com.opengamma.strata.pricer.credit

Class ImmutableCreditRatesProvider

java.lang.Object

com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider

All Implemented Interfaces:

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

public final class ImmutableCreditRatesProvider
extends Object
implements CreditRatesProvider, org.joda.beans.ImmutableBean, Serializable

The immutable rates provider, used to calculate analytic measures.

The primary usage of this provider is to price credit default swaps on a legal entity. This includes credit curves, discounting curves and recovery rate curves.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
static ImmutableCreditRatesProvider.Builder	builder() Returns a builder used to create an instance of the bean.
CreditDiscountFactors	discountFactors(Currency currency) Gets the discount factors for a currency.
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> name) Finds the market data with the specified name.
ImmutableMap<Pair<StandardId,Currency>,LegalEntitySurvivalProbabilities>	getCreditCurves() Gets the credit curves.
ImmutableMap<Currency,CreditDiscountFactors>	getDiscountCurves() Gets the discounting curves.
ImmutableMap<StandardId,RecoveryRates>	getRecoveryRateCurves() Gets the credit rate curves.
LocalDate	getValuationDate() Gets the valuation date.
int	hashCode()
static ImmutableCreditRatesProvider.Meta	meta() The meta-bean for ImmutableCreditRatesProvider.
ImmutableCreditRatesProvider.Meta	metaBean()
CurrencyParameterSensitivities	parameterSensitivity(PointSensitivities pointSensitivities) Computes the parameter sensitivity.
RecoveryRates	recoveryRates(StandardId legalEntityId) Gets the recovery rates for a standard ID.
CurrencyParameterSensitivity	singleCreditCurveParameterSensitivity(PointSensitivities pointSensitivities, StandardId legalEntityId, Currency currency) Computes the parameter sensitivity for a specific credit curve.
CurrencyParameterSensitivity	singleDiscountCurveParameterSensitivity(PointSensitivities pointSensitivities, Currency currency) Computes the parameter sensitivity for a specific discount curve.
LegalEntitySurvivalProbabilities	survivalProbabilities(StandardId legalEntityId, Currency currency) Gets the survival probabilities for a standard ID and a currency.
ImmutableCreditRatesProvider.Builder	toBuilder() Returns a builder that allows this bean to be mutated.
ImmutableCreditRatesProvider	toImmutableCreditRatesProvider() Converts this provider to an equivalent ImmutableCreditRatesProvider.
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

survivalProbabilities

public LegalEntitySurvivalProbabilities survivalProbabilities(StandardId legalEntityId,
                                                              Currency currency)

Description copied from interface: CreditRatesProvider

Gets the survival probabilities for a standard ID and a currency.

If both the standard ID and currency are matched, the relevant LegalEntitySurvivalProbabilities is returned.

If the valuation date is on the specified date, the survival probability is 1.

Specified by:

survivalProbabilities in interface CreditRatesProvider

Parameters:

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

currency - the currency to get the discount factors for

Returns:

the survival probabilities

discountFactors

public CreditDiscountFactors discountFactors(Currency currency)

Description copied from interface: CreditRatesProvider

Gets the discount factors for a currency.

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.

Specified by:

discountFactors in interface CreditRatesProvider

Parameters:

currency - the currency to get the discount factors for

Returns:

the discount factors for the specified currency

recoveryRates

public RecoveryRates recoveryRates(StandardId legalEntityId)

Description copied from interface: CreditRatesProvider

Gets the recovery rates for a standard ID.

If both the standard ID and currency are matched, the relevant RecoveryRates is returned.

Specified by:

recoveryRates in interface CreditRatesProvider

Parameters:

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

Returns:

the recovery rates

parameterSensitivity

public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities)

Description copied from interface: CreditRatesProvider

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.

The sensitivities handled here are CreditCurveZeroRateSensitivity, ZeroRateSensitivity. For the other sensitivity objects, use RatesProvider instead.

Specified by:

parameterSensitivity in interface CreditRatesProvider

Parameters:

pointSensitivities - the point sensitivity

Returns:

the sensitivity to the curve parameters

singleCreditCurveParameterSensitivity

public CurrencyParameterSensitivity singleCreditCurveParameterSensitivity(PointSensitivities pointSensitivities,
                                                                          StandardId legalEntityId,
                                                                          Currency currency)

Description copied from interface: CreditRatesProvider

Computes the parameter sensitivity for a specific credit curve.

The credit curve is specified by legalEntityId and currency.

Specified by:

singleCreditCurveParameterSensitivity in interface CreditRatesProvider

Parameters:

pointSensitivities - the point sensitivity

legalEntityId - the legal entity

currency - the currency

Returns:

the sensitivity to the curve parameters

singleDiscountCurveParameterSensitivity

public CurrencyParameterSensitivity singleDiscountCurveParameterSensitivity(PointSensitivities pointSensitivities,
                                                                            Currency currency)

Description copied from interface: CreditRatesProvider

Computes the parameter sensitivity for a specific discount curve.

The discount curve is specified by currency.

Specified by:

singleDiscountCurveParameterSensitivity in interface CreditRatesProvider

Parameters:

pointSensitivities - the point sensitivity

currency - the currency

Returns:

the sensitivity to the curve parameters

findData

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

Description copied from interface: CreditRatesProvider

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 CreditRatesProvider

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

toImmutableCreditRatesProvider

public ImmutableCreditRatesProvider toImmutableCreditRatesProvider()

Description copied from interface: CreditRatesProvider

Converts this provider to an equivalent ImmutableCreditRatesProvider.

Specified by:

toImmutableCreditRatesProvider in interface CreditRatesProvider

Returns:

the equivalent immutable legal entity provider

meta

public static ImmutableCreditRatesProvider.Meta meta()

The meta-bean for ImmutableCreditRatesProvider.

Returns:

the meta-bean, not null

builder

public static ImmutableCreditRatesProvider.Builder builder()

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

Returns:

the builder, not null

metaBean

public ImmutableCreditRatesProvider.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 CreditRatesProvider

Returns:

the value of the property, not null

getCreditCurves

public ImmutableMap<Pair<StandardId,Currency>,LegalEntitySurvivalProbabilities> getCreditCurves()

Gets the credit curves.

The curve data, predicting the survival probability, associated with each legal entity and currency.

Returns:

the value of the property, not null

getDiscountCurves

public ImmutableMap<Currency,CreditDiscountFactors> getDiscountCurves()

Gets the discounting curves.

The curve data, predicting the discount factor, associated with each currency.

Returns:

the value of the property, not empty

getRecoveryRateCurves

public ImmutableMap<StandardId,RecoveryRates> getRecoveryRateCurves()

Gets the credit rate curves.

The curve date, predicting the recovery rate, associated with each legal entity.

Returns:

the value of the property, not empty

toBuilder

public ImmutableCreditRatesProvider.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