org.drip.product.definition

Class CreditComponent

java.lang.Object

org.drip.product.definition.Component

org.drip.product.definition.CalibratableComponent

org.drip.product.definition.CreditComponent

All Implemented Interfaces:

ComponentMarketParamRef

Direct Known Subclasses:

Bond, CreditDefaultSwap

public abstract class CreditComponent
extends CalibratableComponent

CreditComponent is the base abstract class on top of which all credit components are implemented. Its methods expose Credit Valuation Parameters, product specific recovery, and coupon/loss cash flows.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
CreditComponent()

Method Summary

Modifier and Type	Method and Description
abstract CreditSetting	creditValuationParams() Get the credit component's Credit Valuation Parameters
java.util.List<LossQuadratureMetrics>	lossFlow(JulianDate dtSpot, CurveSurfaceQuoteContainer csqc) Generate the loss flow for the credit component based on the pricer parameters
abstract java.util.List<LossQuadratureMetrics>	lossFlow(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqc) Generate the loss flow for the credit component based on the pricer parameters
abstract double	recovery(int iDate, CreditCurve cc) Get the recovery of the credit component for the given date
abstract double	recovery(int iDate1, int iDate2, CreditCurve cc) Get the time-weighted recovery of the credit component between the given dates

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

calibMeasures, calibPRWC, calibQuoteSet, forwardPRWC, fundingForwardPRWC, fundingPRWC, fxPRWC, govviePRWC, jackDDirtyPVDManifestMeasure, manifestMeasureDFMicroJack, primaryCode, secondaryCode, setPrimaryCode, volatilityPRWC

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

cashSettleParams, couponMetrics, couponPeriods, customScenarioMeasures, effectiveDate, firstCouponDate, freq, initialNotional, maturityDate, measureNames, measures, measureValue, notional, notional, pv, tenor, value

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.drip.product.definition.ComponentMarketParamRef

couponCurrency, creditLabel, forwardLabel, fundingLabel, fxLabel, govvieLabel, name, payCurrency, principalCurrency, volatilityLabel

Constructor Detail

CreditComponent

public CreditComponent()

Method Detail

lossFlow

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

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

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

csqc - ComponentMarketParams

Returns:

List of ProductLossPeriodCurveMeasures

recovery

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

Get the recovery of the credit component for the given date

Parameters:

iDate - JulianDate

cc - Credit Curve

Returns:

Recovery

Throws:

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

recovery

public abstract double recovery(int iDate1,
                                int iDate2,
                                CreditCurve cc)
                         throws java.lang.Exception

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

Parameters:

iDate1 - JulianDate #1

iDate2 - JulianDate #2

cc - Credit Curve

Returns:

Recovery

Throws:

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

creditValuationParams

public abstract CreditSetting creditValuationParams()

Get the credit component's Credit Valuation Parameters

Returns:

CompCRValParams

lossFlow

public java.util.List<LossQuadratureMetrics> lossFlow(JulianDate dtSpot,
                                                      CurveSurfaceQuoteContainer csqc)

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

Parameters:

dtSpot - The Spot Date

csqc - The Component Market Parameters

Returns:

List of ProductLossPeriodCurveMeasures