Package org.drip.service.state

Class CreditCurveAPI

java.lang.Object
org.drip.service.state.CreditCurveAPI
public class CreditCurveAPI
extends java.lang.Object
CreditCurveAPI computes the Metrics associated the Credit Curve State.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CreditCurveAPI()  

  • Method Summary

    Modifier and Type Method Description
    static CreditCurveMetrics DailyMetrics​(JulianDate dtSpot, java.lang.String[] astrFundingFixingMaturityTenor, double[] adblFundingFixingQuote, java.lang.String strFullCreditIndexName, double dblCreditIndexQuotedSpread, java.lang.String[] astrForTenor)
    Generate the Horizon Metrics for the Specified Inputs
    static java.util.TreeMap<JulianDate,​CreditCurveMetrics> HorizonMetrics​(JulianDate[] adtSpot, java.lang.String[] astrFundingFixingMaturityTenor, double[][] aadblFundingFixingQuote, java.lang.String[] astrFullCreditIndexName, double[] adblCreditIndexQuotedSpread, java.lang.String[] astrForTenor)
    Generate the Horizon Metrics for the Specified Inputs

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CreditCurveAPI

      public CreditCurveAPI()

  • Method Details

    • DailyMetrics

      public static final CreditCurveMetrics DailyMetrics​(JulianDate dtSpot, java.lang.String[] astrFundingFixingMaturityTenor, double[] adblFundingFixingQuote, java.lang.String strFullCreditIndexName, double dblCreditIndexQuotedSpread, java.lang.String[] astrForTenor)
      Generate the Horizon Metrics for the Specified Inputs
      Parameters:
      dtSpot - The Spot Date
      astrFundingFixingMaturityTenor - Array of the Funding Fixing Curve Calibration Instrument Tenors
      adblFundingFixingQuote - Array of the Funding Fixing Curve Calibration Instrument Quotes
      strFullCreditIndexName - The Full Credit Index Name
      dblCreditIndexQuotedSpread - The Credit Index Quoted Spread
      astrForTenor - Array of the "For" Tenors
      Returns:
      Map of the Dated Credit Curve Metrics

    • HorizonMetrics

      public static final java.util.TreeMap<JulianDate,​CreditCurveMetrics> HorizonMetrics​(JulianDate[] adtSpot, java.lang.String[] astrFundingFixingMaturityTenor, double[][] aadblFundingFixingQuote, java.lang.String[] astrFullCreditIndexName, double[] adblCreditIndexQuotedSpread, java.lang.String[] astrForTenor)
      Generate the Horizon Metrics for the Specified Inputs
      Parameters:
      adtSpot - Array of Horizon Dates
      astrFundingFixingMaturityTenor - Array of the Funding Fixing Curve Calibration Instrument Tenors
      aadblFundingFixingQuote - Array of the Funding Fixing Curve Calibration Instrument Quotes
      astrFullCreditIndexName - Array of the Full Credit Index Names
      adblCreditIndexQuotedSpread - Array of the Credit Index Quoted Spreads
      astrForTenor - Array of the "For" Tenors
      Returns:
      Map of the Dated Credit Curve Metrics