Uses of Class
com.quantfinlib.credit.IsdaCurve

Packages that use IsdaCurve

Package	Description
com.quantfinlib.credit	Credit curves, CDS pricing and credit spreads.

Uses of IsdaCurve in com.quantfinlib.credit

Methods in com.quantfinlib.credit that return IsdaCurve

Modifier and Type	Method	Description
static IsdaCurve	IsdaCdsModel.bootstrap(LocalDate tradeDate, int[] tenorYears, double[] parSpreads, double recovery, IsdaCurve discount)	Bootstraps a piecewise-constant hazard curve from par spreads of standard contracts traded today, one node per maturity.
static IsdaCurve	IsdaCdsModel.bootstrap(LocalDate tradeDate, int[] tenorYears, double[] parSpreads, double recovery, IsdaCurve discount, IsdaCdsModel.Conventions conventions)	Bootstraps under explicit conventions; the standard contracts are built on the conventions' calendar.
static IsdaCurve	IsdaRateCurve.bootstrapSwaps(LocalDate tradeDate, List<IsdaRateCurve.Swap> swaps, BusinessCalendar calendar)	Bootstraps the swap-only zero curve.
static IsdaCurve	IsdaCurve.flat(double rate)	A flat curve: constant zero rate (or constant hazard).
static IsdaCurve	IsdaCurve.ofHazardRates(double[] times, double[] hazards)	Survival curve from piecewise-constant hazards: hazards[i] applies on (t_{i-1}, t_i] with t_{-1} = 0, and the last hazard continues beyond the last node.
static IsdaCurve	IsdaCurve.ofZeroRates(double[] times, double[] zeroRates)	Curve from zero rates.

Methods in com.quantfinlib.credit with parameters of type IsdaCurve

Modifier and Type	Method	Description
static IsdaCurve	IsdaCdsModel.bootstrap(LocalDate tradeDate, int[] tenorYears, double[] parSpreads, double recovery, IsdaCurve discount)	Bootstraps a piecewise-constant hazard curve from par spreads of standard contracts traded today, one node per maturity.
static IsdaCurve	IsdaCdsModel.bootstrap(LocalDate tradeDate, int[] tenorYears, double[] parSpreads, double recovery, IsdaCurve discount, IsdaCdsModel.Conventions conventions)	Bootstraps under explicit conventions; the standard contracts are built on the conventions' calendar.
static double	IsdaCdsModel.cleanUpfront(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival)	Points upfront per unit notional paid by the protection buyer (clean).
static double	IsdaCdsModel.cleanUpfront(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival, IsdaCdsModel.Conventions conventions)	Clean points upfront under explicit conventions.
static double	IsdaCdsModel.dirtyUpfront(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival)	Cash settlement amount per unit notional paid by the buyer (dirty).
static double	IsdaCdsModel.dirtyUpfront(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival, IsdaCdsModel.Conventions conventions)	Dirty upfront under explicit conventions.
static double	IsdaCdsModel.flatHazardForParSpread(IsdaCdsModel.Contract c, double parSpread, IsdaCurve discount)	The flat hazard whose par spread equals parSpread.
static double	IsdaCdsModel.flatHazardForParSpread(IsdaCdsModel.Contract c, double parSpread, IsdaCurve discount, IsdaCdsModel.Conventions conventions)	Flat hazard for a par spread under explicit conventions.
static double	IsdaCdsModel.parSpread(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival)	Par spread: protection over clean risky annuity.
static double	IsdaCdsModel.parSpread(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival, IsdaCdsModel.Conventions conventions)	Par spread under explicit conventions.
static double	IsdaRateCurve.parSwapValue(IsdaCurve curve, LocalDate tradeDate, IsdaRateCurve.Swap swap, BusinessCalendar calendar)	Value per unit notional of a receive-fixed swap on curve under the conventions above, including the notional exchange: zero for a quote the curve was bootstrapped from.
static double	IsdaCdsModel.protectionLeg(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival)	Protection leg value per unit notional, paid at cash settlement: (1 - R) integral_0^tM h Q P dt / P(t_cs).
static double	IsdaCdsModel.quotedSpreadToUpfront(IsdaCdsModel.Contract c, double quotedSpread, IsdaCurve discount)	Converts a quoted (conventional) spread to clean points upfront at the contract's coupon: flat hazard calibrated so the par spread is the quote, using the contract's recovery.
static double	IsdaCdsModel.quotedSpreadToUpfront(IsdaCdsModel.Contract c, double quotedSpread, IsdaCurve discount, IsdaCdsModel.Conventions conventions)	Quoted spread to clean upfront under explicit conventions.
static double	IsdaCdsModel.riskyAnnuityClean(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival)	Clean risky annuity: dirty minus the accrued fraction.
static double	IsdaCdsModel.riskyAnnuityClean(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival, IsdaCdsModel.Conventions conventions)	Clean risky annuity under explicit conventions.
static double	IsdaCdsModel.riskyAnnuityDirty(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival)	Dirty risky annuity: the premium leg per unit coupon, including the full current coupon and accrual on default, paid at cash settlement.
static double	IsdaCdsModel.riskyAnnuityDirty(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival, IsdaCdsModel.Conventions conventions)	Dirty risky annuity under explicit conventions (holiday calendar, half-day accrual on default).
static double	IsdaCdsModel.upfrontToQuotedSpread(IsdaCdsModel.Contract c, double cleanUpfront, IsdaCurve discount)	Converts clean points upfront to the quoted spread: flat hazard that reprices the upfront, then its par spread.
static double	IsdaCdsModel.upfrontToQuotedSpread(IsdaCdsModel.Contract c, double cleanUpfront, IsdaCurve discount, IsdaCdsModel.Conventions conventions)	Clean upfront to quoted spread under explicit conventions.