get the Product's coupon Metrics at the specified accrual date
java.util.List<CompositePeriod>	couponPeriods() Get the Product's Cash Flow Periods
CreditLabel	creditLabel() Get the Credit Curve Latent State Identifier Label
CreditSetting	creditValuationParams() Get the credit component's Credit Valuation Parameters
JulianDate	effectiveDate() Get the Effective Date
JulianDate	firstCouponDate() Get the First Coupon Date
CaseInsensitiveTreeMap<ForwardLabel>	forwardLabel() Get the Map of Forward Curve Latent State Labels
PredictorResponseWeightConstraint	forwardPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs) Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Forward Factor Latent State from the Component's Cash Flows.
int	freq() Retrieve the Coupon Frequency
PredictorResponseWeightConstraint	fundingForwardPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs) Generate the Calibratable Linearized Predictor/Response Constraint Weights for the merged Funding and Forward Latent States from the Component's Cash Flows.
FundingLabel	fundingLabel() Get the Funding Curve Latent State Label
PredictorResponseWeightConstraint	fundingPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs) Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Funding Curve Discount Factor Latent State from the Component's Cash Flows.
CaseInsensitiveTreeMap<FXLabel>	fxLabel() Get the Map of FX Latent State Identifier Labels
PredictorResponseWeightConstraint	fxPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs) Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged FX Curve FX Forward Latent State from the Component's Cash Flows.
GovvieLabel	govvieLabel() Get the Govvie Curve Latent State Label
PredictorResponseWeightConstraint	govviePRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs) Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Govvie Curve FX Forward Latent State from the Component's Cash Flows.
double	initialNotional() Get the Initial Notional for the Product
WengertJacobian	jackDDirtyPVDManifestMeasure(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp) Compute the Jacobian of the Dirty PV to the Calibrated Input Manifest Measures
java.util.List<LossQuadratureMetrics>	lossFlow(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs) Generate the loss flow for the credit component based on the pricer parameters
WengertJacobian	manifestMeasureDFMicroJack(java.lang.String strManifestMeasure, ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp) Compute the micro-Jacobian of the given measure to the DF
JulianDate	maturityDate() Get the Maturity Date
java.util.Set<java.lang.String>	measureNames() Retrieve the ordered set of the measure names whose values will be calculated
java.lang.String	name() Get the component name
double	notional(int iDate) Get the Notional for the Product at the given date
double	notional(int iDate1, int iDate2) Get the time-weighted Notional for the Product between 2 dates
java.lang.String	payCurrency() Get the Pay Currency
java.lang.String	primaryCode() Return the primary code
java.lang.String	principalCurrency() Get the Principal Currency
double	pv(ValuationParams valParams, CreditPricerParams pricerParamsIn, CurveSurfaceQuoteContainer csqc, ValuationCustomizationParams vcp) Compute the PV for the specified Market Parameters
double	recovery(int iDate, CreditCurve cc) Get the recovery of the credit component for the given date
double	recovery(int iDateStart, int iDateEnd, CreditCurve cc) Get the time-weighted recovery of the credit component between the given dates
double	resetCoupon(double dblCoupon) Reset the CDS's coupon
boolean	setName(java.lang.String strName)
void	setPrimaryCode(java.lang.String strCode) Set the component's primary code
CaseInsensitiveTreeMap<java.lang.Double>	value(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp) Generate a full list of the Product measures for the full input set of market parameters
CaseInsensitiveTreeMap<java.lang.Double>	valueFromQuotedSpread(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, double dblFixCoupon, double dblQuotedSpread) Value the CDS from the Quoted Spread
CaseInsensitiveTreeMap<VolatilityLabel>	volatilityLabel() Get the Map of Volatility Latent State Identifier Labels
PredictorResponseWeightConstraint	volatilityPRWC(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, ProductQuoteSet pqs) Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Volatility Latent State from the Component's Cash Flows.

Methods inherited from class org.drip.product.definition.CreditComponent

lossFlow

Methods inherited from class org.drip.product.definition.CalibratableComponent

calibPRWC, secondaryCode

Methods inherited from class org.drip.product.definition.Component

customScenarioMeasures, measures, measureValue, tenor

Methods inherited from class java.lang.Object

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

Constructor Detail

CDSComponent

public CDSComponent(int iEffectiveDate,
                    int iMaturityDate,
                    double dblCoupon,
                    int iFreq,
                    java.lang.String strCouponDC,
                    java.lang.String strAccrualDC,
                    java.lang.String strFloatingRateIndex,
                    boolean bConvCDS,
                    DateAdjustParams dapEffective,
                    DateAdjustParams dapMaturity,
                    DateAdjustParams dapPeriodStart,
                    DateAdjustParams dapPeriodEnd,
                    DateAdjustParams dapAccrualStart,
                    DateAdjustParams dapAccrualEnd,
                    DateAdjustParams dapPay,
                    DateAdjustParams dapReset,
                    Array2D notlSchedule,
                    double dblNotional,
                    java.lang.String strCouponCurrency,
                    CreditSetting crValParams,
                    java.lang.String strCalendar)
             throws java.lang.Exception

CDSComponent constructor: Most generic CDS creation functionality

Parameters:

iEffectiveDate - Effective Date

iMaturityDate - Maturity Date

dblCoupon - Coupon

iFreq - Frequency

strCouponDC - Coupon DC

strAccrualDC - Accrual DC

strFloatingRateIndex - Floating Rate Index

bConvCDS - Is CDS Conventional

dapEffective - Effective DAP

dapMaturity - Maturity DAP

dapPeriodStart - Period Start DAP

dapPeriodEnd - Period End DAP

dapAccrualStart - Accrual Start DAP

dapAccrualEnd - Accrual End DAP

dapPay - Pay DAP

dapReset - Reset DAP

notlSchedule - Notional Schedule

dblNotional - Notional Amount

strCouponCurrency - Coupon Currency

crValParams - Credit Valuation Parameters

strCalendar - Calendar

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

Method Detail

primaryCode

public java.lang.String primaryCode()

Description copied from class: CalibratableComponent

Return the primary code

Specified by:

primaryCode in class CalibratableComponent

Returns:

Primary Code

setPrimaryCode

public void setPrimaryCode(java.lang.String strCode)

Description copied from class: CalibratableComponent

Set the component's primary code

Specified by:

setPrimaryCode in class CalibratableComponent

Parameters:

strCode - Primary Code

setName

public boolean setName(java.lang.String strName)

name

public java.lang.String name()

Description copied from interface: ComponentMarketParamRef

Get the component name

Returns:

The component name

couponCurrency

public CaseInsensitiveTreeMap<java.lang.String> couponCurrency()

Description copied from interface: ComponentMarketParamRef

Get the Map of Coupon Currencies

Returns:

The Map of Coupon Currencies

payCurrency

public java.lang.String payCurrency()

Description copied from interface: ComponentMarketParamRef

Get the Pay Currency

Returns:

The Pay Currency

principalCurrency

public java.lang.String principalCurrency()

Description copied from interface: ComponentMarketParamRef

Get the Principal Currency

Returns:

The Principal Currency

initialNotional

public double initialNotional()

Description copied from class: Component

Get the Initial Notional for the Product

Specified by:

initialNotional in class Component

Returns:

Initial Notional

notional

public double notional(int iDate)
                throws java.lang.Exception

Description copied from class: Component

Get the Notional for the Product at the given date

Specified by:

notional in class Component

Parameters:

iDate - Date

Returns:

Product Notional

Throws:

java.lang.Exception - Thrown if Notional cannot be computed

notional

public double notional(int iDate1,
                       int iDate2)
                throws java.lang.Exception

Description copied from class: Component

Get the time-weighted Notional for the Product between 2 dates

Specified by:

notional in class Component

Parameters:

iDate1 - Date #1

iDate2 - Date #2

Returns:

The Product Notional

Throws:

java.lang.Exception - Thrown if Notional cannot be computed

recovery

public double recovery(int iDate,
                       CreditCurve cc)
                throws java.lang.Exception

Description copied from class: CreditComponent

Get the recovery of the credit component for the given date

Specified by:

recovery in class CreditComponent

Parameters:

iDate - JulianDate

cc - Credit Curve

Returns:

Recovery

Throws:

java.lang.Exception - Thrown if recovery cannot be calculated

recovery

public double recovery(int iDateStart,
                       int iDateEnd,
                       CreditCurve cc)
                throws java.lang.Exception

Description copied from class: CreditComponent

Get the time-weighted recovery of the credit component between the given dates

Specified by:

recovery in class CreditComponent

Parameters:

iDateStart - JulianDate #1

iDateEnd - JulianDate #2

cc - Credit Curve

Returns:

Recovery

Throws:

java.lang.Exception - Thrown if recovery cannot be calculated

creditValuationParams

public CreditSetting creditValuationParams()

Description copied from class: CreditComponent

Get the credit component's Credit Valuation Parameters

Specified by:

creditValuationParams in class CreditComponent

Returns:

CompCRValParams

couponMetrics

public CompositePeriodCouponMetrics couponMetrics(int iAccrualEndDate,
                                                  ValuationParams valParams,
                                                  CurveSurfaceQuoteContainer csqs)

Description copied from class: Component

Get the Product's coupon Metrics at the specified accrual date

Specified by:

couponMetrics in class Component

Parameters:

iAccrualEndDate - Accrual End Date

valParams - The Valuation Parameters

csqs - Component Market Parameters

Returns:

The Product's coupon Nominal/Adjusted Coupon Measures

freq

public int freq()

Description copied from class: Component

Retrieve the Coupon Frequency

Specified by:

freq in class Component

Returns:

The Coupon Frequency

calibMeasures

public CaseInsensitiveTreeMap<java.lang.Double> calibMeasures(ValuationParams valParams,
                                                              CreditPricerParams pricerParams,
                                                              CurveSurfaceQuoteContainer csqs,
                                                              ValuationCustomizationParams vcp)

Description copied from class: CalibratableComponent

Generate a Map of the Calibration Measures

Specified by:

calibMeasures in class CalibratableComponent

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Market Parameters

vcp - Valuation Customization Parameters

Returns:

Map of the Calibration Measures

creditLabel

public CreditLabel creditLabel()

Description copied from interface: ComponentMarketParamRef

Get the Credit Curve Latent State Identifier Label

Returns:

The Credit Curve Latent State Identifier Label

forwardLabel

public CaseInsensitiveTreeMap<ForwardLabel> forwardLabel()

Description copied from interface: ComponentMarketParamRef

Get the Map of Forward Curve Latent State Labels

Returns:

The Map of the Forward Curve Latent State Labels

fundingLabel

public FundingLabel fundingLabel()

Description copied from interface: ComponentMarketParamRef

Get the Funding Curve Latent State Label

Returns:

Funding Curve Latent State Label

govvieLabel

public GovvieLabel govvieLabel()

Description copied from interface: ComponentMarketParamRef

Get the Govvie Curve Latent State Label

Returns:

Govvie Curve Latent State Label

fxLabel

public CaseInsensitiveTreeMap<FXLabel> fxLabel()

Description copied from interface: ComponentMarketParamRef

Get the Map of FX Latent State Identifier Labels

Returns:

The Map of FX Latent State Identifier Labels

volatilityLabel

public CaseInsensitiveTreeMap<VolatilityLabel> volatilityLabel()

Description copied from interface: ComponentMarketParamRef

Get the Map of Volatility Latent State Identifier Labels

Returns:

The Map of Volatility Latent State Identifier Labels

effectiveDate

public JulianDate effectiveDate()

Description copied from class: Component

Get the Effective Date

Specified by:

effectiveDate in class Component

Returns:

Effective Date

maturityDate

public JulianDate maturityDate()

Description copied from class: Component

Get the Maturity Date

Specified by:

maturityDate in class Component

Returns:

Maturity Date

firstCouponDate

public JulianDate firstCouponDate()

Description copied from class: Component

Get the First Coupon Date

Specified by:

firstCouponDate in class Component

Returns:

First Coupon Date

couponPeriods

public java.util.List<CompositePeriod> couponPeriods()

Description copied from class: Component

Get the Product's Cash Flow Periods

Specified by:

couponPeriods in class Component

Returns:

List of the Product's Cash Flow Periods

cashSettleParams

public CashSettleParams cashSettleParams()

Description copied from class: Component

Get the Product's cash settlement parameters

Specified by:

cashSettleParams in class Component

Returns:

Cash settlement Parameters

lossFlow

public java.util.List<LossQuadratureMetrics> lossFlow(ValuationParams valParams,
                                                      CreditPricerParams pricerParams,
                                                      CurveSurfaceQuoteContainer csqs)

Description copied from class: CreditComponent

Generate the loss flow for the credit component based on the pricer parameters

Specified by:

lossFlow in class CreditComponent

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

csqs - ComponentMarketParams

Returns:

List of ProductLossPeriodCurveMeasures

value

public CaseInsensitiveTreeMap<java.lang.Double> value(ValuationParams valParams,
                                                      CreditPricerParams pricerParams,
                                                      CurveSurfaceQuoteContainer csqs,
                                                      ValuationCustomizationParams vcp)

Description copied from class: Component

Generate a full list of the Product measures for the full input set of market parameters

Specified by:

value in class Component

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

csqs - Market Parameters

vcp - Valuation Customization Parameters

Returns:

Map of measure name and value

measureNames

public java.util.Set<java.lang.String> measureNames()

Description copied from class: Component

Retrieve the ordered set of the measure names whose values will be calculated

Specified by:

measureNames in class Component

Returns:

Set of Measure Names

pv

public double pv(ValuationParams valParams,
                 CreditPricerParams pricerParamsIn,
                 CurveSurfaceQuoteContainer csqc,
                 ValuationCustomizationParams vcp)
          throws java.lang.Exception

Description copied from class: Component

Compute the PV for the specified Market Parameters

Specified by:

pv in class Component

Parameters:

valParams - ValuationParams

pricerParamsIn - PricerParams

csqc - Market Parameters

vcp - Valuation Customization Parameters

Returns:

The PV

Throws:

java.lang.Exception - Thrown if the PV cannot be computed

valueFromQuotedSpread

public CaseInsensitiveTreeMap<java.lang.Double> valueFromQuotedSpread(ValuationParams valParams,
                                                                      CreditPricerParams pricerParams,
                                                                      CurveSurfaceQuoteContainer csqs,
                                                                      ValuationCustomizationParams vcp,
                                                                      double dblFixCoupon,
                                                                      double dblQuotedSpread)

Description copied from class: CreditDefaultSwap

Value the CDS from the Quoted Spread

Specified by:

valueFromQuotedSpread in class CreditDefaultSwap

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

csqs - ComponentMarketParams

vcp - Valuation Customization Parameters

dblFixCoupon - Fix Coupon

dblQuotedSpread - Quoted Spread

Returns:

The Value Map

jackDDirtyPVDManifestMeasure

public WengertJacobian jackDDirtyPVDManifestMeasure(ValuationParams valParams,
                                                    CreditPricerParams pricerParams,
                                                    CurveSurfaceQuoteContainer csqs,
                                                    ValuationCustomizationParams vcp)

Description copied from class: CalibratableComponent

Compute the Jacobian of the Dirty PV to the Calibrated Input Manifest Measures

Specified by:

jackDDirtyPVDManifestMeasure in class CalibratableComponent

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

Returns:

The micro-Jacobian

manifestMeasureDFMicroJack

public WengertJacobian manifestMeasureDFMicroJack(java.lang.String strManifestMeasure,
                                                  ValuationParams valParams,
                                                  CreditPricerParams pricerParams,
                                                  CurveSurfaceQuoteContainer csqs,
                                                  ValuationCustomizationParams vcp)

Description copied from class: CalibratableComponent

Compute the micro-Jacobian of the given measure to the DF

Specified by:

manifestMeasureDFMicroJack in class CalibratableComponent

Parameters:

strManifestMeasure - Manifest Measure Name

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

Returns:

The micro-Jacobian

calibQuoteSet

public ProductQuoteSet calibQuoteSet(LatentStateSpecification[] aLSS)

Description copied from class: CalibratableComponent

Generate the Product Specific Calibration Quote Set

Specified by:

calibQuoteSet in class CalibratableComponent

Parameters:

aLSS - Array of Latent State Specification

Returns:

The Product Specific Calibration Quote Set

fundingPRWC

public PredictorResponseWeightConstraint fundingPRWC(ValuationParams valParams,
                                                     CreditPricerParams pricerParams,
                                                     CurveSurfaceQuoteContainer csqs,
                                                     ValuationCustomizationParams vcp,
                                                     ProductQuoteSet pqs)

Description copied from class: CalibratableComponent

Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Funding Curve Discount Factor Latent State from the Component's Cash Flows. The Constraints here typically correspond to Date/Cash Flow pairs and the corresponding leading PV.

Specified by:

fundingPRWC in class CalibratableComponent

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

pqs - Product Quote Set

Returns:

The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the corresponding PV)

forwardPRWC

public PredictorResponseWeightConstraint forwardPRWC(ValuationParams valParams,
                                                     CreditPricerParams pricerParams,
                                                     CurveSurfaceQuoteContainer csqs,
                                                     ValuationCustomizationParams vcp,
                                                     ProductQuoteSet pqs)

Description copied from class: CalibratableComponent

Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Forward Factor Latent State from the Component's Cash Flows. The Constraints here typically correspond to Date/Cash Flow pairs and the corresponding leading PV.

Specified by:

forwardPRWC in class CalibratableComponent

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

pqs - Product Quote Set

Returns:

The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the corresponding PV)

fundingForwardPRWC

public PredictorResponseWeightConstraint fundingForwardPRWC(ValuationParams valParams,
                                                            CreditPricerParams pricerParams,
                                                            CurveSurfaceQuoteContainer csqs,
                                                            ValuationCustomizationParams vcp,
                                                            ProductQuoteSet pqs)

Description copied from class: CalibratableComponent

Generate the Calibratable Linearized Predictor/Response Constraint Weights for the merged Funding and Forward Latent States from the Component's Cash Flows. The Constraints here typically correspond to Date/Cash Flow pairs and the corresponding leading PV.

Specified by:

fundingForwardPRWC in class CalibratableComponent

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

pqs - Product Quote Set

Returns:

The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the corresponding PV)

fxPRWC

public PredictorResponseWeightConstraint fxPRWC(ValuationParams valParams,
                                                CreditPricerParams pricerParams,
                                                CurveSurfaceQuoteContainer csqs,
                                                ValuationCustomizationParams vcp,
                                                ProductQuoteSet pqs)

Description copied from class: CalibratableComponent

Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged FX Curve FX Forward Latent State from the Component's Cash Flows. The Constraints here typically correspond to Date/Cash Flow pairs and the corresponding leading PV.

Specified by:

fxPRWC in class CalibratableComponent

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

pqs - Product Quote Set

Returns:

The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the corresponding FX Forward)

govviePRWC

public PredictorResponseWeightConstraint govviePRWC(ValuationParams valParams,
                                                    CreditPricerParams pricerParams,
                                                    CurveSurfaceQuoteContainer csqs,
                                                    ValuationCustomizationParams vcp,
                                                    ProductQuoteSet pqs)

Description copied from class: CalibratableComponent

Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Govvie Curve FX Forward Latent State from the Component's Cash Flows. The Constraints here typically correspond to Date/Cash Flow pairs and the corresponding leading PV.

Specified by:

govviePRWC in class CalibratableComponent

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

pqs - Product Quote Set

Returns:

The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the corresponding Govvie Forward)

volatilityPRWC

public PredictorResponseWeightConstraint volatilityPRWC(ValuationParams valParams,
                                                        CreditPricerParams pricerParams,
                                                        CurveSurfaceQuoteContainer csqs,
                                                        ValuationCustomizationParams vcp,
                                                        ProductQuoteSet pqs)

Description copied from class: CalibratableComponent

Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Volatility Latent State from the Component's Cash Flows. The Constraints here typically correspond to Date/Cash Flow pairs and the corresponding leading PV.

Specified by:

volatilityPRWC in class CalibratableComponent

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Component Market Parameters

vcp - Valuation Customization Parameters

pqs - Product Quote Set

Returns:

The Calibratable Linearized Predictor/Response Constraints (Date/Cash Flow pairs and the corresponding PV)

resetCoupon

public double resetCoupon(double dblCoupon)
                   throws java.lang.Exception

Reset the CDS's coupon

Specified by:

resetCoupon in class CreditDefaultSwap

Parameters:

dblCoupon - The new Coupon

Returns:

The old Coupon

Throws:

java.lang.Exception - Thrown if the coupon cannot be reset

calibFlatSpread

public double calibFlatSpread(ValuationParams valParams,
                              CreditPricerParams pricerParams,
                              CurveSurfaceQuoteContainer csqs,
                              ValuationCustomizationParams vcp)
                       throws java.lang.Exception

Calibrate the CDS's flat spread from the calculated up-front points

Specified by:

calibFlatSpread in class CreditDefaultSwap

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

csqs - ComponentMarketParams

vcp - Valuation Customization Parameters

Returns:

Calibrated flat spread

Throws:

java.lang.Exception - Thrown if cannot calibrate