Package org.drip.product.definition

Class CreditDefaultSwap

java.lang.Object

org.drip.product.definition.Component

org.drip.product.definition.CalibratableComponent

org.drip.product.definition.CreditComponent

org.drip.product.definition.CreditDefaultSwap

All Implemented Interfaces:

ComponentMarketParamRef

Direct Known Subclasses:

CDSComponent

public abstract class CreditDefaultSwap
extends CreditComponent

CreditDefaultSwap is the base abstract class implements the pricing, the valuation, and the RV analytics functionality for the CDS product. Targeted functions calibrate the flat spread and reset coupon (for calibration purposes).

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

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CreditDefaultSwap()

Method Summary

Modifier and Type	Method	Description
abstract double	calibFlatSpread(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp)	Calibrate the CDS's flat spread from the calculated up-front points
abstract double	resetCoupon(double dblCoupon)	Reset the CDS's coupon
abstract CaseInsensitiveTreeMap<java.lang.Double>	valueFromQuotedSpread(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams vcp, double dblFixCoupon, double dblQuotedSpread)	Value the CDS from the Quoted Spread

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

creditValuationParams, lossFlow, lossFlow, recovery, recovery

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

calibMeasures, calibPRWC, calibQuoteSet, forwardPRWC, fundingForwardPRWC, fundingPRWC, fxPRWC, govviePRWC, jackDDirtyPVDManifestMeasure, manifestMeasureDFMicroJack, primaryCode, secondaryCode, setPrimaryCode, volatilityPRWC

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

cashSettleParams, couponMetrics, couponPeriods, customScenarioMeasures, effectiveDate, firstCouponDate, freq, initialNotional, maturityDate, maturityPayDate, measureNames, measures, measureValue, notional, notional, pv, tenor, value

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.drip.product.definition.ComponentMarketParamRef

couponCurrency, creditLabel, forwardLabel, fundingLabel, fxLabel, govvieLabel, name, otcFixFloatLabel, payCurrency, principalCurrency, volatilityLabel

Constructor Details

CreditDefaultSwap

public CreditDefaultSwap()

Method Details

resetCoupon

public abstract double resetCoupon(double dblCoupon)
                            throws java.lang.Exception

Reset the CDS's coupon

Parameters:

dblCoupon - The new Coupon

Returns:

The old Coupon

Throws:

java.lang.Exception - Thrown if the coupon cannot be reset

calibFlatSpread

public abstract double calibFlatSpread(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp)
                                throws java.lang.Exception

Calibrate the CDS's flat spread from the calculated up-front points

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

csqs - ComponentMarketParams

vcp - Valuation Customization Parameters

Returns:

Calibrated flat spread

Throws:

java.lang.Exception - Thrown if cannot calibrate

valueFromQuotedSpread

public abstract CaseInsensitiveTreeMap<java.lang.Double> valueFromQuotedSpread(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams vcp,
double dblFixCoupon,
double dblQuotedSpread)

Value the CDS from the Quoted Spread

Parameters:

valParams - ValuationParams

pricerParams - PricerParams

csqs - ComponentMarketParams

vcp - Valuation Customization Parameters

dblFixCoupon - Fix Coupon

dblQuotedSpread - Quoted Spread

Returns:

The Value Map