Package org.drip.product.credit

Class CDSBasket

java.lang.Object

org.drip.product.definition.BasketProduct

org.drip.product.credit.CDSBasket

All Implemented Interfaces:

BasketMarketParamRef

public class CDSBasket
extends BasketProduct

CDSBasket implements the basket default swap product contract details. It contains effective date, maturity date, coupon, coupon day count, coupon frequency, basket components, basket notional, loss pay lag, and optionally the outstanding notional schedule and the flat basket recovery. It also contains methods to serialize out of and de-serialize into byte arrays.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses
• Package = Credit Products - Components and Baskets

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CDSBasket(Component[] aComp, double[] adblWeight, java.lang.String strName)	Construct a CDS Basket from the components and their weights

Method Summary

Modifier and Type	Method	Description
Component[]	components()	Return the Components in the Basket
int	measureAggregationType(java.lang.String strMeasureName)	Retrieve the Aggregation Type for the specified Measure
java.lang.String	name()	Return the basket name

Methods inherited from class org.drip.product.definition.BasketProduct

coupon, couponCurrency, couponPeriod, creditLabel, customScenarioMeasures, effective, firstCouponDate, forwardLabel, fundingLabel, fxLabel, initialNotional, maturity, measures, measureValue, notional, notional, payCurrency, principalCurrency, value, weights

Methods inherited from class java.lang.Object

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

Constructor Details

CDSBasket

public CDSBasket(Component[] aComp,
double[] adblWeight,
java.lang.String strName)
          throws java.lang.Exception

Construct a CDS Basket from the components and their weights

Parameters:

aComp - Array of components

adblWeight - Weights of the components

strName - Name of the basket

Throws:

java.lang.Exception - Thrown if the inputs are invalid

Method Details

name

public java.lang.String name()

Description copied from class: BasketProduct

Return the basket name

Specified by:

name in interface BasketMarketParamRef

Specified by:

name in class BasketProduct

Returns:

Name of the basket product

components

public Component[] components()

Description copied from class: BasketProduct

Return the Components in the Basket

Specified by:

components in class BasketProduct

Returns:

Components in the Basket

measureAggregationType

public int measureAggregationType(java.lang.String strMeasureName)

Description copied from class: BasketProduct

Retrieve the Aggregation Type for the specified Measure

Specified by:

measureAggregationType in class BasketProduct

Parameters:

strMeasureName - The Specified Measure Name

Returns:

The Aggregation Type