Interface CreditRatesScenarioMarketData

  • public interface CreditRatesScenarioMarketData
    Market data for products based on credit, discount and recovery rate curves, used for calculation across multiple scenarios.

    This interface exposes the market data necessary for pricing credit products, such as CDS and CDS index. It uses a CreditRatesMarketDataLookup to provide a view on ScenarioMarketData.

    Implementations of this interface must be immutable.

    • Method Detail

      • getLookup

        CreditRatesMarketDataLookup getLookup()
        Gets the lookup that provides access to credit, discount and recovery rate curves.
        the credit rates lookup
      • getMarketData

        ScenarioMarketData getMarketData()
        Gets the market data.
        the market data
      • withMarketData

        CreditRatesScenarioMarketData withMarketData​(ScenarioMarketData marketData)
        Returns a copy of this instance with the specified market data.
        marketData - the market data to use
        a market view based on the specified data
      • getScenarioCount

        int getScenarioCount()
        Gets the number of scenarios.
        the number of scenarios
      • scenario

        CreditRatesMarketData scenario​(int scenarioIndex)
        Returns market data for a single scenario.

        This returns a view of the market data for the specified scenario.

        scenarioIndex - the scenario index
        the market data for the specified scenario
        IndexOutOfBoundsException - if the scenario index is invalid