Class CreditCurveRegressor

java.lang.Object
org.drip.regression.curve.CreditCurveRegressor
All Implemented Interfaces:
RegressorSet

public class CreditCurveRegressor
extends java.lang.Object
implements RegressorSet
CreditCurveRegressor implements the regression set analysis for the Credit Curve. CreditCurveRegressor regresses 12 scenarios:

  • #1: Create an SNAC CDS.
  • #2: Create the credit curve from a set of CDS instruments.
  • #3: Create the credit curve from a flat hazard rate.
  • #4: Create the credit curve from a set of survival probabilities.
  • #5: Create the credit curve from an array of hazard rates.
  • #6: Extract the credit curve instruments and quotes.
  • #7: Create a parallel hazard shifted credit curve.
  • #8: Create a parallel quote shifted credit curve.
  • #9: Create a node tweaked credit curve.
  • #10: Set a specific default date on the credit curve.
  • #11: Compute the effective survival probability between 2 dates.
  • #12: Compute the effective hazard rate between 2 dates.




Author:
Lakshmi Krishnamurthy
  • Constructor Summary

    Constructors
    Constructor Description
    CreditCurveRegressor()
    Do Nothing CreditCurveRegressor constructor.
  • Method Summary

    Modifier and Type Method Description
    java.util.List<UnitRegressor> getRegressorSet()
    Retrieve the list of regressors
    java.lang.String getSetName()
    Retrieve the Regression Set Name
    boolean setupRegressors()
    Set up the list of Regressors in the set

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
  • Constructor Details

    • CreditCurveRegressor

      public CreditCurveRegressor()
      Do Nothing CreditCurveRegressor constructor.
  • Method Details

    • setupRegressors

      public boolean setupRegressors()
      Description copied from interface: RegressorSet
      Set up the list of Regressors in the set
      Specified by:
      setupRegressors in interface RegressorSet
      Returns:
      TRUE if set up is successful
    • getRegressorSet

      public java.util.List<UnitRegressor> getRegressorSet()
      Description copied from interface: RegressorSet
      Retrieve the list of regressors
      Specified by:
      getRegressorSet in interface RegressorSet
      Returns:
      List of regressors
    • getSetName

      public java.lang.String getSetName()
      Description copied from interface: RegressorSet
      Retrieve the Regression Set Name
      Specified by:
      getSetName in interface RegressorSet
      Returns:
      Regression Set Name