Package org.drip.product.params

Class CreditSetting

java.lang.Object
org.drip.product.params.CreditSetting
All Implemented Interfaces:
Validatable
public class CreditSetting
extends java.lang.Object
implements Validatable
CreditSetting contains the credit related valuation parameters - use default pay lag, use curve or the component recovery, component recovery, credit curve name, and whether there is accrual on default. It exports serialization into and de-serialization out of byte arrays.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CreditSetting​(int iLossPayLag, double dblRecovery, boolean bUseCurveRecovery, java.lang.String strCreditCurveName, boolean bAccrualOnDefault)
    Construct the CreditSetting from the default pay lag, use curve or the component recovery flag, component recovery, credit curve name, and whether there is accrual on default

  • Method Summary

    Modifier and Type Method Description
    boolean accrualOnDefault()
    Retrieve the Accrual On Default Flag
    java.lang.String creditCurveName()
    Retrieve the Credit Curve Name
    int lossPayLag()
    Retrieve the Loss Pay-out Lag
    double recovery()
    Retrieve the Recovery Amount
    boolean useCurveRecovery()
    Flag indicating whether or nor to use the Curve Recovery
    boolean validate()
    Validate the current object state

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CreditSetting

      public CreditSetting​(int iLossPayLag, double dblRecovery, boolean bUseCurveRecovery, java.lang.String strCreditCurveName, boolean bAccrualOnDefault)
      Construct the CreditSetting from the default pay lag, use curve or the component recovery flag, component recovery, credit curve name, and whether there is accrual on default
      Parameters:
      iLossPayLag - Loss Pay Lag
      dblRecovery - Component Recovery
      bUseCurveRecovery - Use the Curve Recovery (True) or Component Recovery (False)
      strCreditCurveName - Credit curve name
      bAccrualOnDefault - Accrual paid on default (True)

  • Method Details

    • validate

      public boolean validate()
      Description copied from interface: Validatable
      Validate the current object state
      Specified by:
      validate in interface Validatable
      Returns:
      Validation successful (true) or failed (false)

    • lossPayLag

      public int lossPayLag()
      Retrieve the Loss Pay-out Lag
      Returns:
      The Loss Pay-out Lag

    • useCurveRecovery

      public boolean useCurveRecovery()
      Flag indicating whether or nor to use the Curve Recovery
      Returns:
      TRUE - Use the Recovery From the Credit Curve

    • creditCurveName

      public java.lang.String creditCurveName()
      Retrieve the Credit Curve Name
      Returns:
      The Credit Curve Name

    • accrualOnDefault

      public boolean accrualOnDefault()
      Retrieve the Accrual On Default Flag
      Returns:
      TRUE - Accrual On Default

    • recovery

      public double recovery()
      Retrieve the Recovery Amount
      Returns:
      The Recovery Amount