Package org.drip.analytics.cashflow

Class LossQuadratureMetrics

java.lang.Object
org.drip.analytics.cashflow.LossQuadratureMetrics
public class LossQuadratureMetrics
extends java.lang.Object
LossPeriodCurveFactors is an Implementation of the Period Class enhanced by the Loss Period Measures. It exports the following Functionality:

  • Start/End Survival Probabilities
  • Period Effective Notional/Recovery/Discount Factor
  • Serialization into and De-serialization out of Byte Arrays


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    LossQuadratureMetrics​(int iStartDate, int iEndDate, double dblStartSurvival, double dblEndSurvival, double dblAccrualDCF, double dblEffectiveNotional, double dblEffectiveRecovery, double dblEffectiveDF)
    LossPeriodCurveFactors Constructor

  • Method Summary

    Modifier and Type Method Description
    double accrualDCF()
    Get the Period Accrual Day Count Fraction
    double effectiveDF()
    Get the Period Effective Discount Factor
    double effectiveNotional()
    Get the Period Effective Notional
    double effectiveRecovery()
    Get the Period Effective Recovery
    int endDate()
    Period End Date
    double endSurvival()
    Survival at the Period End
    static 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 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
    int startDate()
    Period Start Date
    double startSurvival()
    Survival Probability at the Period Beginning

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • LossQuadratureMetrics

      public LossQuadratureMetrics​(int iStartDate, int iEndDate, double dblStartSurvival, double dblEndSurvival, double dblAccrualDCF, double dblEffectiveNotional, double dblEffectiveRecovery, double dblEffectiveDF) throws java.lang.Exception
      LossPeriodCurveFactors Constructor
      Parameters:
      iStartDate - Period Start Date
      iEndDate - Period End Date
      dblStartSurvival - Period Start Survival
      dblEndSurvival - Period End Survival
      dblAccrualDCF - Period Accrual DCF
      dblEffectiveNotional - Period Effective Notional
      dblEffectiveRecovery - Period Effective Recovery
      dblEffectiveDF - Period Effective Discount Factor
      Throws:
      java.lang.Exception - Thrown if inputs are invalid

  • Method Details

    • MakeDefaultPeriod

      public static final 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
      Parameters:
      iStartDate - Period Start Date
      iEndDate - Period End Date
      dblAccrualDCF - Period's Accrual Day Count Fraction
      dblEffectiveNotional - Period's Effective Notional
      dblEffectiveRecovery - Period's Effective Recovery
      dc - Discount Curve
      cc - Credit Curve
      iDefaultLag - Default Pay Lag
      Returns:
      LossPeriodCurveFactors Instance

    • MakeDefaultPeriod

      public static final 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
      Parameters:
      iStartDate - Period Start Date
      iEndDate - Period End Date
      dblAccrualDCF - Period's Accrual Day Count Fraction
      dblEffectiveNotional - Period's Effective Notional
      dc - Discount Curve
      cc - Credit Curve
      iDefaultLag - Default Pay Lag
      Returns:
      LossPeriodCurveFactors instance

    • startDate

      public int startDate()
      Period Start Date
      Returns:
      Period Start Date

    • startSurvival

      public double startSurvival()
      Survival Probability at the Period Beginning
      Returns:
      Survival Probability at the Period Beginning

    • endDate

      public int endDate()
      Period End Date
      Returns:
      Period End Date

    • endSurvival

      public double endSurvival()
      Survival at the Period End
      Returns:
      Survival at the Period End

    • effectiveNotional

      public double effectiveNotional()
      Get the Period Effective Notional
      Returns:
      Period Effective Notional

    • effectiveRecovery

      public double effectiveRecovery()
      Get the Period Effective Recovery
      Returns:
      Period Effective Recovery

    • effectiveDF

      public double effectiveDF()
      Get the Period Effective Discount Factor
      Returns:
      Period Effective Discount Factor

    • accrualDCF

      public double accrualDCF()
      Get the Period Accrual Day Count Fraction
      Returns:
      Period Accrual Day Count Fraction