org.drip.state.creator

Class ScenarioCreditCurveBuilder

java.lang.Object

org.drip.state.creator.ScenarioCreditCurveBuilder

public class ScenarioCreditCurveBuilder
extends java.lang.Object

ScenarioCreditCurveBuilder implements the construction of the custom Scenario based credit curves.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ScenarioCreditCurveBuilder()

Method Summary

Modifier and Type	Method and Description
static CreditCurveScenarioContainer	CreateCCSC(CalibratableComponent[] aCalibInst) Create CreditScenarioCurve from the array of calibration instruments
static CreditCurve	Custom(java.lang.String strName, JulianDate dtSpot, CalibratableComponent[] aCalibInst, MergedDiscountForwardCurve dc, double[] adblCalibQuote, java.lang.String[] astrCalibMeasure, double dblRecovery, boolean bFlat) Calibrate the base credit curve from the input credit instruments, measures, and the quotes
static ExplicitBootCreditCurve	FlatHazard(int iStartDate, java.lang.String strName, java.lang.String strCurrency, double dblHazardRate, double dblRecovery) Create a CreditCurve instance from a single node hazard rate
static ExplicitBootCreditCurve	Hazard(int iStartDate, java.lang.String strName, java.lang.String strCurrency, double[] adblHazardRate, int[] aiHazardDate, double[] adblRecoveryRate, int[] aiRecoveryDate, int iSpecificDefaultDate) Create a credit curve from hazard rate and recovery rate term structures
static ExplicitBootCreditCurve	Hazard(int iStartDate, java.lang.String strName, java.lang.String strCurrency, double dblHazardRate, int iHazardDate, double dblRecovery) Create an instance of the CreditCurve object from a solitary hazard rate node
static ExplicitBootCreditCurve	Hazard(JulianDate dtStart, java.lang.String strName, java.lang.String strCurrency, int[] aiDate, double[] adblHazardRate, double dblRecovery) Create a credit curve from an array of dates and hazard rates
static ExplicitBootCreditCurve	Survival(int iStartDate, java.lang.String strName, java.lang.String strCurrency, int[] aiSurvivalDate, double[] adblSurvivalProbability, double dblRecovery) Create a CreditCurve Instance from the Input Array of Survival Probabilities
static ExplicitBootCreditCurve	Survival(int iStartDate, java.lang.String strName, java.lang.String strCurrency, java.lang.String[] astrSurvivalTenor, double[] adblSurvivalProbability, double dblRecovery) Create a CreditCurve Instance from the Input Array of Survival Probabilities

Methods inherited from class java.lang.Object

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

Constructor Detail

ScenarioCreditCurveBuilder

public ScenarioCreditCurveBuilder()

Method Detail

CreateCCSC

public static final CreditCurveScenarioContainer CreateCCSC(CalibratableComponent[] aCalibInst)

Create CreditScenarioCurve from the array of calibration instruments

Parameters:

aCalibInst - Array of calibration instruments

Returns:

CreditScenarioCurve object

Custom

public static final CreditCurve Custom(java.lang.String strName,
                                       JulianDate dtSpot,
                                       CalibratableComponent[] aCalibInst,
                                       MergedDiscountForwardCurve dc,
                                       double[] adblCalibQuote,
                                       java.lang.String[] astrCalibMeasure,
                                       double dblRecovery,
                                       boolean bFlat)

Calibrate the base credit curve from the input credit instruments, measures, and the quotes

Parameters:

strName - Credit Curve Name

dtSpot - Spot Date

aCalibInst - Array of calibration instruments

dc - Discount Curve

adblCalibQuote - Array of Instrument Quotes

astrCalibMeasure - Array of calibration Measures

dblRecovery - Recovery Rate

bFlat - Whether the Calibration is based off of a flat spread

Returns:

The cooked Credit Curve

FlatHazard

public static final ExplicitBootCreditCurve FlatHazard(int iStartDate,
                                                       java.lang.String strName,
                                                       java.lang.String strCurrency,
                                                       double dblHazardRate,
                                                       double dblRecovery)

Create a CreditCurve instance from a single node hazard rate

Parameters:

iStartDate - Curve epoch date

strName - Credit Curve Name

strCurrency - Currency

dblHazardRate - Curve hazard rate

dblRecovery - Curve recovery

Returns:

CreditCurve instance

Survival

public static final ExplicitBootCreditCurve Survival(int iStartDate,
                                                     java.lang.String strName,
                                                     java.lang.String strCurrency,
                                                     int[] aiSurvivalDate,
                                                     double[] adblSurvivalProbability,
                                                     double dblRecovery)

Create a CreditCurve Instance from the Input Array of Survival Probabilities

Parameters:

iStartDate - Start Date

strName - Credit Curve Name

strCurrency - Currency

aiSurvivalDate - Array of Dates

adblSurvivalProbability - Array of Survival Probabilities

dblRecovery - Recovery Rate

Returns:

The CreditCurve Instance

Survival

public static final ExplicitBootCreditCurve Survival(int iStartDate,
                                                     java.lang.String strName,
                                                     java.lang.String strCurrency,
                                                     java.lang.String[] astrSurvivalTenor,
                                                     double[] adblSurvivalProbability,
                                                     double dblRecovery)

Create a CreditCurve Instance from the Input Array of Survival Probabilities

Parameters:

iStartDate - Start Date

strName - Credit Curve Name

strCurrency - Currency

astrSurvivalTenor - Array of Survival Tenors

adblSurvivalProbability - Array of Survival Probabilities

dblRecovery - Recovery Rate

Returns:

The CreditCurve Instance

Hazard

public static final ExplicitBootCreditCurve Hazard(int iStartDate,
                                                   java.lang.String strName,
                                                   java.lang.String strCurrency,
                                                   double dblHazardRate,
                                                   int iHazardDate,
                                                   double dblRecovery)

Create an instance of the CreditCurve object from a solitary hazard rate node

Parameters:

iStartDate - The Curve epoch date

strName - Credit Curve Name

strCurrency - Currency

dblHazardRate - The solo hazard rate

iHazardDate - Date

dblRecovery - Recovery

Returns:

CreditCurve instance

Hazard

public static final ExplicitBootCreditCurve Hazard(JulianDate dtStart,
                                                   java.lang.String strName,
                                                   java.lang.String strCurrency,
                                                   int[] aiDate,
                                                   double[] adblHazardRate,
                                                   double dblRecovery)

Create a credit curve from an array of dates and hazard rates

Parameters:

dtStart - Curve epoch date

strName - Credit Curve Name

strCurrency - Currency

aiDate - Array of dates

adblHazardRate - Array of hazard rates

dblRecovery - Recovery

Returns:

CreditCurve instance

Hazard

public static final ExplicitBootCreditCurve Hazard(int iStartDate,
                                                   java.lang.String strName,
                                                   java.lang.String strCurrency,
                                                   double[] adblHazardRate,
                                                   int[] aiHazardDate,
                                                   double[] adblRecoveryRate,
                                                   int[] aiRecoveryDate,
                                                   int iSpecificDefaultDate)

Create a credit curve from hazard rate and recovery rate term structures

Parameters:

iStartDate - Curve Epoch date

strName - Credit Curve Name

strCurrency - Currency

adblHazardRate - Matched array of hazard rates

aiHazardDate - Matched array of hazard dates

adblRecoveryRate - Matched array of recovery rates

aiRecoveryDate - Matched array of recovery dates

iSpecificDefaultDate - (Optional) Specific Default Date

Returns:

CreditCurve instance