Package org.drip.param.pricer

Class CreditPricerParams

java.lang.Object
org.drip.param.pricer.CreditPricerParams
All Implemented Interfaces:
PricerParams
public class CreditPricerParams
extends java.lang.Object
implements PricerParams
CreditPricerParams contains the Credit Pricer Parameters - the discrete unit size, calibration mode on/off, survival to pay/end date, and the discretization scheme.

Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static int PERIOD_DAY_STEPS_MINIMUM
    Minimum number of days per unit
    static int PERIOD_DISCRETIZATION_DAY_STEP
    Discretization as a sequence of day steps
    static int PERIOD_DISCRETIZATION_FULL_COUPON
    No discretization at all - just the full coupon period
    static int PERIOD_DISCRETIZATION_PERIOD_STEP
    Discretization as a sequence of time space divided periods

  • Constructor Summary

    Constructors
    Constructor Description
    CreditPricerParams​(int iUnitSize, CalibrationParams calibParams, boolean bSurvToPayDate, int iDiscretizationScheme)
    Create the pricer parameters from the discrete unit size, calibration mode on/off, survival to pay/end date, and the discretization scheme

  • Method Summary

    Modifier and Type Method Description
    CalibrationParams calibParams()
    Retrieve the Calibration Parameters Instance
    int discretizationScheme()
    Retrieve the Discretization Scheme
    static CreditPricerParams Standard()
    Create the standard Credit pricer parameters object instance
    boolean survivalToPayDate()
    Retrieve the flag indicating whether the Survival is to be computed to the Pay Date (TRUE) or not
    int unitSize()
    Retrieve the Discretized Loss Unit Size

    Methods inherited from class java.lang.Object

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

  • Field Details

    • PERIOD_DAY_STEPS_MINIMUM

      public static final int PERIOD_DAY_STEPS_MINIMUM
      Minimum number of days per unit
      See Also:
      Constant Field Values

    • PERIOD_DISCRETIZATION_DAY_STEP

      public static final int PERIOD_DISCRETIZATION_DAY_STEP
      Discretization as a sequence of day steps
      See Also:
      Constant Field Values

    • PERIOD_DISCRETIZATION_PERIOD_STEP

      public static final int PERIOD_DISCRETIZATION_PERIOD_STEP
      Discretization as a sequence of time space divided periods
      See Also:
      Constant Field Values

    • PERIOD_DISCRETIZATION_FULL_COUPON

      public static final int PERIOD_DISCRETIZATION_FULL_COUPON
      No discretization at all - just the full coupon period
      See Also:
      Constant Field Values

  • Constructor Details

    • CreditPricerParams

      public CreditPricerParams​(int iUnitSize, CalibrationParams calibParams, boolean bSurvToPayDate, int iDiscretizationScheme)
      Create the pricer parameters from the discrete unit size, calibration mode on/off, survival to pay/end date, and the discretization scheme
      Parameters:
      iUnitSize - Discretization Unit Size
      calibParams - Optional Calibration Params
      bSurvToPayDate - Survival to Pay Date (True) or Period End Date (false)
      iDiscretizationScheme - Discretization Scheme In Use

  • Method Details

    • Standard

      public static final CreditPricerParams Standard()
      Create the standard Credit pricer parameters object instance
      Returns:
      CreditPricerParams object instance

    • unitSize

      public int unitSize()
      Retrieve the Discretized Loss Unit Size
      Returns:
      The Discretized Loss Unit Size

    • calibParams

      public CalibrationParams calibParams()
      Retrieve the Calibration Parameters Instance
      Returns:
      The Calibration Parameters Instance

    • survivalToPayDate

      public boolean survivalToPayDate()
      Retrieve the flag indicating whether the Survival is to be computed to the Pay Date (TRUE) or not
      Returns:
      TRUE - Survival is to be computed to the Pay Date

    • discretizationScheme

      public int discretizationScheme()
      Retrieve the Discretization Scheme
      Returns:
      The Discretization Scheme