Uses of Class
org.drip.state.credit.CreditCurve

Packages that use CreditCurve

Package	Description
org.drip.analytics.cashflow
org.drip.param.creator
org.drip.param.market
org.drip.product.credit
org.drip.product.definition
org.drip.service.product
org.drip.service.template
org.drip.state.boot
org.drip.state.creator
org.drip.state.credit
org.drip.state.nonlinear

Uses of CreditCurve in org.drip.analytics.cashflow

Methods in org.drip.analytics.cashflow with parameters of type CreditCurve

Modifier and Type	Method and Description
static LossQuadratureMetrics	LossQuadratureMetrics.MakeDefaultPeriod(int iStartDate, int iEndDate, double dblAccrualDCF, double dblEffectiveNotional, double dblEffectiveRecovery, MergedDiscountForwardCurve dc, CreditCurve cc, int iDefaultLag) Create an Instance of the LossPeriodCurveFactors using the Period's Dates and Curves to generate the Curve Measures
static LossQuadratureMetrics	LossQuadratureMetrics.MakeDefaultPeriod(int iStartDate, int iEndDate, double dblAccrualDCF, double dblEffectiveNotional, MergedDiscountForwardCurve dc, CreditCurve cc, int iDefaultLag) Create a LossPeriodCurveFactors instance from the period dates and the curve measures

Uses of CreditCurve in org.drip.param.creator

Methods in org.drip.param.creator with parameters of type CreditCurve

Modifier and Type	Method and Description
static CurveSurfaceQuoteContainer	MarketParamsBuilder.Create(MergedDiscountForwardCurve dcFunding, ForwardCurve fc, GovvieCurve gc, CreditCurve cc, java.lang.String strComponentCode, ProductQuote compQuote, CaseInsensitiveTreeMap<ProductQuote> mTSYQuotes, LatentStateFixingsContainer lsfc) Create a Market Parameters instance with the funding discount curve, the forward discount curve, the govvie curve, the credit curve, the component quote, the map of treasury benchmark quotes, and the Latent State Fixings Instance.
static CurveSurfaceQuoteContainer	MarketParamsBuilder.Create(MergedDiscountForwardCurve dcFunding, GovvieCurve gc, CreditCurve cc, java.lang.String strComponentCode, ProductQuote compQuote, CaseInsensitiveTreeMap<ProductQuote> mTSYQuotes, LatentStateFixingsContainer lsfc) Create a Market Parameters Instance with the Funding Curve, the Govvie Curve, the Credit Curve, the component quote, the map of treasury benchmark quotes, and the Latent State Fixings Container
static CurveSurfaceQuoteContainer	MarketParamsBuilder.Credit(MergedDiscountForwardCurve dcFunding, CreditCurve cc) Create a Market Parameters Instance with the Funding Curve and the credit curve

Uses of CreditCurve in org.drip.param.market

Methods in org.drip.param.market that return CreditCurve

Modifier and Type	Method and Description
CreditCurve	CreditCurveScenarioContainer.base() Return the base credit curve
CreditCurve	CreditCurveScenarioContainer.bumpDown() Return the bump Down credit curve
CreditCurve	CreditCurveScenarioContainer.bumpRecoveryDown() Return the recovery bump Down credit curve
CreditCurve	CreditCurveScenarioContainer.bumpRecoveryUp() Return the recovery bump up credit curve
CreditCurve	CreditCurveScenarioContainer.bumpUp() Return the bump up credit curve
CreditCurve	CurveSurfaceQuoteContainer.creditState(CreditLabel creditLabel) Retrieve the Credit Latent State from the Label
CreditCurve	CurveSurfaceQuoteContainer.recoveryState(RecoveryLabel recoveryLabel) Retrieve the Recovery Latent State from the Label

Methods in org.drip.param.market that return types with arguments of type CreditCurve

Modifier and Type	Method and Description
CaseInsensitiveTreeMap<CreditCurve>	CreditCurveScenarioContainer.custom() Return the Custom credit curve map
CaseInsensitiveTreeMap<CreditCurve>	CreditCurveScenarioContainer.tenorBumpDown() Return the tenor bump Down credit curve map
CaseInsensitiveTreeMap<CreditCurve>	CreditCurveScenarioContainer.tenorBumpUp() Return the tenor bump up credit curve map

Methods in org.drip.param.market with parameters of type CreditCurve

Modifier and Type	Method and Description
boolean	CurveSurfaceQuoteContainer.setCreditState(CreditCurve cc) (Re)-set the Credit State
boolean	CurveSurfaceQuoteContainer.setRecoveryState(CreditCurve rc) (Re)-set the Recovery State for the specified Recovery Latent State Label

Uses of CreditCurve in org.drip.product.credit

Fields in org.drip.product.credit declared as CreditCurve

Modifier and Type	Field and Description
CreditCurve	CDSComponent.SpreadCalibOP._ccCalib

Methods in org.drip.product.credit with parameters of type CreditCurve

Modifier and Type	Method and Description
double	CDSComponent.recovery(int iDate, CreditCurve cc)
double	BondComponent.recovery(int iDate, CreditCurve cc)
double	CDSComponent.recovery(int iDateStart, int iDateEnd, CreditCurve cc)
double	BondComponent.recovery(int iStartDate, int iEndDate, CreditCurve cc)

Constructors in org.drip.product.credit with parameters of type CreditCurve

Constructor and Description
SpreadCalibOP(double dblCalibResult, CreditCurve ccCalib)

Uses of CreditCurve in org.drip.product.definition

Methods in org.drip.product.definition with parameters of type CreditCurve

Modifier and Type	Method and Description
abstract double	CreditComponent.recovery(int iDate, CreditCurve cc) Get the recovery of the credit component for the given date
abstract double	CreditComponent.recovery(int iDate1, int iDate2, CreditCurve cc) Get the time-weighted recovery of the credit component between the given dates

Uses of CreditCurve in org.drip.service.product

Methods in org.drip.service.product with parameters of type CreditCurve

Modifier and Type	Method and Description
static PositionChangeComponents	CreditIndexAPI.HorizonChangeAttribution(DiscountCurve dcFirst, CreditCurve ccFirst, DiscountCurve dcSecond, CreditCurve ccSecond, java.lang.String strFullCreditIndexName) Generate the CDS Horizon Change Attribution

Uses of CreditCurve in org.drip.service.template

Methods in org.drip.service.template that return CreditCurve

Modifier and Type	Method and Description
static CreditCurve	LatentMarketStateBuilder.CreditCurve(JulianDate dtSpot, CreditDefaultSwap[] aCDS, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc) Construct a Credit Curve from the specified Calibration CDS Instruments
static CreditCurve	LatentMarketStateBuilder.CreditCurve(JulianDate dtSpot, java.lang.String strCredit, java.lang.String[] astrMaturityTenor, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc) Construct a Credit Curve from Overnight Exchange/OTC Market Instruments

Methods in org.drip.service.template that return types with arguments of type CreditCurve

Modifier and Type	Method and Description
static CaseInsensitiveTreeMap<CreditCurve>	LatentMarketStateBuilder.BumpedCreditCurve(JulianDate dtSpot, java.lang.String strCredit, java.lang.String[] astrMaturityTenor, double[] adblCoupon, double[] adblQuote, java.lang.String strMeasure, MergedDiscountForwardCurve dc, double dblBump, boolean bIsProportional) Construct a Tenor + Parallel Map of Bumped Credit Curves from Overnight Exchange/OTC Market Instruments

Uses of CreditCurve in org.drip.state.boot

Methods in org.drip.state.boot that return CreditCurve

Modifier and Type	Method and Description
static CreditCurve	CreditCurveScenario.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[]	CreditCurveScenario.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

Methods in org.drip.state.boot that return types with arguments of type CreditCurve

Modifier and Type

Method and Description

static CaseInsensitiveTreeMap<CreditCurve>

CreditCurveScenario.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

Uses of CreditCurve in org.drip.state.creator

Methods in org.drip.state.creator that return CreditCurve

Modifier and Type	Method and Description
static CreditCurve	ScenarioCreditCurveBuilder.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

Uses of CreditCurve in org.drip.state.credit

Subclasses of CreditCurve in org.drip.state.credit

Modifier and Type	Class and Description
class	ExplicitBootCreditCurve ExplicitBootCreditCurve exposes the functionality associated with the bootstrapped Credit Curve.

Methods in org.drip.state.credit that return CreditCurve

Modifier and Type	Method and Description
abstract CreditCurve	CreditCurve.flatCurve(double dblFlatNodeValue, boolean bSingleNode, double dblRecovery) Create a flat hazard curve from the inputs

Uses of CreditCurve in org.drip.state.nonlinear

Subclasses of CreditCurve in org.drip.state.nonlinear

Modifier and Type	Class and Description
class	ForwardHazardCreditCurve ForwardHazardCreditCurve manages the Survival Latent State, using the Hazard Rate as the State Response Representation.

Methods in org.drip.state.nonlinear that return CreditCurve

Modifier and Type	Method and Description
CreditCurve	ForwardHazardCreditCurve.customTweakManifestMeasure(java.lang.String strManifestMeasure, ManifestMeasureTweak mmtp)
CreditCurve	ForwardHazardCreditCurve.flatCurve(double dblFlatNodeValue, boolean bSingleNode, double dblRecovery)