Package org.drip.sample.credit

Class CDSBasketMeasures

java.lang.Object
org.drip.sample.credit.CDSBasketMeasures
public class CDSBasketMeasures
extends java.lang.Object
CDSBasketMeasures contains a demo of the CDS Basket Measures Generation Sample. It shows the following:

  • Build the IR Curve from the Rates' instruments.
  • Build the Component Credit Curve from the CDS instruments.
  • Create the basket market parameters and add the named discount curve and the credit curves to it.
  • Create the CDS basket from the component CDS and their weights.
  • Construct the Valuation and the Pricing Parameters.
  • Generate the CDS basket measures from the valuation, the pricer, and the market parameters.




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CDSBasketMeasures()  

  • Method Summary

    Modifier and Type Method Description
    static void main​(java.lang.String[] astrArgs)
    Entry Point

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CDSBasketMeasures

      public CDSBasketMeasures()

  • Method Details

    • main

      public static final void main​(java.lang.String[] astrArgs) throws java.lang.Exception
      Entry Point
      Parameters:
      astrArgs - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation