org.drip.service.state

Class CreditCurveAPI

java.lang.Object

org.drip.service.state.CreditCurveAPI

public class CreditCurveAPI
extends java.lang.Object

CreditCurveAPI computes the Metrics associated the Credit Curve State.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
CreditCurveAPI()

Method Summary

Modifier and Type	Method and Description
static CreditCurveMetrics	DailyMetrics(JulianDate dtSpot, java.lang.String[] astrFundingFixingMaturityTenor, double[] adblFundingFixingQuote, java.lang.String strFullCreditIndexName, double dblCreditIndexQuotedSpread, java.lang.String[] astrForTenor) Generate the Horizon Metrics for the Specified Inputs
static java.util.TreeMap<JulianDate,CreditCurveMetrics>	HorizonMetrics(JulianDate[] adtSpot, java.lang.String[] astrFundingFixingMaturityTenor, double[][] aadblFundingFixingQuote, java.lang.String[] astrFullCreditIndexName, double[] adblCreditIndexQuotedSpread, java.lang.String[] astrForTenor) Generate the Horizon Metrics for the Specified Inputs

Methods inherited from class java.lang.Object

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

Constructor Detail

CreditCurveAPI

public CreditCurveAPI()

Method Detail

DailyMetrics

public static final CreditCurveMetrics DailyMetrics(JulianDate dtSpot,
                                                    java.lang.String[] astrFundingFixingMaturityTenor,
                                                    double[] adblFundingFixingQuote,
                                                    java.lang.String strFullCreditIndexName,
                                                    double dblCreditIndexQuotedSpread,
                                                    java.lang.String[] astrForTenor)

Generate the Horizon Metrics for the Specified Inputs

Parameters:

dtSpot - The Spot Date

astrFundingFixingMaturityTenor - Array of the Funding Fixing Curve Calibration Instrument Tenors

adblFundingFixingQuote - Array of the Funding Fixing Curve Calibration Instrument Quotes

strFullCreditIndexName - The Full Credit Index Name

dblCreditIndexQuotedSpread - The Credit Index Quoted Spread

astrForTenor - Array of the "For" Tenors

Returns:

Map of the Dated Credit Curve Metrics

HorizonMetrics

public static final java.util.TreeMap<JulianDate,CreditCurveMetrics> HorizonMetrics(JulianDate[] adtSpot,
                                                                                    java.lang.String[] astrFundingFixingMaturityTenor,
                                                                                    double[][] aadblFundingFixingQuote,
                                                                                    java.lang.String[] astrFullCreditIndexName,
                                                                                    double[] adblCreditIndexQuotedSpread,
                                                                                    java.lang.String[] astrForTenor)

Generate the Horizon Metrics for the Specified Inputs

Parameters:

adtSpot - Array of Horizon Dates

astrFundingFixingMaturityTenor - Array of the Funding Fixing Curve Calibration Instrument Tenors

aadblFundingFixingQuote - Array of the Funding Fixing Curve Calibration Instrument Quotes

astrFullCreditIndexName - Array of the Full Credit Index Names

adblCreditIndexQuotedSpread - Array of the Credit Index Quoted Spreads

astrForTenor - Array of the "For" Tenors

Returns:

Map of the Dated Credit Curve Metrics