org.drip.state.boot

Class CreditCurveScenario

java.lang.Object

org.drip.state.boot.CreditCurveScenario

public class CreditCurveScenario
extends java.lang.Object

CreditCurveScenario uses the hazard rate calibration instruments along with the component calibrator to produce scenario hazard rate curves. CreditCurveScenario typically first constructs the actual curve calibrator instance to localize the intelligence around curve construction. It then uses this curve calibrator instance to build individual curves or the sequence of node bumped scenario curves. The curves in the set may be an array, or tenor-keyed.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
CreditCurveScenario()

Method Summary

Modifier and Type	Method and Description
static CreditCurve	Standard(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblRecovery, boolean bFlat, MergedDiscountForwardCurve dc, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Calibrate a Credit Curve
static CreditCurve[]	Tenor(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblRecovery, boolean bFlat, double dblBump, MergedDiscountForwardCurve dc, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Create an array of tenor bumped credit curves
static CaseInsensitiveTreeMap<CreditCurve>	TenorMap(java.lang.String strName, ValuationParams valParams, CalibratableComponent[] aCalibInst, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblRecovery, boolean bFlat, double dblBump, MergedDiscountForwardCurve dc, GovvieCurve gc, LatentStateFixingsContainer lsfc, ValuationCustomizationParams vcp) Create an tenor named map of tenor bumped credit curves

Methods inherited from class java.lang.Object

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

Constructor Detail

CreditCurveScenario

public CreditCurveScenario()

Method Detail

Standard

public static final CreditCurve Standard(java.lang.String strName,
                                         ValuationParams valParams,
                                         CalibratableComponent[] aCalibInst,
                                         double[] adblCalibQuote,
                                         java.lang.String[] astrCalibMeasure,
                                         double dblRecovery,
                                         boolean bFlat,
                                         MergedDiscountForwardCurve dc,
                                         GovvieCurve gc,
                                         LatentStateFixingsContainer lsfc,
                                         ValuationCustomizationParams vcp)

Calibrate a Credit Curve

Parameters:

strName - Credit Curve name

valParams - ValuationParams

aCalibInst - Array of Calibration Instruments

adblCalibQuote - Array of component quotes

astrCalibMeasure - Array of the calibration measures

dblRecovery - Component recovery

bFlat - Flat Calibration (True), or real bootstrapping (false)

dc - Base Discount Curve

gc - Govvie Curve

lsfc - Latent State Fixings Container

vcp - Valuation Customization Parameters

Returns:

CreditCurve Instance

Tenor

public static final CreditCurve[] Tenor(java.lang.String strName,
                                        ValuationParams valParams,
                                        CalibratableComponent[] aCalibInst,
                                        double[] adblCalibQuote,
                                        java.lang.String[] astrCalibMeasure,
                                        double dblRecovery,
                                        boolean bFlat,
                                        double dblBump,
                                        MergedDiscountForwardCurve dc,
                                        GovvieCurve gc,
                                        LatentStateFixingsContainer lsfc,
                                        ValuationCustomizationParams vcp)

Create an array of tenor bumped credit curves

Parameters:

strName - Credit Curve Name

valParams - ValuationParams

aCalibInst - Array of Calibration Instruments

adblCalibQuote - Array of component quotes

astrCalibMeasure - Array of the calibration measures

dblRecovery - Component recovery

bFlat - Flat Calibration (True), or real bootstrapping (false)

dblBump - Amount of bump applied to the tenor

dc - Base Discount Curve

gc - Govvie Curve

lsfc - Latent State Fixings Container

vcp - Valuation Customization Parameters

Returns:

Array of CreditCurves

TenorMap

public static final CaseInsensitiveTreeMap<CreditCurve> TenorMap(java.lang.String strName,
                                                                 ValuationParams valParams,
                                                                 CalibratableComponent[] aCalibInst,
                                                                 double[] adblCalibQuote,
                                                                 java.lang.String[] astrCalibMeasure,
                                                                 double dblRecovery,
                                                                 boolean bFlat,
                                                                 double dblBump,
                                                                 MergedDiscountForwardCurve dc,
                                                                 GovvieCurve gc,
                                                                 LatentStateFixingsContainer lsfc,
                                                                 ValuationCustomizationParams vcp)

Create an tenor named map of tenor bumped credit curves

Parameters:

strName - Credit Curve name

valParams - ValuationParams

aCalibInst - Array of Calibration Instruments

adblCalibQuote - Array of component quotes

astrCalibMeasure - Array of the calibration measures

dblRecovery - Component recovery

bFlat - Flat Calibration (True), or real bootstrapping (false)

dblBump - Amount of bump applied to the tenor

dc - Base Discount Curve

gc - Govvie Curve

lsfc - Latent State Fixings Container

vcp - Valuation Customization Parameters

Returns:

Tenor named map of tenor bumped credit curves