Package com.quantfinlib.credit
package com.quantfinlib.credit
Credit: the price of default.
CreditCurve
bootstraps piecewise-constant hazard rates from CDS par spreads (the
credit analogue of the rates bootstrap — every input reprices exactly,
and the credit triangle spread ~ hazard * (1 - recovery) is
pinned by test); CdsPricer prices the
two legs, the par spread and the standardized-contract upfront, and
exposes the risky annuity — the desk's risky DV01;
CreditSpreads translates bond prices
into Z-spreads over the risk-free curve, the number that pairs with
the CDS par spread to form the cds-bond basis. Research lane;
discretization choices stated on each class.-
ClassesClassDescriptionCDS pricing off a
CreditCurve: the two legs, the par spread, and the upfront that post-2009 standardized contracts actually exchange.CREDIT CURVE — piecewise-constant hazard rates bootstrapped from CDS par spreads, the credit market's exact analogue ofYieldCurve'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.BOND credit-spread measures — the translation layer between a bond's PRICE and how much of it is credit.UNILATERAL CVA — the price of the counterparty in every derivative you hold: the expected loss from their default before your trades' cash flows finish arriving.