Package com.opengamma.strata.market.curve

Class IsdaCreditCurveDefinition

java.lang.Object

com.opengamma.strata.market.curve.IsdaCreditCurveDefinition

All Implemented Interfaces:

Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class IsdaCreditCurveDefinition
extends Object
implements org.joda.beans.ImmutableBean, Serializable

Provides the definition of how to calibrate an ISDA compliant curve for credit.

An ISDA compliant curve is built from a number of parameters and described by metadata. Calibration is based on a list of IsdaCreditCurveNode instances, one for each parameter, that specify the underlying instruments.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	IsdaCreditCurveDefinition.Meta	The meta-bean for IsdaCreditCurveDefinition.

Method Summary

Modifier and Type	Method	Description
InterpolatedNodalCurve	curve(DoubleArray yearFractions, DoubleArray zeroRates)	Creates the ISDA compliant curve.
boolean	equals(Object obj)
Currency	getCurrency()	Gets the curve currency.
ImmutableList<IsdaCreditCurveNode>	getCurveNodes()	Gets the curve nodes.
LocalDate	getCurveValuationDate()	Gets the curve valuation date.
DayCount	getDayCount()	Gets the day count.
CurveName	getName()	Gets the curve name.
int	hashCode()
boolean	isComputeJacobian()	Gets the flag indicating if the Jacobian matrices should be computed and stored in metadata or not.
boolean	isStoreNodeTrade()	Gets the flag indicating if the node trade should be stored or not.
static IsdaCreditCurveDefinition.Meta	meta()	The meta-bean for IsdaCreditCurveDefinition.
IsdaCreditCurveDefinition.Meta	metaBean()
static IsdaCreditCurveDefinition	of(CurveName name, Currency currency, LocalDate curveValuationDate, DayCount dayCount, List<? extends IsdaCreditCurveNode> curveNodes, boolean computeJacobian, boolean storeNodeTrade)	Obtains an instance.
String	toString()

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static IsdaCreditCurveDefinition of(CurveName name,
                                           Currency currency,
                                           LocalDate curveValuationDate,
                                           DayCount dayCount,
                                           List<? extends IsdaCreditCurveNode> curveNodes,
                                           boolean computeJacobian,
                                           boolean storeNodeTrade)

Obtains an instance.

Parameters:

name - the name

currency - the currency

curveValuationDate - the curve valuation date

dayCount - the day count

curveNodes - the curve nodes

computeJacobian - the Jacobian flag

storeNodeTrade - the node trade flag

Returns:

the instance

curve

public InterpolatedNodalCurve curve(DoubleArray yearFractions,
                                    DoubleArray zeroRates)

Creates the ISDA compliant curve.

The parameter metadata is not stored in the metadata of the curve.

Parameters:

yearFractions - the year fraction values

zeroRates - the zero rate values

Returns:

the curve

meta

public static IsdaCreditCurveDefinition.Meta meta()

The meta-bean for IsdaCreditCurveDefinition.

Returns:

the meta-bean, not null

metaBean

public IsdaCreditCurveDefinition.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getName

public CurveName getName()

Gets the curve name.

Returns:

the value of the property, not null

getCurrency

public Currency getCurrency()

Gets the curve currency.

The resultant curve will be used for discounting based on this currency. This is typically the same as the currency of the curve node instruments in curveNodes.

Returns:

the value of the property, not null

getCurveValuationDate

public LocalDate getCurveValuationDate()

Gets the curve valuation date.

The date on which the resultant curve is used for pricing. This date is not necessarily the same as the valuationDate of MarketData on which the market data was snapped.

Returns:

the value of the property, not null

getDayCount

public DayCount getDayCount()

Gets the day count.

If the x-value of the curve represents time as a year fraction, the day count can be specified to define how the year fraction is calculated.

Returns:

the value of the property, not null

getCurveNodes

public ImmutableList<IsdaCreditCurveNode> getCurveNodes()

Gets the curve nodes.

The nodes are used to find the par rates and calibrate the curve.

Returns:

the value of the property, not null

isComputeJacobian

public boolean isComputeJacobian()

Gets the flag indicating if the Jacobian matrices should be computed and stored in metadata or not.

Returns:

the value of the property, not null

isStoreNodeTrade

public boolean isStoreNodeTrade()

Gets the flag indicating if the node trade should be stored or not.

This property is used only for credit curve calibration.

Returns:

the value of the property, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object