Package org.drip.analytics.support

Class LossQuadratureGenerator

java.lang.Object

org.drip.analytics.support.LossQuadratureGenerator

public class LossQuadratureGenerator
extends java.lang.Object

LossQuadratureGenerator generates the decomposed Integrand Quadrature for the Loss Steps.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Date, Cash Flow, and Cash Flow Period Measure Generation Utilities
• Package = Assorted Support and Helper Utilities

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
LossQuadratureGenerator()

Method Summary

Modifier and Type	Method	Description
static java.util.List<LossQuadratureMetrics>	GenerateDayStepLossPeriods(CreditComponent comp, ValuationParams valParams, CompositePeriod period, int iWorkoutDate, int iPeriodUnit, CurveSurfaceQuoteContainer csqs)	Generate the Set of Loss Quadrature Metrics from the Day Step Loss Periods
static java.util.List<LossQuadratureMetrics>	GeneratePeriodUnitLossPeriods(CreditComponent comp, ValuationParams valParams, CompositePeriod period, int iWorkoutDate, int iPeriodUnit, CurveSurfaceQuoteContainer csqs)	Generate the Set of Loss Quadrature Metrics from the Day Step Loss Periods
static java.util.List<LossQuadratureMetrics>	GenerateWholeLossPeriods(CreditComponent comp, ValuationParams valParams, CompositePeriod period, int iWorkoutDate, CurveSurfaceQuoteContainer csqs)	Generate the Set of Loss Quadrature Metrics from the Day Step Loss Periods

Methods inherited from class java.lang.Object

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

Constructor Details

LossQuadratureGenerator

public LossQuadratureGenerator()

Method Details

GenerateDayStepLossPeriods

public static final java.util.List<LossQuadratureMetrics> GenerateDayStepLossPeriods(CreditComponent comp,
ValuationParams valParams,
CompositePeriod period,
int iWorkoutDate,
int iPeriodUnit,
CurveSurfaceQuoteContainer csqs)

Generate the Set of Loss Quadrature Metrics from the Day Step Loss Periods

Parameters:

comp - Component for which the measures are to be generated

valParams - ValuationParams from which the periods are generated

period - The enveloping coupon period

iWorkoutDate - Date representing the absolute end of all the generated periods

iPeriodUnit - Day Step Size Unit of the generated Loss Quadrature Periods

csqs - The Market Parameters Curves/Quotes

Returns:

List of the generated LossQuadratureMetrics

GeneratePeriodUnitLossPeriods

public static final java.util.List<LossQuadratureMetrics> GeneratePeriodUnitLossPeriods(CreditComponent comp,
ValuationParams valParams,
CompositePeriod period,
int iWorkoutDate,
int iPeriodUnit,
CurveSurfaceQuoteContainer csqs)

Generate the Set of Loss Quadrature Metrics from the Day Step Loss Periods

Parameters:

comp - Component for which the measures are to be generated

valParams - ValuationParams from which the periods are generated

period - The enveloping coupon period

iWorkoutDate - The absolute end of all the generated periods

iPeriodUnit - Loss Grid Size Unit of the generated Loss Quadrature Periods

csqs - The Market Parameters Curves/Quotes

Returns:

List of the generated LossQuadratureMetrics

GenerateWholeLossPeriods

public static final java.util.List<LossQuadratureMetrics> GenerateWholeLossPeriods(CreditComponent comp,
ValuationParams valParams,
CompositePeriod period,
int iWorkoutDate,
CurveSurfaceQuoteContainer csqs)

Generate the Set of Loss Quadrature Metrics from the Day Step Loss Periods

Parameters:

comp - Component for which the measures are to be generated

valParams - ValuationParams from which the periods are generated

period - The Enveloping Coupon period

iWorkoutDate - The Absolute End of all the generated periods

csqs - The Market Parameters Curves/Quotes

Returns:

List of the generated LossQuadratureMetrics