Package org.drip.historical.state

Class CreditCurveMetrics

java.lang.Object
org.drip.historical.state.CreditCurveMetrics
public class CreditCurveMetrics
extends java.lang.Object
CreditCurveMetrics holds the computed Metrics associated the Credit Curve State.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CreditCurveMetrics​(JulianDate dtClose)
    CreditCurveMetrics Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean addRecoveryRate​(JulianDate dt, double dblRecoveryRate)
    Add the Recovery Rate corresponding to the specified Date
    boolean addSurvivalProbability​(JulianDate dt, double dblSurvivalProbability)
    Add the Survival Probability corresponding to the specified Date
    JulianDate close()
    Retrieve the Closing Date
    double recoveryRate​(JulianDate dt)
    Retrieve the Recovery Rate corresponding to the specified Date
    double survivalProbability​(JulianDate dt)
    Retrieve the Survival Probability corresponding to the specified Date

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CreditCurveMetrics

      public CreditCurveMetrics​(JulianDate dtClose) throws java.lang.Exception
      CreditCurveMetrics Constructor
      Parameters:
      dtClose - The Closing Date
      Throws:
      java.lang.Exception - Thrown if Inputs are Invalid

  • Method Details

    • close

      public JulianDate close()
      Retrieve the Closing Date
      Returns:
      The Closing Date

    • addSurvivalProbability

      public boolean addSurvivalProbability​(JulianDate dt, double dblSurvivalProbability)
      Add the Survival Probability corresponding to the specified Date
      Parameters:
      dt - The Date
      dblSurvivalProbability - The Survival Probability
      Returns:
      TRUE - The Dated Survival Probability successfully added

    • addRecoveryRate

      public boolean addRecoveryRate​(JulianDate dt, double dblRecoveryRate)
      Add the Recovery Rate corresponding to the specified Date
      Parameters:
      dt - The Date
      dblRecoveryRate - The Recovery Rate
      Returns:
      TRUE - The Dated Recovery Rate successfully added

    • survivalProbability

      public double survivalProbability​(JulianDate dt) throws java.lang.Exception
      Retrieve the Survival Probability corresponding to the specified Date
      Parameters:
      dt - The Specified Date
      Returns:
      The corresponding Survival Probability
      Throws:
      java.lang.Exception - Thrown if the Survival Probability cannot be retrieved

    • recoveryRate

      public double recoveryRate​(JulianDate dt) throws java.lang.Exception
      Retrieve the Recovery Rate corresponding to the specified Date
      Parameters:
      dt - The Specified Date
      Returns:
      The corresponding Recovery Rate
      Throws:
      java.lang.Exception - Thrown if the Recovery Rate cannot be retrieved