## 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

All Methods
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
• #### 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:
ImmutableCreditRatesProvider toImmutableCreditRatesProvider()
Converts this provider to an equivalent ImmutableCreditRatesProvider.