Package org.drip.service.env

Class StandardCDXManager

java.lang.Object
org.drip.service.env.StandardCDXManager
public class StandardCDXManager
extends java.lang.Object
StandardCDXManager implements the creation and the static details of the all the NA, EU, SovX, EMEA, and ASIA standardized CDS indices. It exposes the following functionality:

  • Retrieve the full set of pre-set/pre-loaded CDX names/descriptions.
  • Retrieve all the CDX's given an index name.
  • Get the index, index series, and the effective/maturity dates for a given CDX.
  • Get all the on-the-runs for an index, date, and tenor.
  • Retrieve the full basket product corresponding to NA/EU/ASIA IG/HY/EM and other available standard CDX.
  • Build a custom CDX product.




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    StandardCDXManager()  

  • Method Summary

    Modifier and Type Method Description
    static CaseInsensitiveTreeMap<java.lang.String> GetCDXDescriptions()
    Retrieve the name/description map for all the CDS indices
    static java.util.Set<java.lang.String> GetCDXNames()
    Retrieve the comprehensive set of pre-set and pre-loaded CDX index names
    static java.util.Map<JulianDate,​java.lang.Integer> GetCDXSeriesMap​(java.lang.String strCDXName)
    Return the full set of CDX series/first coupon date pairs for the given CDX
    static BasketProduct GetOnTheRun​(java.lang.String strIndex, JulianDate dt, java.lang.String strTenor)
    Retrieve the on-the-run for the index and tenor corresponding to the specified date
    static CaseInsensitiveTreeMap<java.lang.String> GetPreLoadedCDXDescriptions()
    Retrieve the name/description map for all the pre-loaded CDS indices
    static java.util.Map<JulianDate,​java.lang.Integer> GetPreLoadedCDXSeriesMap​(java.lang.String strCDXName)
    Return the full set of pre-loaded CDX series/first coupon date pairs for the given CDX
    static java.util.Set<java.lang.String> GetPreLoadedIndexNames()
    Retrieve a set of all the pre-loaded CDX index names
    static CaseInsensitiveTreeMap<java.lang.String> GetPresetCDXDescriptions()
    Retrieve the name/description map for all the pre-set CDS indices
    static java.util.Map<JulianDate,​java.lang.Integer> GetPresetCDXSeriesMap​(java.lang.String strCDXName)
    Return the full set of pre-set CDX series/first coupon date pairs for the given CDX
    static java.util.Set<java.lang.String> GetPresetIndexNames()
    Retrieve a set of all the pre-set CDX index names
    static boolean InitStandardCDXSeries()
    Initialize the Standard CDX Series
    static void main​(java.lang.String[] astrArgs)
    Entry Point
    static BasketProduct MakeStandardCDX​(java.lang.String strIndex, int iSeries, java.lang.String strTenor)
    Create a standard CDX from the index code, the index series, and the tenor.

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • StandardCDXManager

      public StandardCDXManager()

  • Method Details

    • InitStandardCDXSeries

      public static final boolean InitStandardCDXSeries()
      Initialize the Standard CDX Series
      Returns:
      TRUE - Initialization Succeeded

    • MakeStandardCDX

      public static final BasketProduct MakeStandardCDX​(java.lang.String strIndex, int iSeries, java.lang.String strTenor)
      Create a standard CDX from the index code, the index series, and the tenor.
      Parameters:
      strIndex - The Index Code (CDX.NA.IG, CDX.NA.HY, etc)
      iSeries - Index Series Number
      strTenor - The specific tenor - typical common ones are 3Y, 5Y, 7Y, and 10Y
      Returns:
      The CDX Basket Product

    • GetOnTheRun

      public static final BasketProduct GetOnTheRun​(java.lang.String strIndex, JulianDate dt, java.lang.String strTenor)
      Retrieve the on-the-run for the index and tenor corresponding to the specified date
      Parameters:
      strIndex - CDX/ITRAXX index
      dt - Specified date
      strTenor - Tenor
      Returns:
      CDX/ITRAXX Basket Product

    • GetPresetIndexNames

      public static final java.util.Set<java.lang.String> GetPresetIndexNames()
      Retrieve a set of all the pre-set CDX index names
      Returns:
      Set of the pre-set CDX index names

    • GetPreLoadedIndexNames

      public static final java.util.Set<java.lang.String> GetPreLoadedIndexNames()
      Retrieve a set of all the pre-loaded CDX index names
      Returns:
      Set of the pre-loaded CDX index names

    • GetCDXNames

      public static final java.util.Set<java.lang.String> GetCDXNames()
      Retrieve the comprehensive set of pre-set and pre-loaded CDX index names
      Returns:
      Set of the pre-set and the pre-loaded CDX index names

    • GetPresetCDXSeriesMap

      public static final java.util.Map<JulianDate,​java.lang.Integer> GetPresetCDXSeriesMap​(java.lang.String strCDXName)
      Return the full set of pre-set CDX series/first coupon date pairs for the given CDX
      Parameters:
      strCDXName - CDX Name
      Returns:
      Map of the CDX series/first coupon dates

    • GetPreLoadedCDXSeriesMap

      public static final java.util.Map<JulianDate,​java.lang.Integer> GetPreLoadedCDXSeriesMap​(java.lang.String strCDXName)
      Return the full set of pre-loaded CDX series/first coupon date pairs for the given CDX
      Parameters:
      strCDXName - CDX Name
      Returns:
      Map of the CDX series/first coupon dates

    • GetCDXSeriesMap

      public static final java.util.Map<JulianDate,​java.lang.Integer> GetCDXSeriesMap​(java.lang.String strCDXName)
      Return the full set of CDX series/first coupon date pairs for the given CDX
      Parameters:
      strCDXName - CDX Name
      Returns:
      Map of the CDX series/first coupon dates

    • GetPresetCDXDescriptions

      public static final CaseInsensitiveTreeMap<java.lang.String> GetPresetCDXDescriptions()
      Retrieve the name/description map for all the pre-set CDS indices
      Returns:
      Name/description map for all the pre-set CDS indices

    • GetPreLoadedCDXDescriptions

      public static final CaseInsensitiveTreeMap<java.lang.String> GetPreLoadedCDXDescriptions()
      Retrieve the name/description map for all the pre-loaded CDS indices
      Returns:
      Name/description map for all the pre-loaded CDS indices

    • GetCDXDescriptions

      public static final CaseInsensitiveTreeMap<java.lang.String> GetCDXDescriptions()
      Retrieve the name/description map for all the CDS indices
      Returns:
      Name/description map for all the CDS indices

    • main

      public static final void main​(java.lang.String[] astrArgs) throws java.lang.Exception
      Entry Point
      Parameters:
      astrArgs - Argument Array
      Throws:
      java.lang.Exception - Propagate Exception Encountered