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

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