org.drip.state.nonlinear

Class ForwardHazardCreditCurve

java.lang.Object

org.drip.state.credit.CreditCurve

org.drip.state.credit.ExplicitBootCreditCurve

org.drip.state.nonlinear.ForwardHazardCreditCurve

All Implemented Interfaces:

Curve, ExplicitBootCurve, LatentState

public class ForwardHazardCreditCurve
extends ExplicitBootCreditCurve

ForwardHazardCreditCurve manages the Survival Latent State, using the Hazard Rate as the State Response Representation. It exports the following functionality: - Boot Methods - Set/Bump Specific Node Quantification Metric, or Set Flat Value - Boot Calibration - Initialize Run, Compute Calibration Metric - Compute the survival probability, recovery rate, or the hazard rate from the Hazard Rate Latent State - Retrieve Array of the Calibration Components - Retrieve the Curve Construction Input Set - Synthesize scenario Latent State by parallel shifting/custom tweaking the quantification metric - Synthesize scenario Latent State by parallel/custom shifting/custom tweaking the manifest measure

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ForwardHazardCreditCurve(int iStartDate, CreditLabel label, 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

Method Summary

Modifier and Type	Method and Description
boolean	bumpNodeValue(int iNodeIndex, double dblValue) Bump the node value at the node specified the index by the value
CreditCurve	customTweakManifestMeasure(java.lang.String strManifestMeasure, ManifestMeasureTweak mmtp) Create a LatentState Instance from the Manifest Measure Tweak Parameters
Curve	customTweakQuantificationMetric(ManifestMeasureTweak rvtp) Create a LatentState Instance from the Quantification Metric Tweak Parameters
CreditCurve	flatCurve(double dblFlatNodeValue, boolean bSingleNode, double dblRecovery) Create a flat hazard curve from the inputs
ForwardHazardCreditCurve	parallelShiftManifestMeasure(java.lang.String strManifestMeasure, double dblShift) Create a LatentState Instance from the Manifest Measure Parallel Shift
ForwardHazardCreditCurve	parallelShiftQuantificationMetric(double dblShift) Create a LatentState Instance from the Quantification Metric Parallel Shift
double	recovery(int iDate) Calculate the recovery rate to the given date
boolean	setFlatValue(double dblValue) Set the flat value across all the nodes
boolean	setNodeValue(int iNodeIndex, double dblValue) Set the Value/Slope at the Node specified by the Index
ForwardHazardCreditCurve	shiftManifestMeasure(int iSpanIndex, java.lang.String strManifestMeasure, double dblShift) Create a LatentState Instance from the Shift of the Specified Manifest Measure
double	survival(int iDate) Calculate the survival to the given date

Methods inherited from class org.drip.state.credit.CreditCurve

calibComp, currency, effectiveRecovery, effectiveRecovery, effectiveRecovery, effectiveSurvival, effectiveSurvival, effectiveSurvival, epoch, hazard, hazard, hazard, label, manifestMeasure, recovery, recovery, setCCIS, setInstrCalibInputs, setSpecificDefault, survival, survival, unsetSpecificDefault

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.drip.analytics.definition.Curve

calibComp, currency, epoch, label, manifestMeasure, setCCIS

Constructor Detail

ForwardHazardCreditCurve

public ForwardHazardCreditCurve(int iStartDate,
                                CreditLabel label,
                                java.lang.String strCurrency,
                                double[] adblHazardRate,
                                int[] aiHazardDate,
                                double[] adblRecoveryRate,
                                int[] aiRecoveryDate,
                                int iSpecificDefaultDate)
                         throws java.lang.Exception

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

Parameters:

iStartDate - Curve Epoch date

label - Credit Curve Label

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

Throws:

java.lang.Exception - Thrown if inputs are invalid

Method Detail

survival

public double survival(int iDate)
                throws java.lang.Exception

Description copied from class: CreditCurve

Calculate the survival to the given date

Specified by:

survival in class CreditCurve

Parameters:

iDate - Date

Returns:

Survival Probability

Throws:

java.lang.Exception - Thrown if the survival probability cannot be calculated

recovery

public double recovery(int iDate)
                throws java.lang.Exception

Description copied from class: CreditCurve

Calculate the recovery rate to the given date

Specified by:

recovery in class CreditCurve

Parameters:

iDate - Date

Returns:

Recovery Rate

Throws:

java.lang.Exception - Thrown if the Recovery rate cannot be calculated

parallelShiftQuantificationMetric

public ForwardHazardCreditCurve parallelShiftQuantificationMetric(double dblShift)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Parallel Shift

Parameters:

dblShift - Parallel shift of the Quantification Metric

Returns:

New LatentState Instance corresponding to the Parallel Shifted Quantification Metric

customTweakQuantificationMetric

public Curve customTweakQuantificationMetric(ManifestMeasureTweak rvtp)

Description copied from interface: LatentState

Create a LatentState Instance from the Quantification Metric Tweak Parameters

Parameters:

rvtp - Quantification Metric Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Quantification Metric

parallelShiftManifestMeasure

public ForwardHazardCreditCurve parallelShiftManifestMeasure(java.lang.String strManifestMeasure,
                                                             double dblShift)

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Parallel Shift

Parameters:

strManifestMeasure - The Specified Manifest Measure

dblShift - Parallel shift of the Manifest Measure

Returns:

New LatentState Instance corresponding to the Parallel Shifted Manifest Measure

shiftManifestMeasure

public ForwardHazardCreditCurve shiftManifestMeasure(int iSpanIndex,
                                                     java.lang.String strManifestMeasure,
                                                     double dblShift)

Description copied from interface: LatentState

Create a LatentState Instance from the Shift of the Specified Manifest Measure

Parameters:

iSpanIndex - Index into the Span that identifies the Instrument

strManifestMeasure - The Specified Manifest Measure

dblShift - Shift of the Manifest Measure

Returns:

New LatentState Instance corresponding to the Shift of the Specified Manifest Measure

flatCurve

public CreditCurve flatCurve(double dblFlatNodeValue,
                             boolean bSingleNode,
                             double dblRecovery)

Description copied from class: CreditCurve

Create a flat hazard curve from the inputs

Specified by:

flatCurve in class CreditCurve

Parameters:

dblFlatNodeValue - Flat hazard node value

bSingleNode - Uses a single node for Calibration (True)

dblRecovery - (Optional) Recovery to be used in creation of the flat curve

Returns:

New CreditCurve instance

customTweakManifestMeasure

public CreditCurve customTweakManifestMeasure(java.lang.String strManifestMeasure,
                                              ManifestMeasureTweak mmtp)

Description copied from interface: LatentState

Create a LatentState Instance from the Manifest Measure Tweak Parameters

Parameters:

strManifestMeasure - The Specified Manifest Measure

mmtp - Manifest Measure Tweak Parameters

Returns:

New LatentState Instance corresponding to the Tweaked Manifest Measure

setNodeValue

public boolean setNodeValue(int iNodeIndex,
                            double dblValue)

Description copied from interface: ExplicitBootCurve

Set the Value/Slope at the Node specified by the Index

Parameters:

iNodeIndex - Node Index

dblValue - Node Value

Returns:

Success (true), failure (false)

bumpNodeValue

public boolean bumpNodeValue(int iNodeIndex,
                             double dblValue)

Description copied from interface: ExplicitBootCurve

Bump the node value at the node specified the index by the value

Parameters:

iNodeIndex - node index

dblValue - node bump value

Returns:

Success (true), failure (false)

setFlatValue

public boolean setFlatValue(double dblValue)

Description copied from interface: ExplicitBootCurve

Set the flat value across all the nodes

Parameters:

dblValue - node value

Returns:

Success (true), failure (false)