Package org.drip.state.creator

Class ScenarioCreditCurveBuilder

java.lang.Object
org.drip.state.creator.ScenarioCreditCurveBuilder
public class ScenarioCreditCurveBuilder
extends java.lang.Object
ScenarioCreditCurveBuilder implements the construction of the custom Scenario based credit curves. It exposes the following Functions:
  • Create CreditScenarioCurve from the array of calibration instruments
  • Calibrate the base credit curve from the input credit instruments, measures, and the quotes
  • Create a CreditCurve instance from a single node hazard rate
  • Create a CreditCurve Instance from the Input Array of Survival Probabilities
  • Create an instance of the CreditCurve object from a solitary hazard rate node
  • Create a credit curve from an array of dates and hazard rates
  • Create a credit curve from hazard rate and recovery rate term structures

Module Product Core Module
Library Fixed Income Analytics
Project Latent State Inference and Creation Utilities
Package Scenario State Curve/Surface Builders
Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ScenarioCreditCurveBuilder()  

  • Method Summary

    Modifier and Type Method Description
    static CreditCurveScenarioContainer CreateCCSC​(CalibratableComponent[] calibratableComponentArray)
    Create CreditScenarioCurve from the array of calibration instruments
    static CreditCurve Custom​(java.lang.String name, JulianDate spotDate, CalibratableComponent[] calibratableComponentArray, MergedDiscountForwardCurve discountCurve, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, double recovery, boolean flat)
    Calibrate the base credit curve from the input credit instruments, measures, and the quotes
    static CreditCurve Custom​(java.lang.String name, JulianDate spotDate, CalibratableComponent[] calibratableComponentArray, MergedDiscountForwardCurve discountCurve, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, double recovery, boolean flat, CalibrationParams calibrationParams)
    Calibrate the base credit curve from the input credit instruments, measures, and the quotes
    static ExplicitBootCreditCurve FlatHazard​(int startDate, java.lang.String name, java.lang.String currency, double hazardRate, double recovery)
    Create a CreditCurve instance from a single node hazard rate
    static ExplicitBootCreditCurve Hazard​(int startDate, java.lang.String name, java.lang.String currency, double[] hazardRateArray, int[] hazardDateArray, double[] recoveryRateArray, int[] recoveryDateArray, int specificDefaultDate)
    Create a credit curve from hazard rate and recovery rate term structures
    static ExplicitBootCreditCurve Hazard​(int startDate, java.lang.String name, java.lang.String currency, double hazardRate, int hazardDate, double recovery)
    Create an instance of the CreditCurve object from a solitary hazard rate node
    static ExplicitBootCreditCurve Hazard​(JulianDate startDate, java.lang.String name, java.lang.String currency, int[] dateArray, double[] hazardRateArray, double recovery)
    Create a credit curve from an array of dates and hazard rates
    static ExplicitBootCreditCurve Survival​(int startDate, java.lang.String name, java.lang.String currency, int[] survivalDateArray, double[] survivalProbabilityArray, double recovery)
    Create a CreditCurve Instance from the Input Array of Survival Probabilities
    static ExplicitBootCreditCurve Survival​(int startDate, java.lang.String name, java.lang.String currency, java.lang.String[] survivalTenorArray, double[] survivalProbabilityArray, double recovery)
    Create a CreditCurve Instance from the Input Array of Survival Probabilities

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ScenarioCreditCurveBuilder

      public ScenarioCreditCurveBuilder()

  • Method Details

    • CreateCCSC

      public static final CreditCurveScenarioContainer CreateCCSC​(CalibratableComponent[] calibratableComponentArray)
      Create CreditScenarioCurve from the array of calibration instruments
      Parameters:
      calibratableComponentArray - Array of calibration instruments
      Returns:
      CreditScenarioCurve object

    • Custom

      public static final CreditCurve Custom​(java.lang.String name, JulianDate spotDate, CalibratableComponent[] calibratableComponentArray, MergedDiscountForwardCurve discountCurve, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, double recovery, boolean flat, CalibrationParams calibrationParams)
      Calibrate the base credit curve from the input credit instruments, measures, and the quotes
      Parameters:
      name - Credit Curve Name
      spotDate - Spot Date
      calibratableComponentArray - Array of calibration instruments
      discountCurve - Discount Curve
      calibrationQuoteArray - Array of Instrument Quotes
      calibrationMeasureArray - Array of calibration Measures
      recovery - Recovery Rate
      flat - Whether the Calibration is based off of a flat spread
      calibrationParams - The Calibration Parameters
      Returns:
      The cooked Credit Curve

    • Custom

      public static final CreditCurve Custom​(java.lang.String name, JulianDate spotDate, CalibratableComponent[] calibratableComponentArray, MergedDiscountForwardCurve discountCurve, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, double recovery, boolean flat)
      Calibrate the base credit curve from the input credit instruments, measures, and the quotes
      Parameters:
      name - Credit Curve Name
      spotDate - Spot Date
      calibratableComponentArray - Array of calibration instruments
      discountCurve - Discount Curve
      calibrationQuoteArray - Array of Instrument Quotes
      calibrationMeasureArray - Array of calibration Measures
      recovery - Recovery Rate
      flat - Whether the Calibration is based off of a flat spread
      Returns:
      The cooked Credit Curve

    • FlatHazard

      public static final ExplicitBootCreditCurve FlatHazard​(int startDate, java.lang.String name, java.lang.String currency, double hazardRate, double recovery)
      Create a CreditCurve instance from a single node hazard rate
      Parameters:
      startDate - Curve epoch date
      name - Credit Curve Name
      currency - Currency
      hazardRate - Curve hazard rate
      recovery - Curve recovery
      Returns:
      CreditCurve instance

    • Survival

      public static final ExplicitBootCreditCurve Survival​(int startDate, java.lang.String name, java.lang.String currency, int[] survivalDateArray, double[] survivalProbabilityArray, double recovery)
      Create a CreditCurve Instance from the Input Array of Survival Probabilities
      Parameters:
      startDate - Curve epoch date
      name - Credit Curve Name
      currency - Currency
      survivalDateArray - Array of Dates
      survivalProbabilityArray - Array of Survival Probabilities
      recovery - Curve recovery
      Returns:
      The CreditCurve Instance

    • Survival

      public static final ExplicitBootCreditCurve Survival​(int startDate, java.lang.String name, java.lang.String currency, java.lang.String[] survivalTenorArray, double[] survivalProbabilityArray, double recovery)
      Create a CreditCurve Instance from the Input Array of Survival Probabilities
      Parameters:
      startDate - Curve epoch date
      name - Credit Curve Name
      currency - Currency
      survivalTenorArray - Array of Survival Tenors
      survivalProbabilityArray - Array of Survival Probabilities
      recovery - Curve recovery
      Returns:
      The CreditCurve Instance

    • Hazard

      public static final ExplicitBootCreditCurve Hazard​(int startDate, java.lang.String name, java.lang.String currency, double hazardRate, int hazardDate, double recovery)
      Create an instance of the CreditCurve object from a solitary hazard rate node
      Parameters:
      startDate - Curve epoch date
      name - Credit Curve Name
      currency - Currency
      hazardRate - The solo hazard rate
      hazardDate - Date
      recovery - Curve recovery
      Returns:
      CreditCurve instance

    • Hazard

      public static final ExplicitBootCreditCurve Hazard​(JulianDate startDate, java.lang.String name, java.lang.String currency, int[] dateArray, double[] hazardRateArray, double recovery)
      Create a credit curve from an array of dates and hazard rates
      Parameters:
      startDate - Curve epoch date
      name - Credit Curve Name
      currency - Currency
      dateArray - Array of dates
      hazardRateArray - Array of hazard rates
      recovery - Curve recovery
      Returns:
      CreditCurve instance

    • Hazard

      public static final ExplicitBootCreditCurve Hazard​(int startDate, java.lang.String name, java.lang.String currency, double[] hazardRateArray, int[] hazardDateArray, double[] recoveryRateArray, int[] recoveryDateArray, int specificDefaultDate)
      Create a credit curve from hazard rate and recovery rate term structures
      Parameters:
      startDate - Curve epoch date
      name - Credit Curve Name
      currency - Currency
      hazardRateArray - Array of hazard rates
      hazardDateArray - Matched array of hazard dates
      recoveryRateArray - Matched array of recovery rates
      recoveryDateArray - Matched array of recovery dates
      specificDefaultDate - (Optional) Specific Default Date
      Returns:
      CreditCurve instance