Model[Credit Curve]


"Model[Credit Curve]" is a special type of Model
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with functions Model[Credit Curve] Functions, keys Model[Credit Curve] keys and example object CrCrvMdl

TYPE INCLUSION RELATIONSHIPS

Model Valuation

Model Credit Curve

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

CD Rates Shift

Delta Mode

IR Delta

IR Delta Specs

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TYPICAL OBJECTS OF TYPE Model[Credit Curve]

CrCrvMdl

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This type represents modelling assumptions relating to the type Credit Curve that may be needed during some valuation algorithm.
In particular, it supplies the shift sizes of the various market data involved in delta sensitivity calculations.
All that is required, is the presence of a "Model[Credit Curve]" object in the input model collection of the valuation routine.
Specifically, the Delta Mode entry determines how the market data must be shifted.
The Delta Shift entry defines the shift amount.