LegalEntitySurvivalProbabilities (OpenGamma Strata Pricer API)

java.lang.Object
- com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities

All Implemented Interfaces:

Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class LegalEntitySurvivalProbabilities
extends Object
implements org.joda.beans.ImmutableBean, Serializable
```
The legal entity survival probabilities.
This represents the survival probabilities of a legal entity for a single currency.

See Also:

Serialized Form

Nested Class Summary

Nested Classes
Modifier and Type Class and Description

static class LegalEntitySurvivalProbabilities.Meta
The meta-bean for LegalEntitySurvivalProbabilities.

Nested Classes
Modifier and Type	Class and Description
`static class`	`LegalEntitySurvivalProbabilities.Meta` The meta-bean for `LegalEntitySurvivalProbabilities`.

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`boolean`	`equals(Object obj)`
`Currency`	`getCurrency()` Gets the currency.
`StandardId`	`getLegalEntityId()` Gets the legal entity identifier.
`DoubleArray`	`getParameterKeys()` Obtains the parameter keys of the underlying curve.
`CreditDiscountFactors`	`getSurvivalProbabilities()` Gets the underlying curve.
`LocalDate`	`getValuationDate()` Gets the valuation date.
`int`	`hashCode()`
`static LegalEntitySurvivalProbabilities.Meta`	`meta()` The meta-bean for `LegalEntitySurvivalProbabilities`.
`LegalEntitySurvivalProbabilities.Meta`	`metaBean()`
`static LegalEntitySurvivalProbabilities`	`of(StandardId legalEntityId, CreditDiscountFactors survivalProbabilities)` Creates an instance.
`CurrencyParameterSensitivities`	`parameterSensitivity(CreditCurveZeroRateSensitivity pointSensitivity)` Calculates the parameter sensitivity from the point sensitivity.
`double`	`survivalProbability(LocalDate date)` Gets the survival probability for the specified date.
`String`	`toString()`
`double`	`zeroRate(double yearFraction)` Gets the continuously compounded zero hazard rate for specified year fraction.
`CreditCurveZeroRateSensitivity`	`zeroRatePointSensitivity(double yearFraction)` Calculates the zero rate point sensitivity at the specified year fraction.
`CreditCurveZeroRateSensitivity`	`zeroRatePointSensitivity(double yearFraction, Currency sensitivityCurrency)` Calculates the zero rate point sensitivity at the specified year fraction specifying the currency of the sensitivity.
`CreditCurveZeroRateSensitivity`	`zeroRatePointSensitivity(LocalDate date)` Calculates the zero rate point sensitivity at the specified date.
`CreditCurveZeroRateSensitivity`	`zeroRatePointSensitivity(LocalDate date, Currency sensitivityCurrency)` Calculates the zero rate point sensitivity at the specified date 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 org.joda.beans.Bean
property, propertyNames

- Method Detail
  - of
```
public static LegalEntitySurvivalProbabilities of(StandardId legalEntityId,
                                                  CreditDiscountFactors survivalProbabilities)
```
    Creates an instance.
    
    Parameters:
    
    legalEntityId - the legal entity ID
    
    survivalProbabilities - the survival probabilities
    
    Returns:
    
    the instance
  - getCurrency
```
public Currency getCurrency()
```
    Gets the currency.
    The currency that survival probabilities are provided for.
    
    Returns:
    
    the currency
  - getValuationDate
```
public LocalDate getValuationDate()
```
    Gets the valuation date.
    The raw data in this provider is calibrated for this date.
    
    Returns:
    
    the valuation date
  - getParameterKeys
```
public DoubleArray getParameterKeys()
```
    Obtains the parameter keys of the underlying curve.
    
    Returns:
    
    the parameter keys
  - survivalProbability
```
public double survivalProbability(LocalDate date)
```
    Gets the survival probability for the specified date.
    If the valuation date is on the specified date, the survival probability is 1.
    
    Parameters:
    
    date - the date
    
    Returns:
    
    the survival probability
    
    Throws:
    
    RuntimeException - if the value cannot be obtained
  - zeroRate
```
public double zeroRate(double yearFraction)
```
    Gets the continuously compounded zero hazard rate for specified year fraction.
    
    Parameters:
    
    yearFraction - the year fraction
    
    Returns:
    
    the zero hazard rate
    
    Throws:
    
    RuntimeException - if the value cannot be obtained
  - zeroRatePointSensitivity
```
public CreditCurveZeroRateSensitivity zeroRatePointSensitivity(LocalDate date)
```
    Calculates the zero rate point sensitivity at the specified date.
    This returns a sensitivity instance referring to the zero hazard rate sensitivity of the points that were queried in the market data. The sensitivity typically has the value (-survivalProbability * yearFraction). The sensitivity refers to the result of survivalProbability(LocalDate).
    
    Parameters:
    
    date - the date
    
    Returns:
    
    the point sensitivity of the zero rate
    
    Throws:
    
    RuntimeException - if the result cannot be calculated
  - zeroRatePointSensitivity
```
public CreditCurveZeroRateSensitivity zeroRatePointSensitivity(double yearFraction)
```
    Calculates the zero rate point sensitivity at the specified year fraction.
    This returns a sensitivity instance referring to the zero hazard rate sensitivity of the points that were queried in the market data. The sensitivity typically has the value (-survivalProbability * yearFraction). The sensitivity refers to the result of survivalProbability(LocalDate).
    
    Parameters:
    
    yearFraction - the year fraction
    
    Returns:
    
    the point sensitivity of the zero rate
    
    Throws:
    
    RuntimeException - if the result cannot be calculated
  - zeroRatePointSensitivity
```
public CreditCurveZeroRateSensitivity 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 hazard rate sensitivity of the points that were queried in the market data. The sensitivity typically has the value (-survivalProbability * yearFraction). The sensitivity refers to the result of survivalProbability(LocalDate).
    This method allows the currency of the sensitivity to differ from the currency of the market data.
    
    Parameters:
    
    date - the date
    
    sensitivityCurrency - the currency of the sensitivity
    
    Returns:
    
    the point sensitivity of the zero rate
    
    Throws:
    
    RuntimeException - if the result cannot be calculated
  - zeroRatePointSensitivity
```
public CreditCurveZeroRateSensitivity 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 hazard rate sensitivity of the points that were queried in the market data. The sensitivity typically has the value (-survivalProbability * yearFraction). The sensitivity refers to the result of survivalProbability(LocalDate).
    This method allows the currency of the sensitivity to differ from the currency of the market data.
    
    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
```
public CurrencyParameterSensitivities parameterSensitivity(CreditCurveZeroRateSensitivity 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
  - meta
```
public static LegalEntitySurvivalProbabilities.Meta meta()
```
    The meta-bean for LegalEntitySurvivalProbabilities.
    
    Returns:
    
    the meta-bean, not null
  - metaBean
```
public LegalEntitySurvivalProbabilities.Meta metaBean()
```
    Specified by:
    
    metaBean in interface org.joda.beans.Bean
  - getLegalEntityId
```
public StandardId getLegalEntityId()
```
    Gets the legal entity identifier.
    This identifier is used for the reference legal entity of a credit derivative.
    
    Returns:
    
    the value of the property, not null
  - getSurvivalProbabilities
```
public CreditDiscountFactors getSurvivalProbabilities()
```
    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

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

Class LegalEntitySurvivalProbabilities

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

Methods inherited from interface org.joda.beans.Bean

Method Detail

of

getCurrency

getValuationDate

getParameterKeys

survivalProbability

zeroRate

zeroRatePointSensitivity

zeroRatePointSensitivity

zeroRatePointSensitivity

zeroRatePointSensitivity

parameterSensitivity

meta

metaBean

getLegalEntityId

getSurvivalProbabilities

equals

hashCode

toString