private static final void CreditCurveAPISample() throws Exception {
JulianDate dtStart = JulianDate.Today();
JulianDate dt10Y = dtStart.addYears(10);
/*
* Create Credit Curve from flat Hazard Rate
*/
CreditCurve ccFlatHazard =
CreditCurveBuilder.FromFlatHazard(dtStart.getJulian(), "CC", "USD", 0.02, 0.4);
System.out.println(
"CCFromFlatHazard["
+ dt10Y.toString()
+ "]; Survival="
+ ccFlatHazard.getSurvival("10Y")
+ "; Hazard="
+ ccFlatHazard.calcHazard("10Y"));
double[] adblDate = new double[5];
double[] adblSurvival = new double[5];
for (int i = 0; i < 5; ++i) {
adblDate[i] = dtStart.addYears(2 * i + 2).getJulian();
adblSurvival[i] = 1. - 0.1 * (i + 1);
}
/*
* Create Credit Curve from an array of dates and their corresponding survival probabilities
*/
CreditCurve ccFromSurvival =
CreditCurveBuilder.FromSurvival(
dtStart.getJulian(), "CC", "USD", adblDate, adblSurvival, 0.4);
System.out.println(
"CCFromSurvival["
+ dt10Y.toString()
+ "]; Survival="
+ ccFromSurvival.getSurvival("10Y")
+ "; Hazard="
+ ccFromSurvival.calcHazard("10Y"));
}
