Package com.opengamma.strata.pricer.credit

Interface CreditRatesProvider

All Known Implementing Classes:

ImmutableCreditRatesProvider

public interface CreditRatesProvider

The rates provider, used to calculate analytic measures.

The primary usage of this provider is to price credit default swaps on a legal entity. This includes credit curves, discounting curves and recovery rate curves.

Method Summary

Modifier and Type	Method	Description
CreditDiscountFactors	discountFactors(Currency currency)	Gets the discount factors for a currency.
<T> Optional<T>	findData(MarketDataName<T> name)	Finds the market data with the specified name.
LocalDate	getValuationDate()	Gets the valuation date.
CurrencyParameterSensitivities	parameterSensitivity(PointSensitivities pointSensitivities)	Computes the parameter sensitivity.
RecoveryRates	recoveryRates(StandardId legalEntityId)	Gets the recovery rates for a standard ID.
CurrencyParameterSensitivity	singleCreditCurveParameterSensitivity(PointSensitivities pointSensitivities, StandardId legalEntityId, Currency currency)	Computes the parameter sensitivity for a specific credit curve.
CurrencyParameterSensitivity	singleDiscountCurveParameterSensitivity(PointSensitivities pointSensitivities, Currency currency)	Computes the parameter sensitivity for a specific discount curve.
LegalEntitySurvivalProbabilities	survivalProbabilities(StandardId legalEntityId, Currency currency)	Gets the survival probabilities for a standard ID and a currency.
ImmutableCreditRatesProvider	toImmutableCreditRatesProvider()	Converts this provider to an equivalent ImmutableCreditRatesProvider.

Method Detail

getValuationDate

LocalDate getValuationDate()

Gets the valuation date.

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

Returns:

the valuation date

survivalProbabilities

LegalEntitySurvivalProbabilities survivalProbabilities(StandardId legalEntityId,
                                                       Currency currency)

Gets the survival probabilities for a standard ID and a currency.

If both the standard ID and currency are matched, the relevant LegalEntitySurvivalProbabilities is returned.

If the valuation date is on the specified date, the survival probability is 1.

Parameters:

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

currency - the currency to get the discount factors for

Returns:

the survival probabilities

Throws:

IllegalArgumentException - if the survival probabilities are not available

discountFactors

CreditDiscountFactors discountFactors(Currency currency)

Gets the discount factors for a currency.

The discount factor represents the time value of money for the specified currency when comparing the valuation date to the specified date.

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

Parameters:

currency - the currency to get the discount factors for

Returns:

the discount factors for the specified currency

recoveryRates

RecoveryRates recoveryRates(StandardId legalEntityId)

Gets the recovery rates for a standard ID.

If both the standard ID and currency are matched, the relevant RecoveryRates is returned.

Parameters:

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

Returns:

the recovery rates

Throws:

IllegalArgumentException - if the recovery rates 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.

The sensitivities handled here are CreditCurveZeroRateSensitivity, ZeroRateSensitivity. For the other sensitivity objects, use RatesProvider instead.

Parameters:

pointSensitivities - the point sensitivity

Returns:

the sensitivity to the curve parameters

singleCreditCurveParameterSensitivity

CurrencyParameterSensitivity singleCreditCurveParameterSensitivity(PointSensitivities pointSensitivities,
                                                                   StandardId legalEntityId,
                                                                   Currency currency)

Computes the parameter sensitivity for a specific credit curve.

The credit curve is specified by legalEntityId and currency.

Parameters:

pointSensitivities - the point sensitivity

legalEntityId - the legal entity

currency - the currency

Returns:

the sensitivity to the curve parameters

singleDiscountCurveParameterSensitivity

CurrencyParameterSensitivity singleDiscountCurveParameterSensitivity(PointSensitivities pointSensitivities,
                                                                     Currency currency)

Computes the parameter sensitivity for a specific discount curve.

The discount curve is specified by currency.

Parameters:

pointSensitivities - the point sensitivity

currency - the currency

Returns:

the sensitivity to the curve parameters

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

toImmutableCreditRatesProvider

ImmutableCreditRatesProvider toImmutableCreditRatesProvider()

Converts this provider to an equivalent ImmutableCreditRatesProvider.

Returns:

the equivalent immutable legal entity provider