Package org.drip.product.creator

Class CDSBuilder

java.lang.Object
org.drip.product.creator.CDSBuilder
public class CDSBuilder
extends java.lang.Object
CDSBuilder contains the suite of helper functions for creating the CreditDefaultSwap product from the parameters/byte array streams. It also creates the standard EU, NA, ASIA contracts, CDS with amortization schedules, and custom CDS from product codes/tenors.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CDSBuilder()  

  • Method Summary

    Modifier and Type Method Description
    static CreditDefaultSwap CreateCDS​(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCurrency, java.lang.String strCredit, java.lang.String strCalendar)
    Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and credit curve.
    static CreditDefaultSwap CreateCDS​(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCurrency, CreditSetting cs, java.lang.String strCalendar)
    Create the credit default swap from the effective date, tenor, coupon, IR curve name, and component credit valuation parameters.
    static CreditDefaultSwap CreateCDS​(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon, java.lang.String strCurrency, double dblRecovery, java.lang.String strCredit, java.lang.String strCalendar, boolean bAdjustDates)
    Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and credit curve.
    static CreditDefaultSwap CreateCDS​(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon, java.lang.String strCurrency, CreditSetting cs, java.lang.String strCalendar, boolean bAdjustDates)
    Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and component credit valuation parameters.
    static CreditDefaultSwap CreateSAPC​(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCredit)
    Create an Standard Asia Pacific CDS contract with full first stub
    static CreditDefaultSwap CreateSNAC​(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCredit)
    Create an SNAC style CDS contract with full first stub
    static CreditDefaultSwap CreateSNAC​(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCurrency, java.lang.String strCredit, java.lang.String strCalendar)
    Create an SNAC style CDS contract with full first stub
    static CreditDefaultSwap CreateSTEM​(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCredit, java.lang.String strLocation)
    Create an Standard Emerging Market CDS contract with full first stub
    static CreditDefaultSwap CreateSTEU​(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCredit)
    Create an Standard EU CDS contract with full first stub

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CDSBuilder

      public CDSBuilder()

  • Method Details

    • CreateCDS

      public static final CreditDefaultSwap CreateCDS​(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon, java.lang.String strCurrency, CreditSetting cs, java.lang.String strCalendar, boolean bAdjustDates)
      Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and component credit valuation parameters.
      Parameters:
      dtEffective - JulianDate effective
      dtMaturity - JulianDate maturity
      dblCoupon - Coupon
      strCurrency - Currency
      cs - Credit Setting Parameters
      strCalendar - Optional Holiday Calendar for Accrual calculation
      bAdjustDates - Roll using the FWD mode for the period end dates and the pay dates
      Returns:
      CreditDefaultSwap product

    • CreateCDS

      public static final CreditDefaultSwap CreateCDS​(JulianDate dtEffective, JulianDate dtMaturity, double dblCoupon, java.lang.String strCurrency, double dblRecovery, java.lang.String strCredit, java.lang.String strCalendar, boolean bAdjustDates)
      Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and credit curve.
      Parameters:
      dtEffective - JulianDate effective
      dtMaturity - JulianDate maturity
      dblCoupon - Coupon
      strCurrency - Currency
      dblRecovery - Recovery Rate
      strCredit - Credit curve name
      strCalendar - Optional Holiday Calendar for Accrual calculation
      bAdjustDates - Roll using the FWD mode for the period end dates and the pay dates
      Returns:
      CreditDefaultSwap product

    • CreateCDS

      public static final CreditDefaultSwap CreateCDS​(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCurrency, CreditSetting cs, java.lang.String strCalendar)
      Create the credit default swap from the effective date, tenor, coupon, IR curve name, and component credit valuation parameters.
      Parameters:
      dtEffective - JulianDate effective
      strTenor - String tenor
      dblCoupon - Coupon
      strCurrency - Currency
      cs - Credit Setting Parameters
      strCalendar - Optional Holiday Calendar for Accrual calculation
      Returns:
      CreditDefaultSwap product

    • CreateCDS

      public static final CreditDefaultSwap CreateCDS​(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCurrency, java.lang.String strCredit, java.lang.String strCalendar)
      Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and credit curve.
      Parameters:
      dtEffective - JulianDate effective
      strTenor - String tenor
      dblCoupon - Coupon
      strCurrency - Currency
      strCredit - Credit curve name
      strCalendar - Optional Holiday Calendar for accrual calculation
      Returns:
      CreditDefaultSwap product

    • CreateSNAC

      public static final CreditDefaultSwap CreateSNAC​(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCurrency, java.lang.String strCredit, java.lang.String strCalendar)
      Create an SNAC style CDS contract with full first stub
      Parameters:
      dtEffective - CDS Effective date
      strTenor - CDS Tenor
      dblCoupon - SNAC strike coupon
      strCurrency - Currency
      strCredit - Credit Curve name
      strCalendar - Holiday Calendar
      Returns:
      CDS instance object

    • CreateSNAC

      public static final CreditDefaultSwap CreateSNAC​(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCredit)
      Create an SNAC style CDS contract with full first stub
      Parameters:
      dtEffective - CDS Effective date
      strTenor - CDS Tenor
      dblCoupon - SNAC strike coupon
      strCredit - Credit Curve name
      Returns:
      CDS instance object

    • CreateSTEU

      public static final CreditDefaultSwap CreateSTEU​(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCredit)
      Create an Standard EU CDS contract with full first stub
      Parameters:
      dtEffective - CDS Effective date
      strTenor - CDS Tenor
      dblCoupon - Strike coupon
      strCredit - Credit Curve name
      Returns:
      CDS instance object

    • CreateSAPC

      public static final CreditDefaultSwap CreateSAPC​(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCredit)
      Create an Standard Asia Pacific CDS contract with full first stub
      Parameters:
      dtEffective - CDS Effective date
      strTenor - CDS Tenor
      dblCoupon - Strike coupon
      strCredit - Credit Curve name
      Returns:
      CDS instance object

    • CreateSTEM

      public static final CreditDefaultSwap CreateSTEM​(JulianDate dtEffective, java.lang.String strTenor, double dblCoupon, java.lang.String strCredit, java.lang.String strLocation)
      Create an Standard Emerging Market CDS contract with full first stub
      Parameters:
      dtEffective - CDS Effective date
      strTenor - CDS Tenor
      dblCoupon - Strike coupon
      strCredit - Credit Curve name
      strLocation - Location
      Returns:
      CDS instance object