Class SpreadSensitivityCalculator

  • Direct Known Subclasses:
    AnalyticSpreadSensitivityCalculator, FiniteDifferenceSpreadSensitivityCalculator

    public abstract class SpreadSensitivityCalculator
    extends java.lang.Object
    The spread sensitivity calculator.

    The spread sensitivity, also called CS01, is the sensitivity of the CDS product present value to par spreads of the bucket CDSs. The bucket CDSs do not necessarily correspond to the node point of the input credit curve.