org.drip.product.params

Class CreditSetting

java.lang.Object

org.drip.product.params.CreditSetting

All Implemented Interfaces:

Validatable

public class CreditSetting
extends java.lang.Object
implements Validatable

CreditSetting contains the credit related valuation parameters - use default pay lag, use curve or the component recovery, component recovery, credit curve name, and whether there is accrual on default. It exports serialization into and de-serialization out of byte arrays.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
CreditSetting(int iLossPayLag, double dblRecovery, boolean bUseCurveRecovery, java.lang.String strCreditCurveName, boolean bAccrualOnDefault) Construct the CreditSetting from the default pay lag, use curve or the component recovery flag, component recovery, credit curve name, and whether there is accrual on default

Method Summary

Modifier and Type	Method and Description
boolean	accrualOnDefault() Retrieve the Accrual On Default Flag
java.lang.String	creditCurveName() Retrieve the Credit Curve Name
int	lossPayLag() Retrieve the Loss Pay-out Lag
double	recovery() Retrieve the Recovery Amount
boolean	useCurveRecovery() Flag indicating whether or nor to use the Curve Recovery
boolean	validate() Validate the current object state

Methods inherited from class java.lang.Object

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

Constructor Detail

CreditSetting

public CreditSetting(int iLossPayLag,
                     double dblRecovery,
                     boolean bUseCurveRecovery,
                     java.lang.String strCreditCurveName,
                     boolean bAccrualOnDefault)

Construct the CreditSetting from the default pay lag, use curve or the component recovery flag, component recovery, credit curve name, and whether there is accrual on default

Parameters:

iLossPayLag - Loss Pay Lag

dblRecovery - Component Recovery

bUseCurveRecovery - Use the Curve Recovery (True) or Component Recovery (False)

strCreditCurveName - Credit curve name

bAccrualOnDefault - Accrual paid on default (True)

Method Detail

validate

public boolean validate()

Description copied from interface: Validatable

Validate the current object state

Specified by:

validate in interface Validatable

Returns:

Validation successful (true) or failed (false)

lossPayLag

public int lossPayLag()

Retrieve the Loss Pay-out Lag

Returns:

The Loss Pay-out Lag

useCurveRecovery

public boolean useCurveRecovery()

Flag indicating whether or nor to use the Curve Recovery

Returns:

TRUE - Use the Recovery From the Credit Curve

creditCurveName

public java.lang.String creditCurveName()

Retrieve the Credit Curve Name

Returns:

The Credit Curve Name

accrualOnDefault

public boolean accrualOnDefault()

Retrieve the Accrual On Default Flag

Returns:

TRUE - Accrual On Default

recovery

public double recovery()

Retrieve the Recovery Amount

Returns:

The Recovery Amount