Class CreditMeasures


  • public final class CreditMeasures
    extends java.lang.Object
    The standard set of credit measures that can be calculated by Strata.

    A measure identifies the calculation result that is required.

    • Method Summary

      • Methods inherited from class java.lang.Object

        clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
    • 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.