com.opengamma.strata.pricer.credit

Interface RecoveryRates

All Superinterfaces:

MarketDataView, ParameterizedData

All Known Implementing Classes:

ConstantRecoveryRates, NodalRecoveryRates

public interface RecoveryRates
extends MarketDataView, ParameterizedData

Recovery rates.

This represents the recovery rates of a legal entity.

Method Summary

Modifier and Type	Method and Description
StandardId	getLegalEntityId() Gets the standard identifier of a legal entity.
LocalDate	getValuationDate() Gets the valuation date.
static RecoveryRates	of(StandardId legalEntityId, LocalDate valuationDate, Curve curve) Obtains an instance from a curve.
double	recoveryRate(LocalDate date) Gets the recovery rate for the specified date.
RecoveryRates	withParameter(int parameterIndex, double newValue)
RecoveryRates	withPerturbation(ParameterPerturbation perturbation)

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

findData

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

findParameterIndex, getParameter, getParameterCount, getParameterMetadata

Method Detail

of

static RecoveryRates of(StandardId legalEntityId,
                        LocalDate valuationDate,
                        Curve curve)

Obtains an instance from a curve.

If the curve is ConstantCurve, ConstantRecoveryRates is always instantiated. If the curve is NodalCurve, NodalRecoveryRates is always instantiated.

Parameters:

legalEntityId - the legal entity identifier

valuationDate - the valuation date for which the curve is valid

curve - the underlying curve

Returns:

the instance

getValuationDate

LocalDate getValuationDate()

Gets the valuation date.

Specified by:

getValuationDate in interface MarketDataView

Returns:

the valuation date

getLegalEntityId

StandardId getLegalEntityId()

Gets the standard identifier of a legal entity.

Returns:

the legal entity ID

recoveryRate

double recoveryRate(LocalDate date)

Gets the recovery rate for the specified date.

Parameters:

date - the date

Returns:

the recovery rate

withParameter

RecoveryRates withParameter(int parameterIndex,
                            double newValue)

Specified by:

withParameter in interface ParameterizedData

withPerturbation

RecoveryRates withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData