Package org.drip.service.product

Class CreditIndexAPI

java.lang.Object

org.drip.service.product.CreditIndexAPI

public class CreditIndexAPI
extends java.lang.Object

CreditIndexAPI contains the Functionality associated with the Horizon Analysis of the CDS Index.

• Module = Computational Core Module
• Library = Computation Support
• Project = Environment, Product/Definition Containers, and Scenario/State Manipulation APIs
• Package = Product Horizon PnL Attribution Decomposition

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CreditIndexAPI()

Method Summary

Modifier and Type	Method	Description
static java.util.List<PositionChangeComponents>	HorizonChangeAttribution(JulianDate[] adtSpot, int iHorizonGap, java.lang.String[] astrFundingFixingMaturityTenor, double[][] aadblFundingFixingQuote, java.lang.String[] astrFullCreditIndexName, double[] adblCreditIndexQuotedSpread)	Generate the Funding/Credit Curve Horizon Metrics
static PositionChangeComponents	HorizonChangeAttribution(DiscountCurve dcFirst, CreditCurve ccFirst, DiscountCurve dcSecond, CreditCurve ccSecond, java.lang.String strFullCreditIndexName)	Generate the CDS Horizon Change Attribution

Methods inherited from class java.lang.Object

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

Constructor Details

CreditIndexAPI

public CreditIndexAPI()

Method Details

HorizonChangeAttribution

public static final PositionChangeComponents HorizonChangeAttribution(DiscountCurve dcFirst,
CreditCurve ccFirst,
DiscountCurve dcSecond,
CreditCurve ccSecond,
java.lang.String strFullCreditIndexName)

Generate the CDS Horizon Change Attribution

Parameters:

dcFirst - The First Discount Curve

ccFirst - The First Credit Curve

dcSecond - The Second Discount Curve

ccSecond - The Second Credit Curve

strFullCreditIndexName - The Full Credit Index Name

Returns:

The CDS Horizon Change Attribution

HorizonChangeAttribution

public static final java.util.List<PositionChangeComponents> HorizonChangeAttribution(JulianDate[] adtSpot,
int iHorizonGap,
java.lang.String[] astrFundingFixingMaturityTenor,
double[][] aadblFundingFixingQuote,
java.lang.String[] astrFullCreditIndexName,
double[] adblCreditIndexQuotedSpread)

Generate the Funding/Credit Curve Horizon Metrics

Parameters:

adtSpot - Array of Spot

iHorizonGap - The Horizon Gap

astrFundingFixingMaturityTenor - Array of Funding Fixing Maturity Tenors

aadblFundingFixingQuote - Double Array of Funding Fixing Swap Rates

astrFullCreditIndexName - Array of the Full Credit Index Names

adblCreditIndexQuotedSpread - Array of the Quoted Spreads

Returns:

The Funding/Credit Curve Horizon Metrics