CreditCurve

A single-name credit curve as a piecewise-constant forward hazard rate on ascending tenor knots. Segment i covers (knot[i-1], knot[i]] with knot[-1] = 0; survival(t) = exp(-integral hazard).

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Record components

knotTimes: double[]
forwardHazard: double[]

Methods

double[] knotTimes()

double[] forwardHazard()

static CreditCurve flat(double hazard, double lastTenor)

A single flat forward hazard out to lastTenor.

static CreditCurve fromFlatSpread(double parSpread, double recovery, double lastTenor)

The lambda = s / (1 - R) approximation from one par CDS spread.

double cumulativeHazard(double t)

Cumulative hazard integral_0^t lambda(u) du.

double survival(double t)

Survival probability Q(0, t).

double defaultProbability(double t)

Default probability by t.

CreditCurve withParallelShift(double bump)

A parallel shift of every forward hazard, for a CS01 bump.