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. It provides the following Functionality:
  • Generate the Daily Metrics for the Specified Inputs
  • Generate the Horizon Metrics for the Specified Inputs

Module Computational Core Module
Library Computation Support
Project Environment, Product/Definition Containers, and Scenario/State Manipulation APIs
Package Curve Based State Metric Generator

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CreditCurveAPI()  

  • Method Summary

    Modifier and Type Method Description
    static CreditCurveMetrics DailyMetrics​(JulianDate spotDate, java.lang.String[] fundingFixingMaturityTenorArray, double[] fundingFixingQuoteArray, java.lang.String fullCreditIndexName, double creditIndexQuotedSpread, java.lang.String[] forTenorArray)
    Generate the Daily Metrics for the Specified Inputs
    static java.util.TreeMap<JulianDate,​CreditCurveMetrics> HorizonMetrics​(JulianDate[] spotDateArray, java.lang.String[] fundingFixingMaturityTenorArray, double[][] fundingFixingQuoteArray, java.lang.String[] fullCreditIndexNameArray, double[] creditIndexQuotedSpreadArray, java.lang.String[] forTenorArray)
    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 spotDate, java.lang.String[] fundingFixingMaturityTenorArray, double[] fundingFixingQuoteArray, java.lang.String fullCreditIndexName, double creditIndexQuotedSpread, java.lang.String[] forTenorArray)
      Generate the Daily Metrics for the Specified Inputs
      Parameters:
      spotDate - The Spot Date
      fundingFixingMaturityTenorArray - Array of the Funding Fixing Curve Calibration Instrument Tenors
      fundingFixingQuoteArray - Array of the Funding Fixing Curve Calibration Instrument Quotes
      fullCreditIndexName - The Full Credit Index Name
      creditIndexQuotedSpread - The Credit Index Quoted Spread
      forTenorArray - Array of the "For" Tenors
      Returns:
      Map of the Dated Credit Curve Metrics

    • HorizonMetrics

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