com.opengamma.strata.pricer.credit

Class NodalRecoveryRates

java.lang.Object

com.opengamma.strata.pricer.credit.NodalRecoveryRates

All Implemented Interfaces:

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

public final class NodalRecoveryRates
extends Object
implements RecoveryRates, org.joda.beans.ImmutableBean, Serializable

The recovery rates based on a nodal curve.

The underlying curve must contain year fractions against recovery rates, and the day count must be present.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	NodalRecoveryRates.Builder The bean-builder for NodalRecoveryRates.

Method Summary

Modifier and Type	Method and Description
static NodalRecoveryRates.Builder	builder() Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> name)
NodalCurve	getCurve() Gets the underlying curve.
StandardId	getLegalEntityId() Gets the legal entity identifier.
double	getParameter(int parameterIndex)
int	getParameterCount()
ParameterMetadata	getParameterMetadata(int parameterIndex)
LocalDate	getValuationDate() Gets the valuation date.
int	hashCode()
static org.joda.beans.TypedMetaBean<NodalRecoveryRates>	meta() The meta-bean for NodalRecoveryRates.
org.joda.beans.TypedMetaBean<NodalRecoveryRates>	metaBean()
static NodalRecoveryRates	of(StandardId legalEntityId, LocalDate valuationDate, NodalCurve curve) Obtains an instance.
double	recoveryRate(LocalDate date) Gets the recovery rate for the specified date.
NodalRecoveryRates.Builder	toBuilder() Returns a builder that allows this bean to be mutated.
String	toString()
NodalRecoveryRates	withCurve(NodalCurve curve) Returns a new instance with a different curve.
NodalRecoveryRates	withParameter(int parameterIndex, double newValue)
NodalRecoveryRates	withPerturbation(ParameterPerturbation perturbation)

Methods inherited from class java.lang.Object

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

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

of

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

findParameterIndex

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static NodalRecoveryRates of(StandardId legalEntityId,
                                    LocalDate valuationDate,
                                    NodalCurve curve)

Obtains an instance.

The curve is specified by an instance of NodalCurve, such as InterpolatedNodalCurve. The curve must contain year fractions against recovery rates, and the day count must be present.

Parameters:

legalEntityId - the legalEntity ID

valuationDate - the valuation date for which the curve is valid

curve - the underlying curve

Returns:

the instance

recoveryRate

public double recoveryRate(LocalDate date)

Description copied from interface: RecoveryRates

Gets the recovery rate for the specified date.

Specified by:

recoveryRate in interface RecoveryRates

Parameters:

date - the date

Returns:

the recovery rate

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

getParameterMetadata

public ParameterMetadata getParameterMetadata(int parameterIndex)

Specified by:

getParameterMetadata in interface ParameterizedData

withParameter

public NodalRecoveryRates withParameter(int parameterIndex,
                                        double newValue)

Specified by:

withParameter in interface ParameterizedData

Specified by:

withParameter in interface RecoveryRates

withPerturbation

public NodalRecoveryRates withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

Specified by:

withPerturbation in interface RecoveryRates

withCurve

public NodalRecoveryRates withCurve(NodalCurve curve)

Returns a new instance with a different curve.

Parameters:

curve - the new curve

Returns:

the new instance

meta

public static org.joda.beans.TypedMetaBean<NodalRecoveryRates> meta()

The meta-bean for NodalRecoveryRates.

Returns:

the meta-bean, not null

builder

public static NodalRecoveryRates.Builder builder()

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

Returns:

the builder, not null

metaBean

public org.joda.beans.TypedMetaBean<NodalRecoveryRates> 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.

Specified by:

getLegalEntityId in interface RecoveryRates

Returns:

the value of the property, not null

getValuationDate

public LocalDate getValuationDate()

Gets the valuation date.

Specified by:

getValuationDate in interface MarketDataView

Specified by:

getValuationDate in interface RecoveryRates

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

toBuilder

public NodalRecoveryRates.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