org.drip.regression.curve

Class CreditCurveRegressor

java.lang.Object

org.drip.regression.curve.CreditCurveRegressor

All Implemented Interfaces:

RegressorSet

public class CreditCurveRegressor
extends java.lang.Object
implements RegressorSet

CreditCurveRegressor implements the regression set analysis for the Credit Curve. CreditCurveRegressor regresses 12 scenarios: - #1: Create an SNAC CDS. - #2: Create the credit curve from a set of CDS instruments. - #3: Create the credit curve from a flat hazard rate. - #4: Create the credit curve from a set of survival probabilities. - #5: Create the credit curve from an array of hazard rates. - #6: Extract the credit curve instruments and quotes. - #7: Create a parallel hazard shifted credit curve. - #8: Create a parallel quote shifted credit curve. - #9: Create a node tweaked credit curve. - #10: Set a specific default date on the credit curve. - #11: Compute the effective survival probability between 2 dates. - #12: Compute the effective hazard rate between 2 dates.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
CreditCurveRegressor() Do Nothing CreditCurveRegressor constructor.

Method Summary

Modifier and Type	Method and Description
java.util.List<UnitRegressor>	getRegressorSet() Retrieve the list of regressors
java.lang.String	getSetName() Retrieve the Regression Set Name
boolean	setupRegressors() Set up the list of Regressors in the set

Methods inherited from class java.lang.Object

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

Constructor Detail

CreditCurveRegressor

public CreditCurveRegressor()

Do Nothing CreditCurveRegressor constructor.

Method Detail

setupRegressors

public boolean setupRegressors()

Description copied from interface: RegressorSet

Set up the list of Regressors in the set

Specified by:

setupRegressors in interface RegressorSet

Returns:

TRUE if set up is successful

getRegressorSet

public java.util.List<UnitRegressor> getRegressorSet()

Description copied from interface: RegressorSet

Retrieve the list of regressors

Specified by:

getRegressorSet in interface RegressorSet

Returns:

List of regressors

getSetName

public java.lang.String getSetName()

Description copied from interface: RegressorSet

Retrieve the Regression Set Name

Specified by:

getSetName in interface RegressorSet

Returns:

Regression Set Name