public class CDSBasketMeasures
extends java.lang.Object
CDSBasketMeasures contains a demo of the CDS Basket Measures Generation Sample. It shows the following:
- Build the IR Curve from the Rates' instruments.
- Build the Component Credit Curve from the CDS instruments.
- Create the basket market parameters and add the named discount curve and the credit curves to it.
- Create the CDS basket from the component CDS and their weights.
- Construct the Valuation and the Pricing Parameters.
- Generate the CDS basket measures from the valuation, the pricer, and the market parameters.
- Author:
- Lakshmi Krishnamurthy