Package com.opengamma.strata.pricer.bond

Interface LegalEntityDiscountingProvider

All Known Implementing Classes:

ImmutableLegalEntityDiscountingProvider

public interface LegalEntityDiscountingProvider

A provider of data for bond pricing, based on repo and issuer discounting.

This provides the environmental information against which bond pricing occurs, which is the repo and issuer curves. If the bond is inflation linked, the price index data is obtained from RatesProvider.

The standard independent implementation is ImmutableLegalEntityDiscountingProvider.

All implementations of this interface must be immutable and thread-safe.

Method Summary

Modifier and Type	Method	Description
<T> T	data(MarketDataId<T> id)	Gets market data of a specific type.
<T> Optional<T>	findData(MarketDataName<T> name)	Finds the market data with the specified name.
LocalDate	getValuationDate()	Gets the valuation date.
IssuerCurveDiscountFactors	issuerCurveDiscountFactors(LegalEntityId issuerId, Currency currency)	Gets the discount factors from an issuer based on the issuer ID and currency.
CurrencyParameterSensitivities	parameterSensitivity(PointSensitivities pointSensitivities)	Computes the parameter sensitivity.
RepoCurveDiscountFactors	repoCurveDiscountFactors(LegalEntityId issuerId, Currency currency)	Gets the discount factors from a repo curve based on the issuer ID and currency.
RepoCurveDiscountFactors	repoCurveDiscountFactors(SecurityId securityId, LegalEntityId issuerId, Currency currency)	Gets the discount factors from a repo curve based on the security ID, issuer ID and currency.
ImmutableLegalEntityDiscountingProvider	toImmutableLegalEntityDiscountingProvider()	Converts this provider to an equivalent ImmutableLegalEntityDiscountingProvider.

Method Detail

getValuationDate

LocalDate getValuationDate()

Gets the valuation date.

The raw data in this provider is calibrated for this date.

Returns:

the valuation date

repoCurveDiscountFactors

RepoCurveDiscountFactors repoCurveDiscountFactors(SecurityId securityId,
                                                  LegalEntityId issuerId,
                                                  Currency currency)

Gets the discount factors from a repo curve based on the security ID, issuer ID and currency.

This searches first for a curve associated with the security iD and currency, and then for a curve associated with the issuer ID and currency.

If the valuation date is on or after the specified date, the discount factor is 1.

Parameters:

securityId - the standard ID of security to get the discount factors for

issuerId - the standard ID of legal entity to get the discount factors for

currency - the currency to get the discount factors for

Returns:

the discount factors

Throws:

IllegalArgumentException - if the discount factors are not available

repoCurveDiscountFactors

RepoCurveDiscountFactors repoCurveDiscountFactors(LegalEntityId issuerId,
                                                  Currency currency)

Gets the discount factors from a repo curve based on the issuer ID and currency.

This searches for a curve associated with the issuer ID and currency.

If the valuation date is on or after the specified date, the discount factor is 1.

Parameters:

issuerId - the standard ID of legal entity to get the discount factors for

currency - the currency to get the discount factors for

Returns:

the discount factors

Throws:

IllegalArgumentException - if the discount factors are not available

issuerCurveDiscountFactors

IssuerCurveDiscountFactors issuerCurveDiscountFactors(LegalEntityId issuerId,
                                                      Currency currency)

Gets the discount factors from an issuer based on the issuer ID and currency.

This searches for a curve associated with the issuer ID and currency.

If the valuation date is on or after the specified date, the discount factor is 1.

Parameters:

issuerId - the standard ID to get the discount factors for

currency - the currency to get the discount factors for

Returns:

the discount factors

Throws:

IllegalArgumentException - if the discount factors are not available

parameterSensitivity

CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities)

Computes the parameter sensitivity.

This computes the CurrencyParameterSensitivities associated with the PointSensitivities. This corresponds to the projection of the point sensitivity to the curve internal parameters representation.

This method handles RepoCurveZeroRateSensitivity and IssuerCurveZeroRateSensitivity. For other sensitivity objects, see RatesProvider.parameterSensitivity(PointSensitivities).

Parameters:

pointSensitivities - the point sensitivity

Returns:

the sensitivity to the curve parameters

data

<T> T data(MarketDataId<T> id)

Gets market data of a specific type.

This is a general purpose mechanism to obtain market data. In general, it is desirable to pass the specific market data needed for pricing into the pricing method. However, in some cases, notably swaps, this is not feasible. It is strongly recommended to clearly state on pricing methods what data is required.

Type Parameters:

T - the type of the value

Parameters:

id - the identifier to find

Returns:

the data associated with the key

Throws:

IllegalArgumentException - if the data is not available

findData

<T> Optional<T> findData(MarketDataName<T> name)

Finds the market data with the specified name.

This is most commonly used to find a Curve using a CurveName. If the market data cannot be found, empty is returned.

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

toImmutableLegalEntityDiscountingProvider

ImmutableLegalEntityDiscountingProvider toImmutableLegalEntityDiscountingProvider()

Converts this provider to an equivalent ImmutableLegalEntityDiscountingProvider.

Returns:

the equivalent immutable legal entity provider