Package org.drip.product.creator

Class CDSBasketBuilder

java.lang.Object
org.drip.product.creator.CDSBasketBuilder
public class CDSBasketBuilder
extends java.lang.Object
CDSBasketBuilder contains the suite of helper functions for creating the CDS Basket Product from different kinds of inputs and byte streams.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CDSBasketBuilder()  

  • Method Summary

    Modifier and Type Method Description
    static BasketProduct MakeBasketDefaultSwap​(Component[] aComp)
    Create the basket default swap from an array of the credit components.
    static BasketProduct MakeCDX​(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon, java.lang.String strIR, java.lang.String[] astrCC, double[] adblWeight, java.lang.String strName)
    Create the named CDX from effective, maturity, coupon, IR curve name, credit curve name set, and their weights.
    static BasketProduct MakeCDX​(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon, java.lang.String strIR, java.lang.String[] astrCC, java.lang.String strName)
    Create the named CDX from effective, maturity, coupon, IR curve name, credit curve name set.

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CDSBasketBuilder

      public CDSBasketBuilder()

  • Method Details

    • MakeCDX

      public static final BasketProduct MakeCDX​(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon, java.lang.String strIR, java.lang.String[] astrCC, double[] adblWeight, java.lang.String strName)
      Create the named CDX from effective, maturity, coupon, IR curve name, credit curve name set, and their weights.
      Parameters:
      dtEffective - JulianDate Effective
      dtMaturity - JulianDate Maturity
      dblCoupon - Coupon
      strIR - IR curve name
      astrCC - credit curve name
      adblWeight - Credit Component Weights
      strName - CDX name
      Returns:
      BasketDefaultSwap

    • MakeCDX

      public static final BasketProduct MakeCDX​(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon, java.lang.String strIR, java.lang.String[] astrCC, java.lang.String strName)
      Create the named CDX from effective, maturity, coupon, IR curve name, credit curve name set.
      Parameters:
      dtEffective - JulianDate Effective
      dtMaturity - JulianDate Maturity
      dblCoupon - Coupon
      strIR - IR curve name
      astrCC - credit curve name
      strName - CDX name
      Returns:
      BasketDefaultSwap

    • MakeBasketDefaultSwap

      public static final BasketProduct MakeBasketDefaultSwap​(Component[] aComp)
      Create the basket default swap from an array of the credit components.
      Parameters:
      aComp - Array of the credit components
      Returns:
      BasketDefaultSwap object