Package org.drip.regression.curve
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.
- Module = Computational Core Module
- Library = Computation Support
- Project = Regression Engine Core and the Unit Regressors
- Package = Curve Construction/Reconciliation Regression Engine
- Author:
- Lakshmi Krishnamurthy
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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 regressorsjava.lang.String
getSetName()
Retrieve the Regression Set Nameboolean
setupRegressors()
Set up the list of Regressors in the setMethods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Constructor Details
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CreditCurveRegressor
public CreditCurveRegressor()Do Nothing CreditCurveRegressor constructor.
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Method Details
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setupRegressors
public boolean setupRegressors()Description copied from interface:RegressorSet
Set up the list of Regressors in the set- Specified by:
setupRegressors
in interfaceRegressorSet
- Returns:
- TRUE if set up is successful
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getRegressorSet
Description copied from interface:RegressorSet
Retrieve the list of regressors- Specified by:
getRegressorSet
in interfaceRegressorSet
- Returns:
- List of regressors
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getSetName
public java.lang.String getSetName()Description copied from interface:RegressorSet
Retrieve the Regression Set Name- Specified by:
getSetName
in interfaceRegressorSet
- Returns:
- Regression Set Name
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