Class IsdaCreditDiscountFactors

  • All Implemented Interfaces:
    MarketDataView, ParameterizedData, CreditDiscountFactors, java.io.Serializable, Bean, ImmutableBean

    public final class IsdaCreditDiscountFactors
    extends java.lang.Object
    implements CreditDiscountFactors, ImmutableBean, java.io.Serializable
    ISDA compliant zero rate discount factors.

    This is used to price credit default swaps under ISDA standard model.

    The underlying curve must be zero rate curve represented by InterpolatedNodalCurve for multiple data points and InterpolatedNodalCurve for a single data point. The zero rates must be interpolated by ProductLinearCurveInterpolator and extrapolated by FlatCurveExtrapolator on the left and ProductLinearCurveExtrapolator on the right.

    See Also:
    Serialized Form
    • Method Detail

      • of

        public static IsdaCreditDiscountFactors of​(Currency currency,
                                                   java.time.LocalDate valuationDate,
                                                   NodalCurve curve)
        Creates an instance from the underlying curve.
        Parameters:
        currency - the currency
        valuationDate - the valuation date
        curve - the underlying curve
        Returns:
        the instance
      • of

        public static IsdaCreditDiscountFactors of​(Currency currency,
                                                   java.time.LocalDate valuationDate,
                                                   CurveName curveName,
                                                   DoubleArray yearFractions,
                                                   DoubleArray zeroRates,
                                                   DayCount dayCount)
        Creates an instance from year fraction and zero rate values.
        Parameters:
        currency - the currency
        valuationDate - the valuation date
        curveName - the curve name
        yearFractions - the year fractions
        zeroRates - the zero rates
        dayCount - the day count
        Returns:
        the instance
      • isIsdaCompliant

        public boolean isIsdaCompliant()
        Description copied from interface: CreditDiscountFactors
        Checks if the instance is based on an ISDA compliant curve.

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

        Specified by:
        isIsdaCompliant in interface CreditDiscountFactors
        Returns:
        true if this is an ISDA compliant curve, false otherwise
      • findData

        public <T> java.util.Optional<T> findData​(MarketDataName<T> name)
        Description copied from interface: MarketDataView
        Finds the market data with the specified name.

        This is most commonly used to find an underlying curve or surface by name. If the market data cannot be found, empty is returned.

        Specified by:
        findData in interface MarketDataView
        Type Parameters:
        T - the type of the market data value
        Parameters:
        name - the name to find
        Returns:
        the market data value, empty if not found
      • getParameterCount

        public int getParameterCount()
        Description copied from interface: ParameterizedData
        Gets the number of parameters.

        This returns the number of parameters, which can be used to create a loop to access the other methods on this interface.

        Specified by:
        getParameterCount in interface ParameterizedData
        Returns:
        the number of parameters
      • getParameter

        public double getParameter​(int parameterIndex)
        Description copied from interface: ParameterizedData
        Gets the value of the parameter at the specified index.
        Specified by:
        getParameter in interface ParameterizedData
        Parameters:
        parameterIndex - the zero-based index of the parameter to get
        Returns:
        the value of the parameter
      • getParameterMetadata

        public ParameterMetadata getParameterMetadata​(int parameterIndex)
        Description copied from interface: ParameterizedData
        Gets the metadata of the parameter at the specified index.

        If there is no specific parameter metadata, an empty instance will be returned.

        Specified by:
        getParameterMetadata in interface ParameterizedData
        Parameters:
        parameterIndex - the zero-based index of the parameter to get
        Returns:
        the metadata of the parameter
      • withParameter

        public IsdaCreditDiscountFactors 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 CreditDiscountFactors
        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

        public IsdaCreditDiscountFactors 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 CreditDiscountFactors
        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
      • relativeYearFraction

        public double relativeYearFraction​(java.time.LocalDate date)
        Description copied from interface: CreditDiscountFactors
        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.

        Specified by:
        relativeYearFraction in interface CreditDiscountFactors
        Parameters:
        date - the date
        Returns:
        the year fraction
      • discountFactor

        public double discountFactor​(double yearFraction)
        Description copied from interface: CreditDiscountFactors
        Gets the discount factor for specified year fraction.

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

        Specified by:
        discountFactor in interface CreditDiscountFactors
        Parameters:
        yearFraction - the year fraction
        Returns:
        the discount factor
      • zeroRate

        public double zeroRate​(double yearFraction)
        Description copied from interface: CreditDiscountFactors
        Gets the continuously compounded zero rate for specified year fraction.

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

        Specified by:
        zeroRate in interface CreditDiscountFactors
        Parameters:
        yearFraction - the year fraction
        Returns:
        the zero rate
      • zeroRatePointSensitivity

        public ZeroRateSensitivity zeroRatePointSensitivity​(double yearFraction,
                                                            Currency sensitivityCurrency)
        Description copied from interface: CreditDiscountFactors
        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 CreditDiscountFactors.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).

        Specified by:
        zeroRatePointSensitivity in interface CreditDiscountFactors
        Parameters:
        yearFraction - the year fraction
        sensitivityCurrency - the currency of the sensitivity
        Returns:
        the point sensitivity of the zero rate
      • parameterSensitivity

        public CurrencyParameterSensitivities parameterSensitivity​(ZeroRateSensitivity pointSensitivity)
        Description copied from interface: CreditDiscountFactors
        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.

        Specified by:
        parameterSensitivity in interface CreditDiscountFactors
        Parameters:
        pointSensitivity - the point sensitivity to convert
        Returns:
        the parameter sensitivity
      • withCurve

        public IsdaCreditDiscountFactors withCurve​(NodalCurve curve)
        Returns a new instance with a different curve.
        Parameters:
        curve - the new curve
        Returns:
        the new instance
      • getCurrency

        public Currency getCurrency()
        Gets the currency that the discount factors are for.
        Specified by:
        getCurrency in interface CreditDiscountFactors
        Returns:
        the value of the property, not null
      • getValuationDate

        public java.time.LocalDate getValuationDate()
        Gets the valuation date.
        Specified by:
        getValuationDate in interface MarketDataView
        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
      • equals

        public boolean equals​(java.lang.Object obj)
        Overrides:
        equals in class java.lang.Object
      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class java.lang.Object
      • toString

        public java.lang.String toString()
        Overrides:
        toString in class java.lang.Object