java.lang.Object
- com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors

All Implemented Interfaces:

MarketDataView, ParameterizedData, CreditDiscountFactors, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class IsdaCreditDiscountFactors
extends Object
implements CreditDiscountFactors, org.joda.beans.ImmutableBean, Serializable
```
ISDA compliant zero rate discount factors.
This is used to price credit default swaps under ISDA standard model.
The underlying curve must be zero rate curve represented by InterpolatedNodalCurve for multiple data points and InterpolatedNodalCurve for a single data point. The zero rates must be interpolated by ProductLinearCurveInterpolator and extrapolated by FlatCurveExtrapolator on the left and ProductLinearCurveExtrapolator on the right.

See Also:

Serialized Form

Nested Class Summary

Nested Classes
Modifier and Type Class Description

static class IsdaCreditDiscountFactors.Meta
The meta-bean for IsdaCreditDiscountFactors.

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method	Description
`CurrencyParameterSensitivities`	`createParameterSensitivity(Currency currency, DoubleArray sensitivities)`	Creates the parameter sensitivity when the sensitivity values are known.
`double`	`discountFactor(double yearFraction)`	Gets the discount factor for specified year fraction.
`boolean`	`equals(Object obj)`
`<T> Optional<T>`	`findData(MarketDataName<T> name)`	Finds the market data with the specified name.
`OptionalInt`	`findParameterIndex(ParameterMetadata metadata)`	Finds the parameter index of the specified metadata.
`Currency`	`getCurrency()`	Gets the currency that the discount factors are for.
`NodalCurve`	`getCurve()`	Gets the underlying curve.
`DayCount`	`getDayCount()`	Obtains day count convention.
`double`	`getParameter(int parameterIndex)`	Gets the value of the parameter at the specified index.
`int`	`getParameterCount()`	Gets the number of parameters.
`DoubleArray`	`getParameterKeys()`	Obtains the parameter keys of the underlying curve.
`ParameterMetadata`	`getParameterMetadata(int parameterIndex)`	Gets the metadata of the parameter at the specified index.
`LocalDate`	`getValuationDate()`	Gets the valuation date.
`int`	`hashCode()`
`boolean`	`isIsdaCompliant()`	Checks if the instance is based on an ISDA compliant curve.
`static IsdaCreditDiscountFactors.Meta`	`meta()`	The meta-bean for `IsdaCreditDiscountFactors`.
`IsdaCreditDiscountFactors.Meta`	`metaBean()`
`static IsdaCreditDiscountFactors`	`of(Currency currency, LocalDate valuationDate, CurveName curveName, DoubleArray yearFractions, DoubleArray zeroRates, DayCount dayCount)`	Creates an instance from year fraction and zero rate values.
`static IsdaCreditDiscountFactors`	`of(Currency currency, LocalDate valuationDate, NodalCurve curve)`	Creates an instance from the underlying curve.
`CurrencyParameterSensitivities`	`parameterSensitivity(ZeroRateSensitivity pointSensitivity)`	Calculates the parameter sensitivity from the point sensitivity.
`double`	`relativeYearFraction(LocalDate date)`	Calculates the relative time between the valuation date and the specified date.
`DiscountFactors`	`toDiscountFactors()`	Creates an instance of `DiscountFactors`.
`String`	`toString()`
`IsdaCreditDiscountFactors`	`withCurve(NodalCurve curve)`	Returns a new instance with a different curve.
`IsdaCreditDiscountFactors`	`withParameter(int parameterIndex, double newValue)`	Returns a copy of the data with the value at the specified index altered.
`IsdaCreditDiscountFactors`	`withPerturbation(ParameterPerturbation perturbation)`	Returns a perturbed copy of the data.
`double`	`zeroRate(double yearFraction)`	Gets the continuously compounded zero rate for specified year fraction.
`ZeroRateSensitivity`	`zeroRatePointSensitivity(double yearFraction, Currency sensitivityCurrency)`	Calculates the zero rate point sensitivity at the specified year fraction specifying the currency of the sensitivity.

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.pricer.credit.CreditDiscountFactors
discountFactor, zeroRate, zeroRatePointSensitivity, zeroRatePointSensitivity, zeroRatePointSensitivity

- Method Detail
  - of
```
public static IsdaCreditDiscountFactors of(Currency currency,
                                           LocalDate valuationDate,
                                           NodalCurve curve)
```
    Creates an instance from the underlying curve.
    
    Parameters:
    
    currency - the currency
    
    valuationDate - the valuation date
    
    curve - the underlying curve
    
    Returns:
    
    the instance
  - of
```
public static IsdaCreditDiscountFactors of(Currency currency,
                                           LocalDate valuationDate,
                                           CurveName curveName,
                                           DoubleArray yearFractions,
                                           DoubleArray zeroRates,
                                           DayCount dayCount)
```
    Creates an instance from year fraction and zero rate values.
    
    Parameters:
    
    currency - the currency
    
    valuationDate - the valuation date
    
    curveName - the curve name
    
    yearFractions - the year fractions
    
    zeroRates - the zero rates
    
    dayCount - the day count
    
    Returns:
    
    the instance
  - isIsdaCompliant
```
public boolean isIsdaCompliant()
```
    Description copied from interface: CreditDiscountFactors
    
    Checks if the instance is based on an ISDA compliant curve.
    This returns 'false' by default, and should be overridden when needed.
    
    Specified by:
    
    isIsdaCompliant in interface CreditDiscountFactors
    
    Returns:
    
    true if this is an ISDA compliant curve, false otherwise
  - findData
```
public <T> Optional<T> findData(MarketDataName<T> name)
```
    Description copied from interface: MarketDataView
    
    Finds the market data with the specified name.
    This is most commonly used to find an underlying curve or surface by name. If the market data cannot be found, empty is returned.
    
    Specified by:
    
    findData in interface MarketDataView
    
    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
  - getParameterCount
```
public int getParameterCount()
```
    Description copied from interface: ParameterizedData
    
    Gets the number of parameters.
    This returns the number of parameters, which can be used to create a loop to access the other methods on this interface.
    
    Specified by:
    
    getParameterCount in interface ParameterizedData
    
    Returns:
    
    the number of parameters
  - getParameter
```
public double getParameter(int parameterIndex)
```
    Description copied from interface: ParameterizedData
    
    Gets the value of the parameter at the specified index.
    
    Specified by:
    
    getParameter in interface ParameterizedData
    
    Parameters:
    
    parameterIndex - the zero-based index of the parameter to get
    
    Returns:
    
    the value of the parameter
  - getParameterKeys
```
public DoubleArray getParameterKeys()
```
    Description copied from interface: CreditDiscountFactors
    
    Obtains the parameter keys of the underlying curve.
    
    Specified by:
    
    getParameterKeys in interface CreditDiscountFactors
    
    Returns:
    
    the parameter keys
  - getParameterMetadata
```
public ParameterMetadata getParameterMetadata(int parameterIndex)
```
    Description copied from interface: ParameterizedData
    
    Gets the metadata of the parameter at the specified index.
    If there is no specific parameter metadata, an empty instance will be returned.
    
    Specified by:
    
    getParameterMetadata in interface ParameterizedData
    
    Parameters:
    
    parameterIndex - the zero-based index of the parameter to get
    
    Returns:
    
    the metadata of the parameter
  - findParameterIndex
```
public OptionalInt findParameterIndex(ParameterMetadata metadata)
```
    Description copied from interface: ParameterizedData
    
    Finds the parameter index of the specified metadata.
    If the parameter metadata is not matched, an empty optional will be returned.
    
    Specified by:
    
    findParameterIndex in interface ParameterizedData
    
    Parameters:
    
    metadata - the parameter metadata to find the index of
    
    Returns:
    
    the index of the parameter
  - withParameter
```
public IsdaCreditDiscountFactors withParameter(int parameterIndex,
                                               double newValue)
```
    Description copied from interface: ParameterizedData
    
    Returns a copy of the data with the value at the specified index altered.
    This instance is immutable and unaffected by this method call.
    
    Specified by:
    
    withParameter in interface CreditDiscountFactors
    
    Specified by:
    
    withParameter in interface ParameterizedData
    
    Parameters:
    
    parameterIndex - the zero-based index of the parameter to get
    
    newValue - the new value for the specified parameter
    
    Returns:
    
    a parameterized data instance based on this with the specified parameter altered
  - withPerturbation
```
public IsdaCreditDiscountFactors withPerturbation(ParameterPerturbation perturbation)
```
    Description copied from interface: ParameterizedData
    
    Returns a perturbed copy of the data.
    The perturbation instance will be invoked once for each parameter in this instance, returning the perturbed value for that parameter. The result of this method is a new instance that is based on those perturbed values.
    This instance is immutable and unaffected by this method call.
    
    Specified by:
    
    withPerturbation in interface CreditDiscountFactors
    
    Specified by:
    
    withPerturbation in interface ParameterizedData
    
    Parameters:
    
    perturbation - the perturbation to apply
    
    Returns:
    
    a parameterized data instance based on this with the specified perturbation applied
  - getDayCount
```
public DayCount getDayCount()
```
    Description copied from interface: CreditDiscountFactors
    
    Obtains day count convention.
    This is typically the day count convention of the underlying curve.
    
    Specified by:
    
    getDayCount in interface CreditDiscountFactors
    
    Returns:
    
    the day count
  - relativeYearFraction
```
public double relativeYearFraction(LocalDate date)
```
    Description copied from interface: CreditDiscountFactors
    
    Calculates the relative time between the valuation date and the specified date.
    The double value returned from this method is used as the input to other methods. It is typically calculated from a DayCount.
    
    Specified by:
    
    relativeYearFraction in interface CreditDiscountFactors
    
    Parameters:
    
    date - the date
    
    Returns:
    
    the year fraction
  - discountFactor
```
public double discountFactor(double yearFraction)
```
    Description copied from interface: CreditDiscountFactors
    
    Gets the discount factor for specified year fraction.
    The year fraction must be based on #relativeYearFraction(LocalDate).
    
    Specified by:
    
    discountFactor in interface CreditDiscountFactors
    
    Parameters:
    
    yearFraction - the year fraction
    
    Returns:
    
    the discount factor
  - zeroRate
```
public double zeroRate(double yearFraction)
```
    Description copied from interface: CreditDiscountFactors
    
    Gets the continuously compounded zero rate for specified year fraction.
    The year fraction must be based on #relativeYearFraction(LocalDate).
    
    Specified by:
    
    zeroRate in interface CreditDiscountFactors
    
    Parameters:
    
    yearFraction - the year fraction
    
    Returns:
    
    the zero rate
  - zeroRatePointSensitivity
```
public ZeroRateSensitivity zeroRatePointSensitivity(double yearFraction,
                                                    Currency sensitivityCurrency)
```
    Description copied from interface: CreditDiscountFactors
    
    Calculates the zero rate point sensitivity at the specified year fraction specifying the currency of the sensitivity.
    This returns a sensitivity instance referring to the zero rate sensitivity of the points that were queried in the market data. The sensitivity typically has the value (-discountFactor * yearFraction). The sensitivity refers to the result of CreditDiscountFactors.discountFactor(LocalDate).
    This method allows the currency of the sensitivity to differ from the currency of the market data.
    The year fraction must be based on #relativeYearFraction(LocalDate).
    
    Specified by:
    
    zeroRatePointSensitivity in interface CreditDiscountFactors
    
    Parameters:
    
    yearFraction - the year fraction
    
    sensitivityCurrency - the currency of the sensitivity
    
    Returns:
    
    the point sensitivity of the zero rate
  - parameterSensitivity
```
public CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSensitivity)
```
    Description copied from interface: CreditDiscountFactors
    
    Calculates the parameter sensitivity from the point sensitivity.
    This is used to convert a single point sensitivity to parameter sensitivity. The calculation typically involves multiplying the point and unit sensitivities.
    
    Specified by:
    
    parameterSensitivity in interface CreditDiscountFactors
    
    Parameters:
    
    pointSensitivity - the point sensitivity to convert
    
    Returns:
    
    the parameter sensitivity
  - createParameterSensitivity
```
public CurrencyParameterSensitivities createParameterSensitivity(Currency currency,
                                                                 DoubleArray sensitivities)
```
    Description copied from interface: CreditDiscountFactors
    
    Creates the parameter sensitivity when the sensitivity values are known.
    In most cases, CreditDiscountFactors.parameterSensitivity(ZeroRateSensitivity) should be used and manipulated. However, it can be useful to create parameter sensitivity from pre-computed sensitivity values.
    There will typically be one CurrencyParameterSensitivity for each underlying data structure, such as a curve. For example, if the discount factors are based on a single discount curve, then there will be one CurrencyParameterSensitivity in the result.
    
    Specified by:
    
    createParameterSensitivity in interface CreditDiscountFactors
    
    Parameters:
    
    currency - the currency
    
    sensitivities - the sensitivity values, which must match the parameter count
    
    Returns:
    
    the parameter sensitivity
  - toDiscountFactors
```
public DiscountFactors toDiscountFactors()
```
    Description copied from interface: CreditDiscountFactors
    
    Creates an instance of DiscountFactors.
    
    Specified by:
    
    toDiscountFactors in interface CreditDiscountFactors
    
    Returns:
    
    the instance
  - withCurve
```
public IsdaCreditDiscountFactors withCurve(NodalCurve curve)
```
    Returns a new instance with a different curve.
    
    Parameters:
    
    curve - the new curve
    
    Returns:
    
    the new instance
  - meta
```
public static IsdaCreditDiscountFactors.Meta meta()
```
    The meta-bean for IsdaCreditDiscountFactors.
    
    Returns:
    
    the meta-bean, not null
  - metaBean
```
public IsdaCreditDiscountFactors.Meta metaBean()
```
    Specified by:
    
    metaBean in interface org.joda.beans.Bean
  - getCurrency
```
public Currency getCurrency()
```
    Gets the currency that the discount factors are for.
    
    Specified by:
    
    getCurrency in interface CreditDiscountFactors
    
    Returns:
    
    the value of the property, not null
  - getValuationDate
```
public LocalDate getValuationDate()
```
    Gets the valuation date.
    
    Specified by:
    
    getValuationDate in interface MarketDataView
    
    Returns:
    
    the value of the property, not null
  - getCurve
```
public NodalCurve getCurve()
```
    Gets the underlying curve.
    The metadata of the curve must define a day count.
    
    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

Class IsdaCreditDiscountFactors

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

Methods inherited from interface org.joda.beans.Bean

Methods inherited from interface com.opengamma.strata.pricer.credit.CreditDiscountFactors

Method Detail

of

of

isIsdaCompliant

findData

getParameterCount

getParameter

getParameterKeys

getParameterMetadata

findParameterIndex

withParameter

withPerturbation

getDayCount

relativeYearFraction

discountFactor

zeroRate

zeroRatePointSensitivity

parameterSensitivity

createParameterSensitivity

toDiscountFactors

withCurve

meta

metaBean

getCurrency

getValuationDate

getCurve

equals

hashCode

toString