com.opengamma.strata.pricer.bond

Class ImmutableLegalEntityDiscountingProvider

java.lang.Object

com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider

All Implemented Interfaces:

LegalEntityDiscountingProvider, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class ImmutableLegalEntityDiscountingProvider
extends Object
implements LegalEntityDiscountingProvider, org.joda.beans.ImmutableBean, Serializable

An immutable provider of data for bond pricing, based on repo and issuer discounting.

This used to price bonds issued by a legal entity. The data to do this includes discount factors of repo curves and issuer curves. If the bond is inflation linked, the price index data is obtained from RatesProvider.

Two types of discount factors are provided by this class. Repo curves are looked up using either the security ID of the bond, or the issuer (legal entity). Issuer curves are only looked up using the issuer (legal entity).

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	ImmutableLegalEntityDiscountingProvider.Builder The bean-builder for ImmutableLegalEntityDiscountingProvider.
static class	ImmutableLegalEntityDiscountingProvider.Meta The meta-bean for ImmutableLegalEntityDiscountingProvider.

Method Summary

Modifier and Type	Method and Description
static ImmutableLegalEntityDiscountingProvider.Builder	builder() Returns a builder used to create an instance of the bean.
<T> T	data(MarketDataId<T> id) Gets market data of a specific type.
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> name) Finds the market data with the specified name.
ImmutableMap<LegalEntityId,LegalEntityGroup>	getIssuerCurveGroups() Gets the groups used to find an issuer curve by legal entity.
ImmutableMap<Pair<LegalEntityGroup,Currency>,DiscountFactors>	getIssuerCurves() Gets the issuer curves, keyed by group and currency.
ImmutableMap<LegalEntityId,RepoGroup>	getRepoCurveGroups() Gets the groups used to find a repo curve by legal entity.
ImmutableMap<Pair<RepoGroup,Currency>,DiscountFactors>	getRepoCurves() Gets the repo curves, keyed by group and currency.
ImmutableMap<SecurityId,RepoGroup>	getRepoCurveSecurityGroups() Gets the groups used to find a repo curve by security.
LocalDate	getValuationDate() Gets the valuation date.
int	hashCode()
IssuerCurveDiscountFactors	issuerCurveDiscountFactors(LegalEntityId issuerId, Currency currency) Gets the discount factors from an issuer based on the issuer ID and currency.
static ImmutableLegalEntityDiscountingProvider.Meta	meta() The meta-bean for ImmutableLegalEntityDiscountingProvider.
ImmutableLegalEntityDiscountingProvider.Meta	metaBean()
CurrencyParameterSensitivities	parameterSensitivity(PointSensitivities pointSensitivities) Computes the parameter sensitivity.
RepoCurveDiscountFactors	repoCurveDiscountFactors(LegalEntityId issuerId, Currency currency) Gets the discount factors from a repo curve based on the issuer ID and currency.
RepoCurveDiscountFactors	repoCurveDiscountFactors(SecurityId securityId, LegalEntityId issuerId, Currency currency) Gets the discount factors from a repo curve based on the security ID, issuer ID and currency.
ImmutableLegalEntityDiscountingProvider.Builder	toBuilder() Returns a builder that allows this bean to be mutated.
ImmutableLegalEntityDiscountingProvider	toImmutableLegalEntityDiscountingProvider() Converts this provider to an equivalent ImmutableLegalEntityDiscountingProvider.
String	toString()

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

repoCurveDiscountFactors

public RepoCurveDiscountFactors repoCurveDiscountFactors(SecurityId securityId,
                                                         LegalEntityId issuerId,
                                                         Currency currency)

Description copied from interface: LegalEntityDiscountingProvider

Gets the discount factors from a repo curve based on the security ID, issuer ID and currency.

This searches first for a curve associated with the security iD and currency, and then for a curve associated with the issuer ID and currency.

If the valuation date is on or after the specified date, the discount factor is 1.

Specified by:

repoCurveDiscountFactors in interface LegalEntityDiscountingProvider

Parameters:

securityId - the standard ID of security to get the discount factors for

issuerId - the standard ID of legal entity to get the discount factors for

currency - the currency to get the discount factors for

Returns:

the discount factors

repoCurveDiscountFactors

public RepoCurveDiscountFactors repoCurveDiscountFactors(LegalEntityId issuerId,
                                                         Currency currency)

Description copied from interface: LegalEntityDiscountingProvider

Gets the discount factors from a repo curve based on the issuer ID and currency.

This searches for a curve associated with the issuer ID and currency.

If the valuation date is on or after the specified date, the discount factor is 1.

Specified by:

repoCurveDiscountFactors in interface LegalEntityDiscountingProvider

Parameters:

issuerId - the standard ID of legal entity to get the discount factors for

currency - the currency to get the discount factors for

Returns:

the discount factors

issuerCurveDiscountFactors

public IssuerCurveDiscountFactors issuerCurveDiscountFactors(LegalEntityId issuerId,
                                                             Currency currency)

Description copied from interface: LegalEntityDiscountingProvider

Gets the discount factors from an issuer based on the issuer ID and currency.

This searches for a curve associated with the issuer ID and currency.

If the valuation date is on or after the specified date, the discount factor is 1.

Specified by:

issuerCurveDiscountFactors in interface LegalEntityDiscountingProvider

Parameters:

issuerId - the standard ID to get the discount factors for

currency - the currency to get the discount factors for

Returns:

the discount factors

parameterSensitivity

public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities)

Description copied from interface: LegalEntityDiscountingProvider

Computes the parameter sensitivity.

This computes the CurrencyParameterSensitivities associated with the PointSensitivities. This corresponds to the projection of the point sensitivity to the curve internal parameters representation.

This method handles RepoCurveZeroRateSensitivity and IssuerCurveZeroRateSensitivity. For other sensitivity objects, see RatesProvider.parameterSensitivity(PointSensitivities).

Specified by:

parameterSensitivity in interface LegalEntityDiscountingProvider

Parameters:

pointSensitivities - the point sensitivity

Returns:

the sensitivity to the curve parameters

data

public <T> T data(MarketDataId<T> id)

Description copied from interface: LegalEntityDiscountingProvider

Gets market data of a specific type.

This is a general purpose mechanism to obtain market data. In general, it is desirable to pass the specific market data needed for pricing into the pricing method. However, in some cases, notably swaps, this is not feasible. It is strongly recommended to clearly state on pricing methods what data is required.

Specified by:

data in interface LegalEntityDiscountingProvider

Type Parameters:

T - the type of the value

Parameters:

id - the identifier to find

Returns:

the data associated with the key

findData

public <T> Optional<T> findData(MarketDataName<T> name)

Description copied from interface: LegalEntityDiscountingProvider

Finds the market data with the specified name.

This is most commonly used to find a Curve using a CurveName. If the market data cannot be found, empty is returned.

Specified by:

findData in interface LegalEntityDiscountingProvider

Type Parameters:

T - the type of the market data value

Parameters:

name - the name to find

Returns:

the market data value, empty if not found

toImmutableLegalEntityDiscountingProvider

public ImmutableLegalEntityDiscountingProvider toImmutableLegalEntityDiscountingProvider()

Description copied from interface: LegalEntityDiscountingProvider

Converts this provider to an equivalent ImmutableLegalEntityDiscountingProvider.

Specified by:

toImmutableLegalEntityDiscountingProvider in interface LegalEntityDiscountingProvider

Returns:

the equivalent immutable legal entity provider

meta

public static ImmutableLegalEntityDiscountingProvider.Meta meta()

The meta-bean for ImmutableLegalEntityDiscountingProvider.

Returns:

the meta-bean, not null

builder

public static ImmutableLegalEntityDiscountingProvider.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public ImmutableLegalEntityDiscountingProvider.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getValuationDate

public LocalDate getValuationDate()

Gets the valuation date. All curves and other data items in this provider are calibrated for this date.

Specified by:

getValuationDate in interface LegalEntityDiscountingProvider

Returns:

the value of the property, not null

getRepoCurveSecurityGroups

public ImmutableMap<SecurityId,RepoGroup> getRepoCurveSecurityGroups()

Gets the groups used to find a repo curve by security.

This maps the security ID to a group. The group is used to find the curve in repoCurves.

Returns:

the value of the property, not null

getRepoCurveGroups

public ImmutableMap<LegalEntityId,RepoGroup> getRepoCurveGroups()

Gets the groups used to find a repo curve by legal entity.

This maps the legal entity ID to a group. The group is used to find the curve in repoCurves.

Returns:

the value of the property, not null

getRepoCurves

public ImmutableMap<Pair<RepoGroup,Currency>,DiscountFactors> getRepoCurves()

Gets the repo curves, keyed by group and currency. The curve data, predicting the future, associated with each repo group and currency.

Returns:

the value of the property, not null

getIssuerCurveGroups

public ImmutableMap<LegalEntityId,LegalEntityGroup> getIssuerCurveGroups()

Gets the groups used to find an issuer curve by legal entity.

This maps the legal entity ID to a group. The group is used to find the curve in issuerCurves.

This property was renamed in version 1.1 of Strata from legalEntityMap.

Returns:

the value of the property, not null

getIssuerCurves

public ImmutableMap<Pair<LegalEntityGroup,Currency>,DiscountFactors> getIssuerCurves()

Gets the issuer curves, keyed by group and currency. The curve data, predicting the future, associated with each legal entity group and currency.

Returns:

the value of the property, not null

toBuilder

public ImmutableLegalEntityDiscountingProvider.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object