Class ResolvedCdsIndex

    • Method Detail

      • getAccrualStartDate

        public java.time.LocalDate getAccrualStartDate()
        Obtains the accrual start date.

        In general this is different from the protection start date. Use stepinDateOffset to compute the protection start date.

        Returns:
        the accrual start date
      • getAccrualEndDate

        public java.time.LocalDate getAccrualEndDate()
        Obtains the accrual end date.
        Returns:
        the accrual end date
      • getNotional

        public double getNotional()
        Obtains the notional.
        Returns:
        the notional
      • getCurrency

        public Currency getCurrency()
        Obtains the currency.
        Returns:
        the currency
      • getFixedRate

        public double getFixedRate()
        Obtains the fixed coupon rate.
        Returns:
        the fixed rate
      • calculateEffectiveStartDate

        public java.time.LocalDate calculateEffectiveStartDate​(java.time.LocalDate stepinDate)
        Obtains the effective start date from the step-in date.
        Parameters:
        stepinDate - the step-in date
        Returns:
        the effective start date
      • calculateSettlementDateFromValuation

        public java.time.LocalDate calculateSettlementDateFromValuation​(java.time.LocalDate valuationDate,
                                                                        ReferenceData refData)
        Calculates the settlement date from the valuation date.
        Parameters:
        valuationDate - the valuation date
        refData - the reference data to use
        Returns:
        the settlement date
      • findPeriod

        public java.util.Optional<CreditCouponPaymentPeriod> findPeriod​(java.time.LocalDate date)
        Finds the period that contains the specified date.

        The search is performed using unadjusted dates.

        Parameters:
        date - the date to find the period for
        Returns:
        the period, empty if not found
        Throws:
        java.lang.IllegalArgumentException - if more than one period matches
      • accruedYearFraction

        public double accruedYearFraction​(java.time.LocalDate stepinDate)
        Calculates the accrued premium per fractional spread for unit notional.
        Parameters:
        stepinDate - the step-in date
        Returns:
        the accrued year fraction
      • toSingleNameCds

        public ResolvedCds toSingleNameCds()
        Reduce this instance to ResolvedCds.

        The resultant object is used for pricing CDS index products under the homogeneous pool assumption on constituent credit curves.

        Returns:
        the CDS product
      • meta

        public static ResolvedCdsIndex.Meta meta()
        The meta-bean for ResolvedCdsIndex.
        Returns:
        the meta-bean, not null
      • builder

        public static ResolvedCdsIndex.Builder builder()
        Returns a builder used to create an instance of the bean.
        Returns:
        the builder, not null
      • getBuySell

        public BuySell getBuySell()
        Gets whether the CDS index is buy or sell.

        A value of 'Buy' implies buying protection, where the fixed coupon is paid and the protection is received in the event of default. A value of 'Sell' implies selling protection, where the fixed coupon is received and the protection is paid in the event of default.

        Returns:
        the value of the property, not null
      • getCdsIndexId

        public StandardId getCdsIndexId()
        Gets the CDS index identifier.

        This identifier is used to refer this CDS index product.

        Returns:
        the value of the property, not null
      • getLegalEntityIds

        public com.google.common.collect.ImmutableList<StandardId> getLegalEntityIds()
        Gets the legal entity identifiers.

        These identifiers refer to the reference legal entities of the CDS index.

        Returns:
        the value of the property, not null
      • getPaymentPeriods

        public com.google.common.collect.ImmutableList<CreditCouponPaymentPeriod> getPaymentPeriods()
        Gets the periodic payments based on the fixed rate.

        Each payment period represents part of the life-time of the leg. In most cases, the periods do not overlap. However, since each payment period is essentially independent the data model allows overlapping periods.

        Returns:
        the value of the property, not empty
      • getProtectionEndDate

        public java.time.LocalDate getProtectionEndDate()
        Gets the protection end date.

        This may be different from the accrual end date of the last payment period in periodicPayments.

        Returns:
        the value of the property, not null
      • getDayCount

        public DayCount getDayCount()
        Gets the day count convention.

        This is used to convert dates to a numerical value.

        Returns:
        the value of the property, not null
      • getPaymentOnDefault

        public PaymentOnDefault getPaymentOnDefault()
        Gets the payment on default.

        Whether the accrued premium is paid in the event of a default.

        Returns:
        the value of the property, not null
      • getProtectionStart

        public ProtectionStartOfDay getProtectionStart()
        Gets the protection start of the day.

        When the protection starts on the start date.

        Returns:
        the value of the property, not null
      • getStepinDateOffset

        public DaysAdjustment getStepinDateOffset()
        Gets the number of days between valuation date and step-in date.

        The step-in date is also called protection effective date. It is usually 1 calendar day for standardized CDS index contracts.

        Returns:
        the value of the property, not null
      • getSettlementDateOffset

        public DaysAdjustment getSettlementDateOffset()
        Gets the number of days between valuation date and settlement date.

        It is usually 3 business days for standardized CDS index contracts.

        Returns:
        the value of the property, not null
      • toBuilder

        public ResolvedCdsIndex.Builder toBuilder()
        Returns a builder that allows this bean to be mutated.
        Returns:
        the mutable builder, 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