Package com.opengamma.strata.market.curve.node

Class CdsIndexIsdaCreditCurveNode

java.lang.Object

com.opengamma.strata.market.curve.node.CdsIndexIsdaCreditCurveNode

All Implemented Interfaces:

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

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

An ISDA compliant curve node whose instrument is a CDS index.

The trade produced by the node will be a protection payer (BUY) for a positive quantity and a protection receiver (SELL) for a negative quantity.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	CdsIndexIsdaCreditCurveNode.Builder	The bean-builder for CdsIndexIsdaCreditCurveNode.
static class	CdsIndexIsdaCreditCurveNode.Meta	The meta-bean for CdsIndexIsdaCreditCurveNode.

Method Summary

Modifier and Type	Method	Description
static CdsIndexIsdaCreditCurveNode.Builder	builder()	Returns a builder used to create an instance of the bean.
LocalDate	date(LocalDate tradeDate, ReferenceData refData)	Calculates the date associated with the node.
boolean	equals(Object obj)
StandardId	getCdsIndexId()	Gets the CDS index identifier.
OptionalDouble	getFixedRate()	Gets the fixed coupon rate.
String	getLabel()	Gets the label to use for the node.
ImmutableList<StandardId>	getLegalEntityIds()	Gets the legal entity identifiers.
ObservableId	getObservableId()	Gets the identifier of the market data value that provides the quoted value.
CdsQuoteConvention	getQuoteConvention()	Gets the market quote convention.
CdsTemplate	getTemplate()	Gets the template for the single names associated with this node.
int	hashCode()
static CdsIndexIsdaCreditCurveNode.Meta	meta()	The meta-bean for CdsIndexIsdaCreditCurveNode.
CdsIndexIsdaCreditCurveNode.Meta	metaBean()
DatedParameterMetadata	metadata(LocalDate nodeDate)	Returns metadata for the node from the node date.
static CdsIndexIsdaCreditCurveNode	ofParSpread(CdsTemplate template, ObservableId observableId, StandardId cdsIndexId, List<StandardId> legalEntityIds)	Returns a curve node with par spread convention.
static CdsIndexIsdaCreditCurveNode	ofPointsUpfront(CdsTemplate template, ObservableId observableId, StandardId cdsIndexId, List<StandardId> legalEntityIds, Double fixedRate)	Returns a curve node with points upfront convention.
static CdsIndexIsdaCreditCurveNode	ofQuotedSpread(CdsTemplate template, ObservableId observableId, StandardId cdsIndexId, List<StandardId> legalEntityIds, Double fixedRate)	Returns a curve node with quoted spread convention.
CdsIndexIsdaCreditCurveNode.Builder	toBuilder()	Returns a builder that allows this bean to be mutated.
String	toString()
CdsIndexCalibrationTrade	trade(double quantity, MarketData marketData, ReferenceData refData)	Creates a trade representing the CDS index at the node.

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

ofParSpread

public static CdsIndexIsdaCreditCurveNode ofParSpread(CdsTemplate template,
                                                      ObservableId observableId,
                                                      StandardId cdsIndexId,
                                                      List<StandardId> legalEntityIds)

Returns a curve node with par spread convention.

Parameters:

template - the template

observableId - the observable ID

cdsIndexId - the CDS index ID

legalEntityIds - the legal entity IDs

Returns:

the curve node

ofPointsUpfront

public static CdsIndexIsdaCreditCurveNode ofPointsUpfront(CdsTemplate template,
                                                          ObservableId observableId,
                                                          StandardId cdsIndexId,
                                                          List<StandardId> legalEntityIds,
                                                          Double fixedRate)

Returns a curve node with points upfront convention.

Parameters:

template - the template

observableId - the observable ID

cdsIndexId - the CDS index ID

legalEntityIds - the legal entity IDs

fixedRate - the fixed rate

Returns:

the curve node

ofQuotedSpread

public static CdsIndexIsdaCreditCurveNode ofQuotedSpread(CdsTemplate template,
                                                         ObservableId observableId,
                                                         StandardId cdsIndexId,
                                                         List<StandardId> legalEntityIds,
                                                         Double fixedRate)

Returns a curve node with quoted spread convention.

Parameters:

template - the template

observableId - the observable ID

cdsIndexId - the CDS index ID

legalEntityIds - the legal entity IDs

fixedRate - the fixed rate

Returns:

the curve node

date

public LocalDate date(LocalDate tradeDate,
                      ReferenceData refData)

Description copied from interface: IsdaCreditCurveNode

Calculates the date associated with the node.

Each curve node has an associated date which defines the x-value in the curve. This is typically the adjusted end date of the instrument.

Specified by:

date in interface IsdaCreditCurveNode

Parameters:

tradeDate - the trade date

refData - the reference data

Returns:

the node date

metadata

public DatedParameterMetadata metadata(LocalDate nodeDate)

Description copied from interface: IsdaCreditCurveNode

Returns metadata for the node from the node date.

The node date must be computed by IsdaCreditCurveNode.date(LocalDate, ReferenceData).

Specified by:

metadata in interface IsdaCreditCurveNode

Parameters:

nodeDate - the node date used when calibrating the curve

Returns:

metadata for the node

trade

public CdsIndexCalibrationTrade trade(double quantity,
                                      MarketData marketData,
                                      ReferenceData refData)

Creates a trade representing the CDS index at the node.

This uses the observed market data to build the CDS index trade that the node represents. The resulting trade is not resolved. The notional of the trade is taken from the 'quantity' variable. The quantity is signed and will affect whether the trade is Buy or Sell. The valuation date is defined by the market data.

Parameters:

quantity - the quantity or notional of the trade

marketData - the market data required to build a trade for the instrument, including the valuation date

refData - the reference data, used to resolve the trade dates

Returns:

a trade representing the instrument at the node

meta

public static CdsIndexIsdaCreditCurveNode.Meta meta()

The meta-bean for CdsIndexIsdaCreditCurveNode.

Returns:

the meta-bean, not null

builder

public static CdsIndexIsdaCreditCurveNode.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public CdsIndexIsdaCreditCurveNode.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getTemplate

public CdsTemplate getTemplate()

Gets the template for the single names associated with this node.

Returns:

the value of the property, not null

getLabel

public String getLabel()

Gets the label to use for the node.

When building, this will default based on template if not specified.

Specified by:

getLabel in interface IsdaCreditCurveNode

Returns:

the value of the property, not empty

getObservableId

public ObservableId getObservableId()

Gets the identifier of the market data value that provides the quoted value.

Specified by:

getObservableId in interface IsdaCreditCurveNode

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 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

getQuoteConvention

public CdsQuoteConvention getQuoteConvention()

Gets the market quote convention.

The CDS index is quoted in par spread, points upfront or quoted spread. See CdsQuoteConvention for detail.

Returns:

the value of the property, not null

getFixedRate

public OptionalDouble getFixedRate()

Gets the fixed coupon rate.

This must be represented in decimal form.

Returns:

the optional value of the property, not null

toBuilder

public CdsIndexIsdaCreditCurveNode.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, 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