com.opengamma.strata.measure.credit

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 and 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.

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.