com.opengamma.strata.pricer.credit

Class CdsMarketQuoteConverter

java.lang.Object

com.opengamma.strata.pricer.credit.CdsMarketQuoteConverter

public class CdsMarketQuoteConverter
extends Object

The market quote converter for credit default swaps.

Field Summary

Fields

Modifier and Type	Field and Description
static CdsMarketQuoteConverter	DEFAULT The default implementation.

Constructor Summary

Constructors

Constructor and Description
CdsMarketQuoteConverter() The default constructor.
CdsMarketQuoteConverter(AccrualOnDefaultFormula formula) The constructor with the accrual-on-default formula specified.

Method Summary

Modifier and Type	Method and Description
double	cleanPrice(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData) Computes the market clean price.
double	cleanPriceFromPointsUpfront(double pointsUpfront) Computes market clean price from points upfront.
double	pointsUpfront(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData) Computes the points upfront.
CdsQuote	pointsUpFrontFromQuotedSpread(ResolvedCdsTrade trade, CdsQuote quote, CreditRatesProvider ratesProvider, ReferenceData refData) Converts quoted spread to points upfront.
CdsQuote	quotedSpreadFromPointsUpfront(ResolvedCdsTrade trade, CdsQuote quote, CreditRatesProvider ratesProvider, ReferenceData refData) Converts points upfront to quoted spread.
List<CdsQuote>	quotesFromParSpread(List<ResolvedCdsTrade> trades, List<CdsQuote> quotes, CreditRatesProvider ratesProvider, CdsQuoteConvention targetConvention, ReferenceData refData) The par spread quotes are converted to points upfronts or quoted spreads.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final CdsMarketQuoteConverter DEFAULT

The default implementation.

Constructor Detail

CdsMarketQuoteConverter

public CdsMarketQuoteConverter()

The default constructor.

The original ISDA accrual-on-default formula (version 1.8.2 and lower) is used.

CdsMarketQuoteConverter

public CdsMarketQuoteConverter(AccrualOnDefaultFormula formula)

The constructor with the accrual-on-default formula specified.

Parameters:

formula - the accrual-on-default formula

Method Detail

cleanPriceFromPointsUpfront

public double cleanPriceFromPointsUpfront(double pointsUpfront)

Computes market clean price from points upfront.

The points upfront and resultant price are represented as a fraction.

Parameters:

pointsUpfront - the points upfront

Returns:

the clean price

cleanPrice

public double cleanPrice(ResolvedCdsTrade trade,
                         CreditRatesProvider ratesProvider,
                         ReferenceData refData)

Computes the market clean price.

The market clean price is usually expressed in percentage. Here a fraction of notional is returned, e.g., 0.98 is 98(%) clean price.

A relevant credit curve must be pre-calibrated and stored in ratesProvider.

Parameters:

trade - the trade

ratesProvider - the rates provider

refData - the reference data

Returns:

the clean price

pointsUpfront

public double pointsUpfront(ResolvedCdsTrade trade,
                            CreditRatesProvider ratesProvider,
                            ReferenceData refData)

Computes the points upfront.

The points upfront quote is usually expressed in percentage. Here a fraction of notional is returned, e.g., 0.01 is 1(%) points up-front

The relevant credit curve must be pre-calibrated and stored in ratesProvider.

Parameters:

trade - the trade

ratesProvider - the rates provider

refData - the reference data

Returns:

the points upfront

pointsUpFrontFromQuotedSpread

public CdsQuote pointsUpFrontFromQuotedSpread(ResolvedCdsTrade trade,
                                              CdsQuote quote,
                                              CreditRatesProvider ratesProvider,
                                              ReferenceData refData)

Converts quoted spread to points upfront.

Thus quote must be CdsQuoteConvention.QUOTED_SPREAD.

The relevant discount curve and recovery rate curve must be stored in ratesProvider. The credit curve is internally calibrated to convert one quote type to the other quote type.

Parameters:

trade - the trade

quote - the quote

ratesProvider - the rates provider

refData - the reference data

Returns:

the quote

quotedSpreadFromPointsUpfront

public CdsQuote quotedSpreadFromPointsUpfront(ResolvedCdsTrade trade,
                                              CdsQuote quote,
                                              CreditRatesProvider ratesProvider,
                                              ReferenceData refData)

Converts points upfront to quoted spread.

Thus quote must be CdsQuoteConvention.POINTS_UPFRONT.

The relevant discount curve and recovery rate curve must be stored in ratesProvider. The credit curve is internally calibrated to convert one quote type to the other quote type.

Parameters:

trade - the trade

quote - the quote

ratesProvider - the rates provider

refData - the reference data

Returns:

the quote

quotesFromParSpread

public List<CdsQuote> quotesFromParSpread(List<ResolvedCdsTrade> trades,
                                          List<CdsQuote> quotes,
                                          CreditRatesProvider ratesProvider,
                                          CdsQuoteConvention targetConvention,
                                          ReferenceData refData)

The par spread quotes are converted to points upfronts or quoted spreads.

The relevant discount curve and recovery rate curve must be stored in ratesProvider. The credit curve is internally calibrated to par spread values.

trades must be sorted in ascending order in maturity and coherent to quotes.

The resultant quote is specified by targetConvention.

Parameters:

trades - the trades

quotes - the quotes

ratesProvider - the rates provider

targetConvention - the target convention

refData - the reference data

Returns:

the quotes