Uses of Class
com.quantfinlib.credit.CreditCurve

Packages that use CreditCurve

Package	Description
com.quantfinlib.credit	Credit: the price of default.

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 double	CvaApproximator.cva(double[] expectedExposure, double[] bucketEndYears, CreditCurve counterparty, YieldCurve discount, double lgd)	Discrete unilateral CVA over the given exposure profile.
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.