Package com.opengamma.strata.pricer.credit

Interface CreditDiscountFactors

All Superinterfaces:

MarketDataView, ParameterizedData

All Known Implementing Classes:

IsdaCreditDiscountFactors

public interface CreditDiscountFactors
extends MarketDataView, ParameterizedData

Provides access to discount factors for a single currency.

The discount factor represents the time value of money for the specified currency when comparing the valuation date to the specified date.

This is also used for representing survival probabilities of a legal entity for a single currency.

Method Summary

Modifier and Type	Method	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.
default double	discountFactor(LocalDate date)	Gets the discount factor for the specified date.
Currency	getCurrency()	Gets the currency.
DayCount	getDayCount()	Obtains day count convention.
DoubleArray	getParameterKeys()	Obtains the parameter keys of the underlying curve.
default boolean	isIsdaCompliant()	Checks if the instance is based on an ISDA compliant curve.
static CreditDiscountFactors	of(Currency currency, LocalDate valuationDate, Curve curve)	Obtains an instance from a 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.
CreditDiscountFactors	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
CreditDiscountFactors	withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.
double	zeroRate(double yearFraction)	Gets the continuously compounded zero rate for specified year fraction.
default double	zeroRate(LocalDate date)	Gets the continuously compounded zero rate for the specified date.
default ZeroRateSensitivity	zeroRatePointSensitivity(double yearFraction)	Calculates the zero rate point sensitivity at the 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.
default ZeroRateSensitivity	zeroRatePointSensitivity(LocalDate date)	Calculates the zero rate point sensitivity at the specified date.
default ZeroRateSensitivity	zeroRatePointSensitivity(LocalDate date, Currency sensitivityCurrency)	Calculates the zero rate point sensitivity at the specified date specifying the currency of the sensitivity.

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

findData, getValuationDate

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

findParameterIndex, getParameter, getParameterCount, getParameterMetadata

Method Detail

of

static CreditDiscountFactors of(Currency currency,
                                LocalDate valuationDate,
                                Curve curve)

Obtains an instance from a curve.

If the curve satisfies the conditions for ISDA compliant curve, IsdaCompliantZeroRateDiscountFactors is always instantiated.

Parameters:

currency - the currency

valuationDate - the valuation date for which the curve is valid

curve - the underlying curve

Returns:

the discount factors view

getCurrency

Currency getCurrency()

Gets the currency.

The currency that discount factors are provided for.

Returns:

the currency

getDayCount

DayCount getDayCount()

Obtains day count convention.

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

Returns:

the day count

toDiscountFactors

DiscountFactors toDiscountFactors()

Creates an instance of DiscountFactors.

Returns:

the instance

getParameterKeys

DoubleArray getParameterKeys()

Obtains the parameter keys of the underlying curve.

Returns:

the parameter keys

withParameter

CreditDiscountFactors withParameter(int parameterIndex,
                                    double newValue)

Description copied from interface: ParameterizedData

Returns a copy of the data with the value at the specified index altered.

This instance is immutable and unaffected by this method call.

Specified by:

withParameter in interface ParameterizedData

Parameters:

parameterIndex - the zero-based index of the parameter to get

newValue - the new value for the specified parameter

Returns:

a parameterized data instance based on this with the specified parameter altered

withPerturbation

CreditDiscountFactors withPerturbation(ParameterPerturbation perturbation)

Description copied from interface: ParameterizedData

Returns a perturbed copy of the data.

The perturbation instance will be invoked once for each parameter in this instance, returning the perturbed value for that parameter. The result of this method is a new instance that is based on those perturbed values.

This instance is immutable and unaffected by this method call.

Specified by:

withPerturbation in interface ParameterizedData

Parameters:

perturbation - the perturbation to apply

Returns:

a parameterized data instance based on this with the specified perturbation applied

isIsdaCompliant

default boolean isIsdaCompliant()

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

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

Returns:

true if this is an ISDA compliant curve, false otherwise

relativeYearFraction

double relativeYearFraction(LocalDate date)

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.

Parameters:

date - the date

Returns:

the year fraction

Throws:

RuntimeException - if it is not possible to convert dates to relative times

discountFactor

default double discountFactor(LocalDate date)

Gets the discount factor for the specified date.

The discount factor represents the time value of money for the specified currency when comparing the valuation date to the specified date.

If the valuation date is on the specified date, the discount factor is 1.

Parameters:

date - the date to discount to

Returns:

the discount factor

Throws:

RuntimeException - if the value cannot be obtained

discountFactor

double discountFactor(double yearFraction)

Gets the discount factor for specified year fraction.

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

Parameters:

yearFraction - the year fraction

Returns:

the discount factor

Throws:

RuntimeException - if the value cannot be obtained

zeroRate

default double zeroRate(LocalDate date)

Gets the continuously compounded zero rate for the specified date.

The continuously compounded zero rate is coherent to discountFactor(LocalDate) along with year fraction which is computed internally in each implementation.

Parameters:

date - the date to discount to

Returns:

the zero rate

Throws:

RuntimeException - if the value cannot be obtained

zeroRate

double zeroRate(double yearFraction)

Gets the continuously compounded zero rate for specified year fraction.

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

Parameters:

yearFraction - the year fraction

Returns:

the zero rate

Throws:

RuntimeException - if the value cannot be obtained

zeroRatePointSensitivity

default ZeroRateSensitivity zeroRatePointSensitivity(LocalDate date)

Calculates the zero rate point sensitivity at the specified date.

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 discountFactor(LocalDate).

Parameters:

date - the date to discount to

Returns:

the point sensitivity of the zero rate

Throws:

RuntimeException - if the result cannot be calculated

zeroRatePointSensitivity

default ZeroRateSensitivity zeroRatePointSensitivity(double yearFraction)

Calculates the zero rate point sensitivity at the specified year fraction.

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 discountFactor(LocalDate).

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

Parameters:

yearFraction - the year fraction

Returns:

the point sensitivity of the zero rate

Throws:

RuntimeException - if the result cannot be calculated

zeroRatePointSensitivity

default ZeroRateSensitivity 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 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 discountFactor(LocalDate).

This method allows the currency of the sensitivity to differ from the currency of the market data.

Parameters:

date - the date to discount to

sensitivityCurrency - the currency of the sensitivity

Returns:

the point sensitivity of the zero rate

Throws:

RuntimeException - if the result cannot be calculated

zeroRatePointSensitivity

ZeroRateSensitivity 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 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 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).

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

CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity 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

createParameterSensitivity

CurrencyParameterSensitivities createParameterSensitivity(Currency currency,
                                                          DoubleArray sensitivities)

Creates the parameter sensitivity when the sensitivity values are known.

In most cases, 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.

Parameters:

currency - the currency

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

Returns:

the parameter sensitivity

Throws:

RuntimeException - if the result cannot be calculated