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")); }