Package org.drip.product.credit

Class CDSComponent.SpreadCalibrator

java.lang.Object

org.drip.product.credit.CDSComponent.SpreadCalibrator

Enclosing class:

CDSComponent

public class CDSComponent.SpreadCalibrator
extends java.lang.Object

Implementation of the CDS spread calibrator

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field	Description
static int	CALIBRATION_TYPE_FLAT_CURVE_NODES	Flat Curve Node Calibration Type
static int	CALIBRATION_TYPE_FLAT_INSTRUMENT_NODE	Flat Instrument Node Calibration Type
static int	CALIBRATION_TYPE_NODE_PARALLEL_BUMP	Parallel Node Calibration Type

Constructor Summary

Constructors

Constructor	Description
SpreadCalibrator(CreditDefaultSwap cds, int iCalibType)	Constructor: Construct the SpreadCalibrator from the CDS parent, and whether the calibration is off of a single node

Method Summary

Modifier and Type	Method	Description
CDSComponent.SpreadCalibOP	calibrateHazardFromPrice(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, double dblPriceCalib)	Calibrate the hazard rate from calibration price

Methods inherited from class java.lang.Object

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

Field Details

CALIBRATION_TYPE_FLAT_INSTRUMENT_NODE

public static final int CALIBRATION_TYPE_FLAT_INSTRUMENT_NODE

Flat Instrument Node Calibration Type

See Also:

Constant Field Values

CALIBRATION_TYPE_FLAT_CURVE_NODES

public static final int CALIBRATION_TYPE_FLAT_CURVE_NODES

Flat Curve Node Calibration Type

See Also:

Constant Field Values

CALIBRATION_TYPE_NODE_PARALLEL_BUMP

public static final int CALIBRATION_TYPE_NODE_PARALLEL_BUMP

Parallel Node Calibration Type

See Also:

Constant Field Values

Constructor Details

SpreadCalibrator

public SpreadCalibrator(CreditDefaultSwap cds,
int iCalibType)
                 throws java.lang.Exception

Constructor: Construct the SpreadCalibrator from the CDS parent, and whether the calibration is off of a single node

Parameters:

cds - CDS parent

iCalibType - Calibration type indicating whether the calibration is PARALLEL, FLAT SINGLE NODE, or FLAT TERM

Throws:

java.lang.Exception - Thrown if inputs are invalid

Method Details

calibrateHazardFromPrice

public CDSComponent.SpreadCalibOP calibrateHazardFromPrice(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblPriceCalib)

Calibrate the hazard rate from calibration price

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

csqs - ComponentMarketParams

vcp - Valuation Customization Parameters

dblPriceCalib - Market price to be calibrated

Returns:

Calibrated hazard