Package org.drip.state.credit

Class CreditCurve

java.lang.Object

org.drip.state.credit.CreditCurve

All Implemented Interfaces:

Curve, LatentState

Direct Known Subclasses:

ExplicitBootCreditCurve

public abstract class CreditCurve
extends java.lang.Object
implements Curve

CreditCurve is the stub for the survival curve functionality. It extends the Curve object by exposing the following functions:

• Set of curve and market identifiers
• Recovery to a specific date/tenor, and effective recovery between a date interval
• Hazard Rate to a specific date/tenor, and effective hazard rate between a date interval
• Survival to a specific date/tenor, and effective survival between a date interval
• Set/unset date of specific default
• Generate scenario curves from the base credit curve (flat/parallel/custom)
• Set/unset the Curve Construction Inputs, Latent State, and the Manifest Metrics
• Serialization/De-serialization to and from Byte Arrays
• Set the Specific Default Date
• Remove the Specific Default Date
• Calculate the survival to the given date
• Calculate the survival to the given tenor
• Calculate the time-weighted survival between a pair of 2 dates
• Calculate the time-weighted survival between a pair of 2 tenors
• Calculate the recovery rate to the given date
• Calculate the recovery rate to the given tenor
• Calculate the time-weighted recovery between a pair of dates
• Calculate the time-weighted recovery between a pair of tenors
• Calculate the hazard rate between a pair of forward dates
• Calculate the hazard rate to the given date
• Calculate the hazard rate to the given tenor
• Create a flat hazard curve from the inputs

Module	Product Core Module
Library	Fixed Income Analytics
Project	Latent State Inference and Creation Utilities
Package	Credit Latent State Curve Representation

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
CalibratableComponent[]	calibComp()	Retrieve the Calibration Components
java.lang.String	currency()	Get the Currency
double	effectiveRecovery(int date1, int date2)	Calculate the time-weighted recovery between a pair of dates
double	effectiveRecovery(java.lang.String tenor1, java.lang.String tenor2)	Calculate the time-weighted recovery between a pair of tenors
double	effectiveRecovery(JulianDate date1, JulianDate date2)	Calculate the time-weighted recovery between a pair of dates
double	effectiveSurvival(int date1, int date2)	Calculate the time-weighted survival between a pair of 2 dates
double	effectiveSurvival(java.lang.String tenor1, java.lang.String tenor2)	Calculate the time-weighted survival between a pair of 2 tenors
double	effectiveSurvival(JulianDate date1, JulianDate date2)	Calculate the time-weighted survival between a pair of 2 dates
JulianDate	epoch()	Get the Epoch Date
abstract CreditCurve	flatCurve(double flatNodeValue, boolean singleNode, double recovery)	Create a flat hazard curve from the inputs
double	hazard(java.lang.String tenor)	Calculate the hazard rate to the given tenor
double	hazard(JulianDate date)	Calculate the hazard rate to the given date
double	hazard(JulianDate date1, JulianDate date2)	Calculate the hazard rate between a pair of forward dates
LatentStateLabel	label()	Get the Curve Latent State Identifier Label
CaseInsensitiveTreeMap<java.lang.Double>	manifestMeasure(java.lang.String instrument)	Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve
abstract double	recovery(int date)	Calculate the recovery rate to the given date
double	recovery(java.lang.String tenor)	Calculate the recovery rate to the given tenor
double	recovery(JulianDate date)	Calculate the recovery rate to the given date
boolean	setCCIS(CurveConstructionInputSet curveConstructionInputSet)	Set the Curve Construction Input Set Parameters
void	setInstrCalibInputs(ValuationParams valuationParams, boolean flat, MergedDiscountForwardCurve discountCurve, GovvieCurve govvieCurve, CreditPricerParams creditPricerParams, CalibratableComponent[] calibratableComponentArray, double[] calibrationQuoteArray, java.lang.String[] calibrationMeasureArray, LatentStateFixingsContainer latentStateFixingsContainer, ValuationCustomizationParams valuationCustomizationParams)	Set the calibration inputs for the CreditCurve
boolean	setSpecificDefault(int specificDefaultDate)	Set the Specific Default Date
abstract double	survival(int date)	Calculate the survival to the given date
double	survival(java.lang.String tenor)	Calculate the survival to the given tenor
double	survival(JulianDate dt)	Calculate the survival to the given date
boolean	unsetSpecificDefault()	Remove the Specific Default Date

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.drip.state.representation.LatentState

customTweakManifestMeasure, customTweakQuantificationMetric, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, shiftManifestMeasure

Method Details

label

public LatentStateLabel label()

Description copied from interface: Curve

Get the Curve Latent State Identifier Label

Specified by:

label in interface Curve

Returns:

The Curve Latent State Identifier Label

currency

public java.lang.String currency()

Description copied from interface: Curve

Get the Currency

Specified by:

currency in interface Curve

Returns:

Currency

epoch

public JulianDate epoch()

Description copied from interface: Curve

Get the Epoch Date

Specified by:

epoch in interface Curve

Returns:

The Epoch Date

setSpecificDefault

public boolean setSpecificDefault(int specificDefaultDate)

Set the Specific Default Date

Parameters:

specificDefaultDate - Date of Specific Default

Returns:

TRUE if successful

unsetSpecificDefault

public boolean unsetSpecificDefault()

Remove the Specific Default Date

Returns:

TRUE if successful

survival

public abstract double survival(int date)
                         throws java.lang.Exception

Calculate the survival to the given date

Parameters:

date - Date

Returns:

Survival Probability

Throws:

java.lang.Exception - Thrown if the survival probability cannot be calculated

survival

public double survival(JulianDate dt)
                throws java.lang.Exception

Calculate the survival to the given date

Parameters:

dt - Date

Returns:

Survival Probability

Throws:

java.lang.Exception - Thrown if the survival probability cannot be calculated

survival

public double survival(java.lang.String tenor)
                throws java.lang.Exception

Calculate the survival to the given tenor

Parameters:

tenor - Tenor

Returns:

Survival Probability

Throws:

java.lang.Exception - Thrown if the survival probability cannot be calculated

effectiveSurvival

public double effectiveSurvival(int date1,
int date2)
                         throws java.lang.Exception

Calculate the time-weighted survival between a pair of 2 dates

Parameters:

date1 - First Date

date2 - Second Date

Returns:

Survival Probability

Throws:

java.lang.Exception - Thrown if the survival probability cannot be calculated

effectiveSurvival

public double effectiveSurvival(JulianDate date1,
JulianDate date2)
                         throws java.lang.Exception

Calculate the time-weighted survival between a pair of 2 dates

Parameters:

date1 - First Date

date2 - Second Date

Returns:

Survival Probability

Throws:

java.lang.Exception - Thrown if the survival probability cannot be calculated

effectiveSurvival

public double effectiveSurvival(java.lang.String tenor1,
java.lang.String tenor2)
                         throws java.lang.Exception

Calculate the time-weighted survival between a pair of 2 tenors

Parameters:

tenor1 - First tenor

tenor2 - Second tenor

Returns:

Survival Probability

Throws:

java.lang.Exception - Thrown if the survival probability cannot be calculated

recovery

public abstract double recovery(int date)
                         throws java.lang.Exception

Calculate the recovery rate to the given date

Parameters:

date - Date

Returns:

Recovery Rate

Throws:

java.lang.Exception - Thrown if the Recovery rate cannot be calculated

recovery

public double recovery(JulianDate date)
                throws java.lang.Exception

Calculate the recovery rate to the given date

Parameters:

date - Date

Returns:

Recovery Rate

Throws:

java.lang.Exception - Thrown if the Recovery rate cannot be calculated

recovery

public double recovery(java.lang.String tenor)
                throws java.lang.Exception

Calculate the recovery rate to the given tenor

Parameters:

tenor - Tenor

Returns:

Recovery Rate

Throws:

java.lang.Exception - Thrown if the Recovery rate cannot be calculated

effectiveRecovery

public double effectiveRecovery(int date1,
int date2)
                         throws java.lang.Exception

Calculate the time-weighted recovery between a pair of dates

Parameters:

date1 - First Date

date2 - Second Date

Returns:

Time-weighted recovery

Throws:

java.lang.Exception - Thrown if the recovery cannot be calculated

effectiveRecovery

public double effectiveRecovery(JulianDate date1,
JulianDate date2)
                         throws java.lang.Exception

Calculate the time-weighted recovery between a pair of dates

Parameters:

date1 - First Date

date2 - Second Date

Returns:

Time-weighted recovery

Throws:

java.lang.Exception - Thrown if the recovery cannot be calculated

effectiveRecovery

public double effectiveRecovery(java.lang.String tenor1,
java.lang.String tenor2)
                         throws java.lang.Exception

Calculate the time-weighted recovery between a pair of tenors

Parameters:

tenor1 - First Tenor

tenor2 - Second Tenor

Returns:

Time-weighted recovery

Throws:

java.lang.Exception - Thrown if the recovery cannot be calculated

hazard

public double hazard(JulianDate date1,
JulianDate date2)
              throws java.lang.Exception

Calculate the hazard rate between a pair of forward dates

Parameters:

date1 - First Date

date2 - Second Date

Returns:

Hazard Rate

Throws:

java.lang.Exception - Thrown if the hazard rate cannot be calculated

hazard

public double hazard(JulianDate date)
              throws java.lang.Exception

Calculate the hazard rate to the given date

Parameters:

date - Date

Returns:

Hazard Rate

Throws:

java.lang.Exception - Thrown if the hazard rate cannot be calculated

hazard

public double hazard(java.lang.String tenor)
              throws java.lang.Exception

Calculate the hazard rate to the given tenor

Parameters:

tenor - Tenor

Returns:

Hazard Rate

Throws:

java.lang.Exception - Thrown if the hazard rate cannot be calculated

flatCurve

public abstract CreditCurve flatCurve(double flatNodeValue,
boolean singleNode,
double recovery)

Create a flat hazard curve from the inputs

Parameters:

flatNodeValue - Flat hazard node value

singleNode - Uses a single node for Calibration (True)

recovery - (Optional) Recovery to be used in creation of the flat curve

Returns:

New CreditCurve instance

setInstrCalibInputs

public void setInstrCalibInputs(ValuationParams valuationParams,
boolean flat,
MergedDiscountForwardCurve discountCurve,
GovvieCurve govvieCurve,
CreditPricerParams creditPricerParams,
CalibratableComponent[] calibratableComponentArray,
double[] calibrationQuoteArray,
java.lang.String[] calibrationMeasureArray,
LatentStateFixingsContainer latentStateFixingsContainer,
ValuationCustomizationParams valuationCustomizationParams)

Set the calibration inputs for the CreditCurve

Parameters:

valuationParams - Valuation Params

flat - Flat calibration desired (True)

discountCurve - Base Discount Curve

govvieCurve - Govvie Curve

creditPricerParams - PricerParams

calibratableComponentArray - Array of calibration instruments

calibrationQuoteArray - Array of calibration quotes

calibrationMeasureArray - Array of calibration measures

latentStateFixingsContainer - Latent State Fixings Container

valuationCustomizationParams - Quoting Parameters

setCCIS

public boolean setCCIS(CurveConstructionInputSet curveConstructionInputSet)

Description copied from interface: Curve

Set the Curve Construction Input Set Parameters

Specified by:

setCCIS in interface Curve

Parameters:

curveConstructionInputSet - The Curve Construction Input Set Parameters

Returns:

TRUE - Inputs successfully Set

calibComp

public CalibratableComponent[] calibComp()

Description copied from interface: Curve

Retrieve the Calibration Components

Specified by:

calibComp in interface Curve

Returns:

Array of Calibration Components

manifestMeasure

public CaseInsensitiveTreeMap<java.lang.Double> manifestMeasure(java.lang.String instrument)

Description copied from interface: Curve

Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve

Specified by:

manifestMeasure in interface Curve

Parameters:

instrument - The Calibration Instrument's Code whose Manifest Measure Map is sought

Returns:

The Manifest Measure Map of the given Instrument used to construct the Curve