CurrencyAmount |
IsdaCdsProductPricer.expectedLoss(ResolvedCds cds,
CreditRatesProvider ratesProvider) |
Calculates the expected loss of the CDS product.
|
JumpToDefault |
IsdaCdsProductPricer.jumpToDefault(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData) |
Calculates the jump-to-default of the CDS product.
|
double |
IsdaCdsProductPricer.parSpread(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData) |
Calculates the par spread of the CDS product.
|
PointSensitivityBuilder |
IsdaCdsProductPricer.parSpreadSensitivity(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData) |
Calculates the par spread sensitivity of the product.
|
CurrencyAmount |
IsdaCdsProductPricer.presentValue(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData) |
Calculates the present value of the CDS product.
|
PointSensitivityBuilder |
IsdaCdsProductPricer.presentValueSensitivity(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData) |
Calculates the present value sensitivity of the product.
|
double |
IsdaCdsProductPricer.price(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData) |
Calculates the price of the CDS product, which is the present value per unit notional.
|
PointSensitivityBuilder |
IsdaCdsProductPricer.priceSensitivity(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData) |
Calculates the price sensitivity of the product.
|
double |
IsdaCdsProductPricer.protectionLeg(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData) |
Calculates the price of the protection leg, which is the protection leg present value per unit notional.
|
CurrencyAmount |
IsdaCdsProductPricer.recovery01(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData) |
Calculates the recovery01 of the CDS product.
|
double |
IsdaCdsProductPricer.riskyAnnuity(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData) |
Calculates the risky annuity, which is RPV01 per unit notional.
|
PointSensitivityBuilder |
IsdaCdsProductPricer.riskyAnnuitySensitivity(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData) |
Calculates the risky annuity sensitivity of the product.
|
CurrencyAmount |
IsdaCdsProductPricer.rpv01(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData) |
Calculates the risky PV01 of the CDS product.
|