Uses of Class
com.quantfinlib.credit.CreditCurve

Packages that use CreditCurve
Package
Description
com.quantfinlib.credit
Credit curves, CDS pricing and credit spreads.

  • Uses of CreditCurve in com.quantfinlib.credit

    Methods in com.quantfinlib.credit that return CreditCurve
    Modifier and Type
    Method
    Description
    static CreditCurve
    CreditCurve.bootstrap(int[] tenorYears, double[] parSpreads, double recovery, YieldCurve discount)
    Bootstraps from CDS par spreads.
    Methods in com.quantfinlib.credit with parameters of type CreditCurve
    Modifier and Type
    Method
    Description
    static CvaApproximator.Bilateral
    CvaApproximator.bilateral(ExposureProfile profile, CreditCurve counterparty, double lgd, CreditCurve own, double ownLgd)
    Bilateral CVA/DVA from a simulated profile with first-to-default (Brigo and Capponi, "Bilateral counterparty risk with application to CDSs", 2008; Gregory, The xVA Challenge, 3rd ed., 2015, ch. 14).
    static CvaApproximator.Bilateral
    CvaApproximator.bilateralWrongWay(ExposureProfile profile, CreditCurve counterparty, double lgd, CreditCurve own, double ownLgd, double bCpty, double bOwn, ExposureProfile.Factor driver)
    Bilateral CVA/DVA with wrong-way risk on both names and one path-consistent first-to-default (added in 2.3).
    static double
    CvaApproximator.cva(double[] expectedExposure, double[] bucketEndYears, CreditCurve counterparty, YieldCurve discount, double lgd)
    Discrete unilateral CVA over the given exposure profile.
    static double
    CvaApproximator.cva(ExposureProfile profile, CreditCurve counterparty, double lgd)
    CVA from a simulated exposure profile, independent default: LGD * sum_i E[D(0,t_i) E(t_i)] * [Q(t_{i-1}) - Q(t_i)].
    static double
    CvaApproximator.cvaBucketAverage(double eeAtZero, double[] expectedExposure, double[] bucketEndYears, CreditCurve counterparty, YieldCurve discount, double lgd)
    Discrete unilateral CVA with the discounted exposure averaged over each bucket (trapezoid rule), added in 3.1.
    static double
    CvaApproximator.cvaWrongWay(ExposureProfile profile, CreditCurve counterparty, double lgd, double rho, ExposureProfile.Factor driver)
    CVA with wrong-way risk through a Gaussian copula between default and a market factor, applied bucket by bucket (Li 2000; Gregory, The xVA Challenge, 3rd ed., 2015, ch. 17; the per-bucket conditioning follows Hull and White, "CVA and wrong-way risk", Financial Analysts Journal 68(5), 2012, where default is tied to the market variable that drives the exposure at each date).
    static double
    CvaApproximator.dva(ExposureProfile profile, CreditCurve own, double ownLgd)
    DVA from a simulated exposure profile: the same sum over the negative exposure and the bank's own credit curve.
    static double
    CdsPricer.parSpread(CreditCurve credit, YieldCurve discount, double maturityYears)
    The zero-upfront (par) spread for this maturity.
    static double
    CdsPricer.premiumLegPv(CreditCurve credit, YieldCurve discount, double spread, double maturityYears)
    PV of the premium leg at the given running spread.
    static double
    CdsPricer.protectionLegPv(CreditCurve credit, YieldCurve discount, double maturityYears)
    PV of the protection leg: (1-R) paid at default.
    static double
    CdsPricer.riskyAnnuity(CreditCurve credit, YieldCurve discount, double maturityYears)
    PV of 1bp-per-year premium stream per unit spread (the risky annuity / risky DV01 base).
    static double
    CdsPricer.upfront(CreditCurve credit, YieldCurve discount, double contractSpread, double maturityYears)
    Upfront points (per unit notional) the protection buyer pays on a contract with fixed running coupon contractSpread.