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. It provides the following Functionality:
  • Implementation of ParCDS Inner Class
    • ParCDS Constructor
    • Retrieve the Fair Premium
    • Retrieve the Fixed Coupon
    • Retrieve the CDS Instance
  • Generate the CDS Horizon Change Attribution
  • Generate the Funding/Credit Curve Horizon Metrics

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[] spotDateArray, int horizonGap, java.lang.String[] fundingFixingMaturityTenorArray, double[][] fundingFixingQuoteGrid, java.lang.String[] fullCreditIndexNameArray, double[] creditIndexQuotedSpreadArray)
    Generate the Funding/Credit Curve Horizon Metrics
    static PositionChangeComponents HorizonChangeAttribution​(DiscountCurve firstDiscountCurve, CreditCurve firstCreditCurve, DiscountCurve secondDiscountCurve, CreditCurve secondCreditCurve, java.lang.String fullCreditIndexName)
    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 firstDiscountCurve, CreditCurve firstCreditCurve, DiscountCurve secondDiscountCurve, CreditCurve secondCreditCurve, java.lang.String fullCreditIndexName)
      Generate the CDS Horizon Change Attribution
      Parameters:
      firstDiscountCurve - The First Discount Curve
      firstCreditCurve - The First Credit Curve
      secondDiscountCurve - The Second Discount Curve
      secondCreditCurve - The Second Credit Curve
      fullCreditIndexName - The Full Credit Index Name
      Returns:
      The CDS Horizon Change Attribution

    • HorizonChangeAttribution

      public static final java.util.List<PositionChangeComponents> HorizonChangeAttribution​(JulianDate[] spotDateArray, int horizonGap, java.lang.String[] fundingFixingMaturityTenorArray, double[][] fundingFixingQuoteGrid, java.lang.String[] fullCreditIndexNameArray, double[] creditIndexQuotedSpreadArray)
      Generate the Funding/Credit Curve Horizon Metrics
      Parameters:
      spotDateArray - Array of Spot
      horizonGap - The Horizon Gap
      fundingFixingMaturityTenorArray - Array of Funding Fixing Maturity Tenors
      fundingFixingQuoteGrid - Double Array of Funding Fixing Swap Rates
      fullCreditIndexNameArray - Array of the Full Credit Index Names
      creditIndexQuotedSpreadArray - Array of the Quoted Spreads
      Returns:
      The Funding/Credit Curve Horizon Metrics