CreditDiscountFactors (OpenGamma Strata Pricer API)

All Superinterfaces:

MarketDataView, ParameterizedData

All Known Implementing Classes:

IsdaCreditDiscountFactors
```
public interface CreditDiscountFactors
extends MarketDataView, ParameterizedData
```
Provides access to discount factors for a single currency.
The discount factor represents the time value of money for the specified currency when comparing the valuation date to the specified date.
This is also used for representing survival probabilities of a legal entity for a single currency.

Method Summary

All Methods Static Methods Instance Methods Abstract Methods Default Methods
Modifier and Type	Method and Description
`CurrencyParameterSensitivities`	`createParameterSensitivity(Currency currency, DoubleArray sensitivities)` Creates the parameter sensitivity when the sensitivity values are known.
`double`	`discountFactor(double yearFraction)` Gets the discount factor for specified year fraction.
`default double`	`discountFactor(LocalDate date)` Gets the discount factor for the specified date.
`Currency`	`getCurrency()` Gets the currency.
`DayCount`	`getDayCount()` Obtains day count convention.
`DoubleArray`	`getParameterKeys()` Obtains the parameter keys of the underlying curve.
`default boolean`	`isIsdaCompliant()` Checks if the instance is based on an ISDA compliant curve.
`static CreditDiscountFactors`	`of(Currency currency, LocalDate valuationDate, Curve curve)` Obtains an instance from a curve.
`CurrencyParameterSensitivities`	`parameterSensitivity(ZeroRateSensitivity pointSensitivity)` Calculates the parameter sensitivity from the point sensitivity.
`double`	`relativeYearFraction(LocalDate date)` Calculates the relative time between the valuation date and the specified date.
`DiscountFactors`	`toDiscountFactors()` Creates an instance of `DiscountFactors`.
`CreditDiscountFactors`	`withParameter(int parameterIndex, double newValue)`
`CreditDiscountFactors`	`withPerturbation(ParameterPerturbation perturbation)`
`double`	`zeroRate(double yearFraction)` Gets the continuously compounded zero rate for specified year fraction.
`default double`	`zeroRate(LocalDate date)` Gets the continuously compounded zero rate for the specified date.
`default ZeroRateSensitivity`	`zeroRatePointSensitivity(double yearFraction)` Calculates the zero rate point sensitivity at the specified year fraction.
`ZeroRateSensitivity`	`zeroRatePointSensitivity(double yearFraction, Currency sensitivityCurrency)` Calculates the zero rate point sensitivity at the specified year fraction specifying the currency of the sensitivity.
`default ZeroRateSensitivity`	`zeroRatePointSensitivity(LocalDate date)` Calculates the zero rate point sensitivity at the specified date.
`default ZeroRateSensitivity`	`zeroRatePointSensitivity(LocalDate date, Currency sensitivityCurrency)` Calculates the zero rate point sensitivity at the specified date specifying the currency of the sensitivity.

Methods inherited from interface com.opengamma.strata.market.MarketDataView
findData, getValuationDate

Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData
findParameterIndex, getParameter, getParameterCount, getParameterMetadata

- Method Detail
  - of
```
static CreditDiscountFactors of(Currency currency,
                                LocalDate valuationDate,
                                Curve curve)
```
    Obtains an instance from a curve.
    If the curve satisfies the conditions for ISDA compliant curve, IsdaCompliantZeroRateDiscountFactors is always instantiated.
    
    Parameters:
    
    currency - the currency
    
    valuationDate - the valuation date for which the curve is valid
    
    curve - the underlying curve
    
    Returns:
    
    the discount factors view
  - getCurrency
```
Currency getCurrency()
```
    Gets the currency.
    The currency that discount factors are provided for.
    
    Returns:
    
    the currency
  - getDayCount
```
DayCount getDayCount()
```
    Obtains day count convention.
    This is typically the day count convention of the underlying curve.
    
    Returns:
    
    the day count
  - toDiscountFactors
```
DiscountFactors toDiscountFactors()
```
    Creates an instance of DiscountFactors.
    
    Returns:
    
    the instance
  - getParameterKeys
```
DoubleArray getParameterKeys()
```
    Obtains the parameter keys of the underlying curve.
    
    Returns:
    
    the parameter keys
  - withParameter
```
CreditDiscountFactors withParameter(int parameterIndex,
                                    double newValue)
```
    Specified by:
    
    withParameter in interface ParameterizedData
  - withPerturbation
```
CreditDiscountFactors withPerturbation(ParameterPerturbation perturbation)
```
    Specified by:
    
    withPerturbation in interface ParameterizedData
  - isIsdaCompliant
```
default boolean isIsdaCompliant()
```
    Checks if the instance is based on an ISDA compliant curve.
    This returns 'false' by default, and should be overridden when needed.
    
    Returns:
    
    true if this is an ISDA compliant curve, false otherwise
  - relativeYearFraction
```
double relativeYearFraction(LocalDate date)
```
    Calculates the relative time between the valuation date and the specified date.
    The double value returned from this method is used as the input to other methods. It is typically calculated from a DayCount.
    
    Parameters:
    
    date - the date
    
    Returns:
    
    the year fraction
    
    Throws:
    
    RuntimeException - if it is not possible to convert dates to relative times
  - discountFactor
```
default double discountFactor(LocalDate date)
```
    Gets the discount factor for the specified date.
    The discount factor represents the time value of money for the specified currency when comparing the valuation date to the specified date.
    If the valuation date is on the specified date, the discount factor is 1.
    
    Parameters:
    
    date - the date to discount to
    
    Returns:
    
    the discount factor
    
    Throws:
    
    RuntimeException - if the value cannot be obtained
  - discountFactor
```
double discountFactor(double yearFraction)
```
    Gets the discount factor for specified year fraction.
    The year fraction must be based on #relativeYearFraction(LocalDate).
    
    Parameters:
    
    yearFraction - the year fraction
    
    Returns:
    
    the discount factor
    
    Throws:
    
    RuntimeException - if the value cannot be obtained
  - zeroRate
```
default double zeroRate(LocalDate date)
```
    Gets the continuously compounded zero rate for the specified date.
    The continuously compounded zero rate is coherent to discountFactor(LocalDate) along with year fraction which is computed internally in each implementation.
    
    Parameters:
    
    date - the date to discount to
    
    Returns:
    
    the zero rate
    
    Throws:
    
    RuntimeException - if the value cannot be obtained
  - zeroRate
```
double zeroRate(double yearFraction)
```
    Gets the continuously compounded zero rate for specified year fraction.
    The year fraction must be based on #relativeYearFraction(LocalDate).
    
    Parameters:
    
    yearFraction - the year fraction
    
    Returns:
    
    the zero rate
    
    Throws:
    
    RuntimeException - if the value cannot be obtained
  - zeroRatePointSensitivity
```
default ZeroRateSensitivity zeroRatePointSensitivity(LocalDate date)
```
    Calculates the zero rate point sensitivity at the specified date.
    This returns a sensitivity instance referring to the zero rate sensitivity of the points that were queried in the market data. The sensitivity typically has the value (-discountFactor * yearFraction). The sensitivity refers to the result of discountFactor(LocalDate).
    
    Parameters:
    
    date - the date to discount to
    
    Returns:
    
    the point sensitivity of the zero rate
    
    Throws:
    
    RuntimeException - if the result cannot be calculated
  - zeroRatePointSensitivity
```
default ZeroRateSensitivity zeroRatePointSensitivity(double yearFraction)
```
    Calculates the zero rate point sensitivity at the specified year fraction.
    This returns a sensitivity instance referring to the zero rate sensitivity of the points that were queried in the market data. The sensitivity typically has the value (-discountFactor * yearFraction). The sensitivity refers to the result of discountFactor(LocalDate).
    The year fraction must be based on #relativeYearFraction(LocalDate).
    
    Parameters:
    
    yearFraction - the year fraction
    
    Returns:
    
    the point sensitivity of the zero rate
    
    Throws:
    
    RuntimeException - if the result cannot be calculated
  - zeroRatePointSensitivity
```
default ZeroRateSensitivity zeroRatePointSensitivity(LocalDate date,
                                                     Currency sensitivityCurrency)
```
    Calculates the zero rate point sensitivity at the specified date specifying the currency of the sensitivity.
    This returns a sensitivity instance referring to the zero rate sensitivity of the points that were queried in the market data. The sensitivity typically has the value (-discountFactor * yearFraction). The sensitivity refers to the result of discountFactor(LocalDate).
    This method allows the currency of the sensitivity to differ from the currency of the market data.
    
    Parameters:
    
    date - the date to discount to
    
    sensitivityCurrency - the currency of the sensitivity
    
    Returns:
    
    the point sensitivity of the zero rate
    
    Throws:
    
    RuntimeException - if the result cannot be calculated
  - zeroRatePointSensitivity
```
ZeroRateSensitivity zeroRatePointSensitivity(double yearFraction,
                                             Currency sensitivityCurrency)
```
    Calculates the zero rate point sensitivity at the specified year fraction specifying the currency of the sensitivity.
    This returns a sensitivity instance referring to the zero rate sensitivity of the points that were queried in the market data. The sensitivity typically has the value (-discountFactor * yearFraction). The sensitivity refers to the result of discountFactor(LocalDate).
    This method allows the currency of the sensitivity to differ from the currency of the market data.
    The year fraction must be based on #relativeYearFraction(LocalDate).
    
    Parameters:
    
    yearFraction - the year fraction
    
    sensitivityCurrency - the currency of the sensitivity
    
    Returns:
    
    the point sensitivity of the zero rate
    
    Throws:
    
    RuntimeException - if the result cannot be calculated
  - parameterSensitivity
```
CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSensitivity)
```
    Calculates the parameter sensitivity from the point sensitivity.
    This is used to convert a single point sensitivity to parameter sensitivity. The calculation typically involves multiplying the point and unit sensitivities.
    
    Parameters:
    
    pointSensitivity - the point sensitivity to convert
    
    Returns:
    
    the parameter sensitivity
    
    Throws:
    
    RuntimeException - if the result cannot be calculated
  - createParameterSensitivity
```
CurrencyParameterSensitivities createParameterSensitivity(Currency currency,
                                                          DoubleArray sensitivities)
```
    Creates the parameter sensitivity when the sensitivity values are known.
    In most cases, parameterSensitivity(ZeroRateSensitivity) should be used and manipulated. However, it can be useful to create parameter sensitivity from pre-computed sensitivity values.
    There will typically be one CurrencyParameterSensitivity for each underlying data structure, such as a curve. For example, if the discount factors are based on a single discount curve, then there will be one CurrencyParameterSensitivity in the result.
    
    Parameters:
    
    currency - the currency
    
    sensitivities - the sensitivity values, which must match the parameter count
    
    Returns:
    
    the parameter sensitivity
    
    Throws:
    
    RuntimeException - if the result cannot be calculated

Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.

Interface CreditDiscountFactors

Method Summary

Methods inherited from interface com.opengamma.strata.market.MarketDataView

Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData

Method Detail

of

getCurrency

getDayCount

toDiscountFactors

getParameterKeys

withParameter

withPerturbation

isIsdaCompliant

relativeYearFraction

discountFactor

discountFactor

zeroRate

zeroRate

zeroRatePointSensitivity

zeroRatePointSensitivity

zeroRatePointSensitivity

zeroRatePointSensitivity

parameterSensitivity

createParameterSensitivity