Class CreditMeasures
 java.lang.Object

 com.opengamma.strata.measure.credit.CreditMeasures

public final class CreditMeasures extends Object
The standard set of credit measures that can be calculated by Strata.A measure identifies the calculation result that is required.


Field Summary
Fields Modifier and Type Field Description static Measure
CS01_BUCKETED
Measure representing the PV change under a series of 1 bps shifts in credit spread at each curve node.static Measure
CS01_PARALLEL
Measure representing the PV change under a 1 bps shift in credit spread.static Measure
EXPECTED_LOSS
Measure representing the expected value of protection settlement.static Measure
IR01_CALIBRATED_BUCKETED
Measure representing the PV change under a series of 1 bps shifts in calibrated curve at each curve node.static Measure
IR01_CALIBRATED_PARALLEL
Measure representing the PV change under a 1 bps shift in calibrated curve.static Measure
IR01_MARKET_QUOTE_BUCKETED
Measure representing the PV change under a series of 1 bps shifts in market quotes at each curve node.static Measure
IR01_MARKET_QUOTE_PARALLEL
Measure representing the PV change under a 1 bps shift to market quotes.static Measure
JUMP_TO_DEFAULT
Measure representing the PV change in case of immediate default.static Measure
PRINCIPAL
Measure representing the principal.static Measure
RECOVERY01
Measure representing the PV change under a 1 bps shift in recovery rate.



Field Detail

PRINCIPAL
public static final Measure PRINCIPAL
Measure representing the principal.

IR01_CALIBRATED_PARALLEL
public static final Measure IR01_CALIBRATED_PARALLEL
Measure representing the PV change under a 1 bps shift in calibrated curve.

IR01_CALIBRATED_BUCKETED
public static final Measure IR01_CALIBRATED_BUCKETED
Measure representing the PV change under a series of 1 bps shifts in calibrated curve at each curve node.

IR01_MARKET_QUOTE_PARALLEL
public static final Measure IR01_MARKET_QUOTE_PARALLEL
Measure representing the PV change under a 1 bps shift to market quotes.

IR01_MARKET_QUOTE_BUCKETED
public static final Measure IR01_MARKET_QUOTE_BUCKETED
Measure representing the PV change under a series of 1 bps shifts in market quotes at each curve node.

CS01_PARALLEL
public static final Measure CS01_PARALLEL
Measure representing the PV change under a 1 bps shift in credit spread.

CS01_BUCKETED
public static final Measure CS01_BUCKETED
Measure representing the PV change under a series of 1 bps shifts in credit spread at each curve node.

RECOVERY01
public static final Measure RECOVERY01
Measure representing the PV change under a 1 bps shift in recovery rate.

JUMP_TO_DEFAULT
public static final Measure JUMP_TO_DEFAULT
Measure representing the PV change in case of immediate default.

EXPECTED_LOSS
public static final Measure EXPECTED_LOSS
Measure representing the expected value of protection settlement.

