Package org.drip.state.boot

Class CreditCurveScenario

java.lang.Object

org.drip.state.boot.CreditCurveScenario

public class CreditCurveScenario
extends java.lang.Object

CreditCurveScenario uses the hazard rate calibration instruments along with the component calibrator to produce scenario hazard rate curves. CreditCurveScenario typically first constructs the actual curve calibrator instance to localize the intelligence around curve construction. It then uses this curve calibrator instance to build individual curves or the sequence of node bumped scenario curves. The curves in the set may be an array, or tenor-keyed. It exposes the following functions:

• Calibrate a credit curve
• Create an array of tenor bumped credit curves
• Create an tenor named map of tenor bumped credit curves

Module	Product Core Module
Library	Fixed Income Analytics
Project	Latent State Inference and Creation Utilities
Package	Bootable Discount, Credit, Volatility States

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CreditCurveScenario()

Method Summary

Modifier and Type	Method	Description
static CreditCurve	Standard(java.lang.String name, ValuationParams valuationParams, CalibratableComponent[] calibratableComponentArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, double recovery, boolean flat, MergedDiscountForwardCurve discountCurve, GovvieCurve govvieCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams, CalibrationParams calibrationParams)	Calibrate a Credit Curve
static CreditCurve[]	Tenor(java.lang.String name, ValuationParams valuationParams, CalibratableComponent[] calibratableComponentArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, double recovery, boolean flat, double bump, MergedDiscountForwardCurve discountCurve, GovvieCurve govvieCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Create an array of tenor bumped credit curves
static CaseInsensitiveTreeMap<CreditCurve>	TenorMap(java.lang.String name, ValuationParams valuationParams, CalibratableComponent[] calibratableComponentArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, double recovery, boolean flat, double bump, MergedDiscountForwardCurve discountCurve, GovvieCurve govvieCurve, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Create an tenor named map of tenor bumped credit curves

Methods inherited from class java.lang.Object

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

Constructor Details

CreditCurveScenario

public CreditCurveScenario()

Method Details

Standard

public static final CreditCurve Standard(java.lang.String name,
ValuationParams valuationParams,
CalibratableComponent[] calibratableComponentArray,
double[] calibrationQuoteArray,
java.lang.String[] calibrationMeasureArray,
double recovery,
boolean flat,
MergedDiscountForwardCurve discountCurve,
GovvieCurve govvieCurve,
LatentStateFixingsContainer latentStateFixingsContainer,
ValuationCustomizationParams valuationCustomizationParams,
CalibrationParams calibrationParams)

Calibrate a Credit Curve

Parameters:

name - Credit Curve name

valuationParams - ValuationParams

calibratableComponentArray - Array of Calibration Instruments

calibrationQuoteArray - Array of component quotes

calibrationMeasureArray - Array of the calibration measures

recovery - Component recovery

flat - Flat Calibration (True), or real bootstrapping (false)

discountCurve - Base Discount Curve

govvieCurve - Govvie Curve

latentStateFixingsContainer - Latent State Fixings Container

valuationCustomizationParams - Valuation Customization Parameters

calibrationParams - The Calibration Parameters

Returns:

CreditCurve Instance

Tenor

public static final CreditCurve[] Tenor(java.lang.String name,
ValuationParams valuationParams,
CalibratableComponent[] calibratableComponentArray,
double[] calibrationQuoteArray,
java.lang.String[] calibrationMeasureArray,
double recovery,
boolean flat,
double bump,
MergedDiscountForwardCurve discountCurve,
GovvieCurve govvieCurve,
LatentStateFixingsContainer latentStateFixingsContainer,
ValuationCustomizationParams valuationCustomizationParams)

Create an array of tenor bumped credit curves

Parameters:

name - Credit Curve name

valuationParams - ValuationParams

calibratableComponentArray - Array of Calibration Instruments

calibrationQuoteArray - Array of component quotes

calibrationMeasureArray - Array of the calibration measures

recovery - Component recovery

flat - Flat Calibration (True), or real bootstrapping (false)

bump - Amount of bump applied to the tenor

discountCurve - Base Discount Curve

govvieCurve - Govvie Curve

latentStateFixingsContainer - Latent State Fixings Container

valuationCustomizationParams - Valuation Customization Parameters

Returns:

Array of CreditCurves

TenorMap

public static final CaseInsensitiveTreeMap<CreditCurve> TenorMap(java.lang.String name,
ValuationParams valuationParams,
CalibratableComponent[] calibratableComponentArray,
double[] calibrationQuoteArray,
java.lang.String[] calibrationMeasureArray,
double recovery,
boolean flat,
double bump,
MergedDiscountForwardCurve discountCurve,
GovvieCurve govvieCurve,
LatentStateFixingsContainer latentStateFixingsContainer,
ValuationCustomizationParams valuationCustomizationParams)

Create an tenor named map of tenor bumped credit curves

Parameters:

name - Credit Curve name

valuationParams - ValuationParams

calibratableComponentArray - Array of Calibration Instruments

calibrationQuoteArray - Array of component quotes

calibrationMeasureArray - Array of the calibration measures

recovery - Component recovery

flat - Flat Calibration (True), or real bootstrapping (false)

bump - Amount of bump applied to the tenor

discountCurve - Base Discount Curve

govvieCurve - Govvie Curve

latentStateFixingsContainer - Latent State Fixings Container

valuationCustomizationParams - Valuation Customization Parameters

Returns:

Tenor named map of tenor bumped credit curves