com.opengamma.strata.pricer.credit

Class IsdaCreditDiscountFactors

java.lang.Object

com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors

All Implemented Interfaces:

MarketDataView, ParameterizedData, CreditDiscountFactors, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class IsdaCreditDiscountFactors
extends Object
implements CreditDiscountFactors, org.joda.beans.ImmutableBean, Serializable

ISDA compliant zero rate discount factors.

This is used to price credit default swaps under ISDA standard model.

The underlying curve must be zero rate curve represented by InterpolatedNodalCurve for multiple data points and InterpolatedNodalCurve for a single data point. The zero rates must be interpolated by ProductLinearCurveInterpolator and extrapolated by FlatCurveExtrapolator on the left and ProductLinearCurveExtrapolator on the right.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	IsdaCreditDiscountFactors.Meta The meta-bean for IsdaCreditDiscountFactors.

Method Summary

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.
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> name)
OptionalInt	findParameterIndex(ParameterMetadata metadata)
Currency	getCurrency() Gets the currency that the discount factors are for.
NodalCurve	getCurve() Gets the underlying curve.
DayCount	getDayCount() Obtains day count convention.
double	getParameter(int parameterIndex)
int	getParameterCount()
DoubleArray	getParameterKeys() Obtains the parameter keys of the underlying curve.
ParameterMetadata	getParameterMetadata(int parameterIndex)
LocalDate	getValuationDate() Gets the valuation date.
int	hashCode()
boolean	isIsdaCompliant() Checks if the instance is based on an ISDA compliant curve.
static IsdaCreditDiscountFactors.Meta	meta() The meta-bean for IsdaCreditDiscountFactors.
IsdaCreditDiscountFactors.Meta	metaBean()
static IsdaCreditDiscountFactors	of(Currency currency, LocalDate valuationDate, CurveName curveName, DoubleArray yearFractions, DoubleArray zeroRates, DayCount dayCount) Creates an instance from year fraction and zero rate values.
static IsdaCreditDiscountFactors	of(Currency currency, LocalDate valuationDate, NodalCurve curve) Creates an instance from the underlying 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.
String	toString()
IsdaCreditDiscountFactors	withCurve(NodalCurve curve) Returns a new instance with a different curve.
IsdaCreditDiscountFactors	withParameter(int parameterIndex, double newValue)
IsdaCreditDiscountFactors	withPerturbation(ParameterPerturbation perturbation)
double	zeroRate(double yearFraction) Gets the continuously compounded zero rate for 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.

Methods inherited from class java.lang.Object

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

Methods inherited from interface com.opengamma.strata.pricer.credit.CreditDiscountFactors

discountFactor, of, zeroRate, zeroRatePointSensitivity, zeroRatePointSensitivity, zeroRatePointSensitivity

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static IsdaCreditDiscountFactors of(Currency currency,
                                           LocalDate valuationDate,
                                           NodalCurve curve)

Creates an instance from the underlying curve.

Parameters:

currency - the currency

valuationDate - the valuation date

curve - the underlying curve

Returns:

the instance

of

public static IsdaCreditDiscountFactors of(Currency currency,
                                           LocalDate valuationDate,
                                           CurveName curveName,
                                           DoubleArray yearFractions,
                                           DoubleArray zeroRates,
                                           DayCount dayCount)

Creates an instance from year fraction and zero rate values.

Parameters:

currency - the currency

valuationDate - the valuation date

curveName - the curve name

yearFractions - the year fractions

zeroRates - the zero rates

dayCount - the day count

Returns:

the instance

isIsdaCompliant

public boolean isIsdaCompliant()

Description copied from interface: CreditDiscountFactors

Checks if the instance is based on an ISDA compliant curve.

This returns 'false' by default, and should be overridden when needed.

Specified by:

isIsdaCompliant in interface CreditDiscountFactors

Returns:

true if this is an ISDA compliant curve, false otherwise

findData

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

Specified by:

findData in interface MarketDataView

getParameterCount

public int getParameterCount()

Specified by:

getParameterCount in interface ParameterizedData

getParameter

public double getParameter(int parameterIndex)

Specified by:

getParameter in interface ParameterizedData

getParameterKeys

public DoubleArray getParameterKeys()

Description copied from interface: CreditDiscountFactors

Obtains the parameter keys of the underlying curve.

Specified by:

getParameterKeys in interface CreditDiscountFactors

Returns:

the parameter keys

getParameterMetadata

public ParameterMetadata getParameterMetadata(int parameterIndex)

Specified by:

getParameterMetadata in interface ParameterizedData

findParameterIndex

public OptionalInt findParameterIndex(ParameterMetadata metadata)

Specified by:

findParameterIndex in interface ParameterizedData

withParameter

public IsdaCreditDiscountFactors withParameter(int parameterIndex,
                                               double newValue)

Specified by:

withParameter in interface ParameterizedData

Specified by:

withParameter in interface CreditDiscountFactors

withPerturbation

public IsdaCreditDiscountFactors withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

Specified by:

withPerturbation in interface CreditDiscountFactors

getDayCount

public DayCount getDayCount()

Description copied from interface: CreditDiscountFactors

Obtains day count convention.

This is typically the day count convention of the underlying curve.

Specified by:

getDayCount in interface CreditDiscountFactors

Returns:

the day count

relativeYearFraction

public double relativeYearFraction(LocalDate date)

Description copied from interface: CreditDiscountFactors

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.

Specified by:

relativeYearFraction in interface CreditDiscountFactors

Parameters:

date - the date

Returns:

the year fraction

discountFactor

public double discountFactor(double yearFraction)

Description copied from interface: CreditDiscountFactors

Gets the discount factor for specified year fraction.

The year fraction must be based on #relativeYearFraction(LocalDate).

Specified by:

discountFactor in interface CreditDiscountFactors

Parameters:

yearFraction - the year fraction

Returns:

the discount factor

zeroRate

public double zeroRate(double yearFraction)

Description copied from interface: CreditDiscountFactors

Gets the continuously compounded zero rate for specified year fraction.

The year fraction must be based on #relativeYearFraction(LocalDate).

Specified by:

zeroRate in interface CreditDiscountFactors

Parameters:

yearFraction - the year fraction

Returns:

the zero rate

zeroRatePointSensitivity

public ZeroRateSensitivity zeroRatePointSensitivity(double yearFraction,
                                                    Currency sensitivityCurrency)

Description copied from interface: CreditDiscountFactors

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 CreditDiscountFactors.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).

Specified by:

zeroRatePointSensitivity in interface CreditDiscountFactors

Parameters:

yearFraction - the year fraction

sensitivityCurrency - the currency of the sensitivity

Returns:

the point sensitivity of the zero rate

parameterSensitivity

public CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSensitivity)

Description copied from interface: CreditDiscountFactors

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.

Specified by:

parameterSensitivity in interface CreditDiscountFactors

Parameters:

pointSensitivity - the point sensitivity to convert

Returns:

the parameter sensitivity

createParameterSensitivity

public CurrencyParameterSensitivities createParameterSensitivity(Currency currency,
                                                                 DoubleArray sensitivities)

Description copied from interface: CreditDiscountFactors

Creates the parameter sensitivity when the sensitivity values are known.

In most cases, CreditDiscountFactors.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.

Specified by:

createParameterSensitivity in interface CreditDiscountFactors

Parameters:

currency - the currency

sensitivities - the sensitivity values, which must match the parameter count

Returns:

the parameter sensitivity

toDiscountFactors

public DiscountFactors toDiscountFactors()

Description copied from interface: CreditDiscountFactors

Creates an instance of DiscountFactors.

Specified by:

toDiscountFactors in interface CreditDiscountFactors

Returns:

the instance

withCurve

public IsdaCreditDiscountFactors withCurve(NodalCurve curve)

Returns a new instance with a different curve.

Parameters:

curve - the new curve

Returns:

the new instance

meta

public static IsdaCreditDiscountFactors.Meta meta()

The meta-bean for IsdaCreditDiscountFactors.

Returns:

the meta-bean, not null

metaBean

public IsdaCreditDiscountFactors.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getCurrency

public Currency getCurrency()

Gets the currency that the discount factors are for.

Specified by:

getCurrency in interface CreditDiscountFactors

Returns:

the value of the property, not null

getValuationDate

public LocalDate getValuationDate()

Gets the valuation date.

Specified by:

getValuationDate in interface MarketDataView

Returns:

the value of the property, not null

getCurve

public NodalCurve getCurve()

Gets the underlying curve.

The metadata of the curve must define a day count.

Returns:

the value of the property, 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