Uses of Package
com.quantfinlib.credit

Packages that use com.quantfinlib.credit

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

Classes in com.quantfinlib.credit used by com.quantfinlib.credit

Class	Description
CreditCurve	Credit curve — piecewise-constant hazard rates bootstrapped from CDS par spreads, the credit market's exact analogue of YieldCurve's bootstrap: walk the quotes from shortest to longest, at each pillar solving for the one hazard rate that reprices that maturity's CDS to zero upfront given everything already solved.
CvaApproximator.Bilateral	Bilateral CVA and DVA with first-to-default conditioning.
ExposureProfile	Output of MultiCurrencyExposureSimulator: per exposure date, the profile statistics, and per path, the discounted exposures the wrong-way CVA in CvaApproximator needs.
ExposureProfile.Factor	Market factor used as the wrong-way driver.
IsdaCdsModel.Contract	One CDS contract's dates and terms.
IsdaCdsModel.Conventions	Model conventions beyond the contract terms.
IsdaCdsModel.Period	One premium period of the coupon schedule.
IsdaCurve	A curve of the kind the ISDA CDS Standard Model works on: continuously compounded zero rates r_i at node times t_i (years, ACT/365F from the curve's base date), interpolated linearly in r(t) * t.
IsdaRateCurve.Swap	One par swap quote.
MultiCurrencyExposureSimulator.BasisFactor	Stochastic projection-discount basis for domestic swaps that carry a projection curve (added in 2.3).
MultiCurrencyExposureSimulator.Csa	Collateral agreement terms (two-way, symmetric).
MultiCurrencyExposureSimulator.Curve	A discount function t -> P(0,t), t in years, P(0,0) = 1.
MultiCurrencyExposureSimulator.Domestic	Domestic Hull-White short rate.
MultiCurrencyExposureSimulator.Foreign	One foreign currency: its Hull-White short rate and the spot against the domestic currency (domestic per foreign).
MultiCurrencyExposureSimulator.FxForwardTerms	FX forward: buy foreignNotional units of foreign currency at strike domestic per foreign at maturityYears; a negative notional sells.
MultiCurrencyExposureSimulator.Market	The market: domestic rate, foreign currencies, and the correlation of the factors [W_d, W_1, W_S1, W_2, W_S2, ...].
MultiCurrencyExposureSimulator.Swap	A domestic swap with an optional projection curve for its floating leg.
MultiCurrencyExposureSimulator.SwapTerms	Vanilla fixed-for-floating swap.