Interface RecoveryRates

    • Method Detail

      • of

        static RecoveryRates of​(StandardId legalEntityId,
                                java.time.LocalDate valuationDate,
                                Curve curve)
        Obtains an instance from a curve.

        If the curve is ConstantCurve, ConstantRecoveryRates 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

        java.time.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​(java.time.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)
        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

        RecoveryRates 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