Package com.opengamma.strata.pricer.credit

Class CreditCurveZeroRateSensitivity

java.lang.Object

com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity

All Implemented Interfaces:

FxConvertible<PointSensitivity>, PointSensitivity, PointSensitivityBuilder, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class CreditCurveZeroRateSensitivity
extends Object
implements PointSensitivity, PointSensitivityBuilder, org.joda.beans.ImmutableBean, Serializable

Point sensitivity to the zero hazard rate curve.

Holds the sensitivity to the zero hazard rate curve at a specific date.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
MutablePointSensitivities	buildInto(MutablePointSensitivities combination)	Builds the point sensitivity, adding to the specified mutable instance.
CreditCurveZeroRateSensitivity	cloned()	Clones the point sensitivity builder.
int	compareKey(PointSensitivity other)	Compares the key of two sensitivities, excluding the point sensitivity value.
CreditCurveZeroRateSensitivity	convertedTo(Currency resultCurrency, FxRateProvider rateProvider)	Converts this instance to an equivalent amount in the specified currency.
boolean	equals(Object obj)
Currency	getCurrency()	Gets the currency of the point sensitivity.
Currency	getCurveCurrency()	Gets the currency of the curve for which the sensitivity is computed.
StandardId	getLegalEntityId()	Gets the legal entity identifier.
double	getSensitivity()	Gets the point sensitivity value.
double	getYearFraction()	Gets the time that was queried, expressed as a year fraction.
ZeroRateSensitivity	getZeroRateSensitivity()	Gets the zero rate sensitivity.
int	hashCode()
CreditCurveZeroRateSensitivity	mapSensitivity(DoubleUnaryOperator operator)	Returns an instance with the specified operation applied to the sensitivities in this builder.
static CreditCurveZeroRateSensitivity.Meta	meta()	The meta-bean for CreditCurveZeroRateSensitivity.
CreditCurveZeroRateSensitivity.Meta	metaBean()
CreditCurveZeroRateSensitivity	multipliedBy(double factor)	Multiplies the sensitivities in this builder by the specified factor.
CreditCurveZeroRateSensitivity	normalize()	Normalizes the point sensitivities by sorting and merging.
static CreditCurveZeroRateSensitivity	of(StandardId legalEntityId, Currency currency, double yearFraction, double sensitivity)	Obtains an instance.
static CreditCurveZeroRateSensitivity	of(StandardId legalEntityId, Currency curveCurrency, double yearFraction, Currency sensitivityCurrency, double sensitivity)	Obtains an instance with sensitivity currency specified.
static CreditCurveZeroRateSensitivity	of(StandardId legalEntityId, ZeroRateSensitivity zeroRateSensitivity)	Obtains an instance from ZeroRateSensitivity and StandardId.
String	toString()
ZeroRateSensitivity	toZeroRateSensitivity()	Obtains the underlying ZeroRateSensitivity.
CreditCurveZeroRateSensitivity	withCurrency(Currency currency)	Returns an instance with the specified sensitivity currency set.
CreditCurveZeroRateSensitivity	withSensitivity(double sensitivity)	Returns an instance with the new point sensitivity value.

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

Methods inherited from interface com.opengamma.strata.market.sensitivity.PointSensitivityBuilder

build, combinedWith

Method Detail

of

public static CreditCurveZeroRateSensitivity of(StandardId legalEntityId,
                                                Currency currency,
                                                double yearFraction,
                                                double sensitivity)

Obtains an instance.

Parameters:

legalEntityId - the legal entity identifier

currency - the currency of the curve and sensitivity

yearFraction - the year fraction that was looked up on the curve

sensitivity - the value of the sensitivity

Returns:

the point sensitivity object

of

public static CreditCurveZeroRateSensitivity of(StandardId legalEntityId,
                                                Currency curveCurrency,
                                                double yearFraction,
                                                Currency sensitivityCurrency,
                                                double sensitivity)

Obtains an instance with sensitivity currency specified.

Parameters:

legalEntityId - the legal entity identifier

curveCurrency - the currency of the curve

yearFraction - the year fraction that was looked up on the curve

sensitivityCurrency - the currency of the sensitivity

sensitivity - the value of the sensitivity

Returns:

the point sensitivity object

of

public static CreditCurveZeroRateSensitivity of(StandardId legalEntityId,
                                                ZeroRateSensitivity zeroRateSensitivity)

Obtains an instance from ZeroRateSensitivity and StandardId.

Parameters:

legalEntityId - the legal entity identifier

zeroRateSensitivity - the zero rate sensitivity

Returns:

the point sensitivity object

getCurrency

public Currency getCurrency()

Description copied from interface: PointSensitivity

Gets the currency of the point sensitivity.

Specified by:

getCurrency in interface PointSensitivity

Returns:

the currency

getSensitivity

public double getSensitivity()

Description copied from interface: PointSensitivity

Gets the point sensitivity value.

Specified by:

getSensitivity in interface PointSensitivity

Returns:

the sensitivity

getCurveCurrency

public Currency getCurveCurrency()

Gets the currency of the curve for which the sensitivity is computed.

Returns:

the curve currency

getYearFraction

public double getYearFraction()

Gets the time that was queried, expressed as a year fraction.

Returns:

the year fraction

withCurrency

public CreditCurveZeroRateSensitivity withCurrency(Currency currency)

Description copied from interface: PointSensitivity

Returns an instance with the specified sensitivity currency set.

The result will consists of the same points, but with the sensitivity currency altered.

Specified by:

withCurrency in interface PointSensitivity

Specified by:

withCurrency in interface PointSensitivityBuilder

Parameters:

currency - the new currency

Returns:

an instance based on this sensitivity with the specified currency

withSensitivity

public CreditCurveZeroRateSensitivity withSensitivity(double sensitivity)

Description copied from interface: PointSensitivity

Returns an instance with the new point sensitivity value.

Specified by:

withSensitivity in interface PointSensitivity

Parameters:

sensitivity - the new sensitivity

Returns:

an instance based on this sensitivity with the specified sensitivity

compareKey

public int compareKey(PointSensitivity other)

Description copied from interface: PointSensitivity

Compares the key of two sensitivities, excluding the point sensitivity value.

If the other point sensitivity is of a different type, the comparison is based solely on the simple class name. If the point sensitivity is of the same type, the comparison must check the key, then the currency, then the date, then any other state.

The comparison by simple class name ensures that all instances of the same type are ordered together.

Specified by:

compareKey in interface PointSensitivity

Parameters:

other - the other sensitivity

Returns:

positive if greater, zero if equal, negative if less

convertedTo

public CreditCurveZeroRateSensitivity convertedTo(Currency resultCurrency,
                                                  FxRateProvider rateProvider)

Description copied from interface: PointSensitivity

Converts this instance to an equivalent amount in the specified currency.

The result will be expressed in terms of the given currency. Any FX conversion that is required will use rates from the provider.

Specified by:

convertedTo in interface FxConvertible<PointSensitivity>

Specified by:

convertedTo in interface PointSensitivity

Parameters:

resultCurrency - the currency of the result

rateProvider - the provider of FX rates

Returns:

the converted instance, which should be expressed in the specified currency

multipliedBy

public CreditCurveZeroRateSensitivity multipliedBy(double factor)

Description copied from interface: PointSensitivityBuilder

Multiplies the sensitivities in this builder by the specified factor.

The result will consist of the same points, but with each sensitivity multiplied.

Builders may be mutable. Once this method is called, this instance must not be used. Instead, the result of the method must be used.

Specified by:

multipliedBy in interface PointSensitivityBuilder

Parameters:

factor - the multiplicative factor

Returns:

the resulting builder, replacing this builder

mapSensitivity

public CreditCurveZeroRateSensitivity mapSensitivity(DoubleUnaryOperator operator)

Description copied from interface: PointSensitivityBuilder

Returns an instance with the specified operation applied to the sensitivities in this builder.

The result will consist of the same points, but with the operator applied to each sensitivity.

This is used to apply a mathematical operation to the sensitivities. For example, the operator could multiply the sensitivities by a constant, or take the inverse.

   inverse = base.mapSensitivities(value -> 1 / value);
 

Builders may be mutable. Once this method is called, this instance must not be used. Instead, the result of the method must be used.

Specified by:

mapSensitivity in interface PointSensitivityBuilder

Parameters:

operator - the operator to be applied to the sensitivities

Returns:

the resulting builder, replacing this builder

normalize

public CreditCurveZeroRateSensitivity normalize()

Description copied from interface: PointSensitivityBuilder

Normalizes the point sensitivities by sorting and merging.

The sensitivities in the builder are sorted and then merged. Any two entries that represent the same curve query are merged. For example, if there are two point sensitivities that were created based on the same curve, currency and fixing date, then the entries are combined, summing the sensitivity value.

Builders may be mutable. Once this method is called, this instance must not be used. Instead, the result of the method must be used.

Specified by:

normalize in interface PointSensitivityBuilder

Returns:

the resulting builder, replacing this builder

buildInto

public MutablePointSensitivities buildInto(MutablePointSensitivities combination)

Description copied from interface: PointSensitivityBuilder

Builds the point sensitivity, adding to the specified mutable instance.

Specified by:

buildInto in interface PointSensitivityBuilder

Parameters:

combination - the combination object to add to

Returns:

the specified mutable point sensitivities instance is returned, for method chaining

cloned

public CreditCurveZeroRateSensitivity cloned()

Description copied from interface: PointSensitivityBuilder

Clones the point sensitivity builder.

This returns a PointSensitivityBuilder instance that is independent from the original. Immutable implementations may return themselves.

Builders may be mutable. Using this method allows a copy of the original to be obtained, so both the original and the clone can be used.

Specified by:

cloned in interface PointSensitivityBuilder

Returns:

the built combined sensitivity

toZeroRateSensitivity

public ZeroRateSensitivity toZeroRateSensitivity()

Obtains the underlying ZeroRateSensitivity.

This creates the zero rate sensitivity object by omitting the legal entity identifier.

Returns:

the point sensitivity object

meta

public static CreditCurveZeroRateSensitivity.Meta meta()

The meta-bean for CreditCurveZeroRateSensitivity.

Returns:

the meta-bean, not null

metaBean

public CreditCurveZeroRateSensitivity.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getLegalEntityId

public StandardId getLegalEntityId()

Gets the legal entity identifier.

This identifier is used for the reference legal entity of a credit derivative.

Returns:

the value of the property, not null

getZeroRateSensitivity

public ZeroRateSensitivity getZeroRateSensitivity()

Gets the zero rate sensitivity.

This stores curve currency, year fraction, sensitivity currency and sensitivity value.

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