Package org.drip.param.definition

Class CreditManifestMeasureTweak

java.lang.Object

org.drip.param.definition.ManifestMeasureTweak

org.drip.param.definition.CreditManifestMeasureTweak

public class CreditManifestMeasureTweak
extends ManifestMeasureTweak

CreditManifestMeasureTweak contains the place holder for the credit curve scenario tweak parameters: in addition to the ResponseValueTweakParams fields, this exposes the calibration manifest measure, the curve node, and the nodal calibration type (entire curve/flat or a given tenor point).

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Product Cash Flow, Valuation, Market, Pricing, and Quoting Parameters
• Package = Latent State Quantification Metrics Tweak

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field	Description
static java.lang.String	CREDIT_TWEAK_NODE_MEASURE_HAZARD	Tweak Measure Type of Hazard
static java.lang.String	CREDIT_TWEAK_NODE_MEASURE_QUOTE	Tweak Measure Type of Quote
static java.lang.String	CREDIT_TWEAK_NODE_PARAM_QUOTE	Tweak Parameter Type of Quote
static java.lang.String	CREDIT_TWEAK_NODE_PARAM_RECOVERY	Tweak Parameter Type of Recovery

Fields inherited from class org.drip.param.definition.ManifestMeasureTweak

FLAT

Constructor Summary

Constructors

Constructor	Description
CreditManifestMeasureTweak(java.lang.String strParamType, java.lang.String strMeasureType, int iNode, boolean bIsProportional, double dblAmount, boolean bSingleNodeCalib)	CreditManifestMeasureTweak constructor

Method Summary

Modifier and Type	Method	Description
java.lang.String	measureType()	Retrieve the Tweak Measure Type
java.lang.String	paramType()	Retrieve the Tweak Parameter Type
boolean	singleNodeCalib()	Single Node Calibration Flag

Methods inherited from class org.drip.param.definition.ManifestMeasureTweak

amount, isProportional, node

Methods inherited from class java.lang.Object

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

Field Details

CREDIT_TWEAK_NODE_PARAM_QUOTE

public static final java.lang.String CREDIT_TWEAK_NODE_PARAM_QUOTE

Tweak Parameter Type of Quote

See Also:

Constant Field Values

CREDIT_TWEAK_NODE_PARAM_RECOVERY

public static final java.lang.String CREDIT_TWEAK_NODE_PARAM_RECOVERY

Tweak Parameter Type of Recovery

See Also:

Constant Field Values

CREDIT_TWEAK_NODE_MEASURE_QUOTE

public static final java.lang.String CREDIT_TWEAK_NODE_MEASURE_QUOTE

Tweak Measure Type of Quote

See Also:

Constant Field Values

CREDIT_TWEAK_NODE_MEASURE_HAZARD

public static final java.lang.String CREDIT_TWEAK_NODE_MEASURE_HAZARD

Tweak Measure Type of Hazard

See Also:

Constant Field Values

Constructor Details

CreditManifestMeasureTweak

public CreditManifestMeasureTweak(java.lang.String strParamType,
java.lang.String strMeasureType,
int iNode,
boolean bIsProportional,
double dblAmount,
boolean bSingleNodeCalib)
                           throws java.lang.Exception

CreditManifestMeasureTweak constructor

Parameters:

strParamType - Node Tweak Parameter Type

strMeasureType - Node Tweak Measure Type

iNode - Node to be tweaked - Set to NODE_FLAT_TWEAK for flat curve tweak

bIsProportional - True - Tweak is proportional, False - parallel

dblAmount - Amount to be tweaked - proportional tweaks are represented as percent, parallel tweaks are absolute numbers

bSingleNodeCalib - Flat Calibration using a single node?

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

singleNodeCalib

public boolean singleNodeCalib()

Single Node Calibration Flag

Returns:

TRUE - Turn on Single Node Calibration

paramType

public java.lang.String paramType()

Retrieve the Tweak Parameter Type

Returns:

The Tweak Parameter Type

measureType

public java.lang.String measureType()

Retrieve the Tweak Measure Type

Returns:

The Tweak Measure Type