Package com.opengamma.strata.pricer.credit

Class LegalEntitySurvivalProbabilities

java.lang.Object

com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities

All Implemented Interfaces:

Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class LegalEntitySurvivalProbabilities
extends Object
implements org.joda.beans.ImmutableBean, Serializable

The legal entity survival probabilities.

This represents the survival probabilities of a legal entity for a single currency.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
boolean	equals(Object obj)
Currency	getCurrency()	Gets the currency.
StandardId	getLegalEntityId()	Gets the legal entity identifier.
DoubleArray	getParameterKeys()	Obtains the parameter keys of the underlying curve.
CreditDiscountFactors	getSurvivalProbabilities()	Gets the underlying curve.
LocalDate	getValuationDate()	Gets the valuation date.
int	hashCode()
static LegalEntitySurvivalProbabilities.Meta	meta()	The meta-bean for LegalEntitySurvivalProbabilities.
LegalEntitySurvivalProbabilities.Meta	metaBean()
static LegalEntitySurvivalProbabilities	of(StandardId legalEntityId, CreditDiscountFactors survivalProbabilities)	Creates an instance.
CurrencyParameterSensitivities	parameterSensitivity(CreditCurveZeroRateSensitivity pointSensitivity)	Calculates the parameter sensitivity from the point sensitivity.
double	survivalProbability(LocalDate date)	Gets the survival probability for the specified date.
String	toString()
double	zeroRate(double yearFraction)	Gets the continuously compounded zero hazard rate for specified year fraction.
CreditCurveZeroRateSensitivity	zeroRatePointSensitivity(double yearFraction)	Calculates the zero rate point sensitivity at the specified year fraction.
CreditCurveZeroRateSensitivity	zeroRatePointSensitivity(double yearFraction, Currency sensitivityCurrency)	Calculates the zero rate point sensitivity at the specified year fraction specifying the currency of the sensitivity.
CreditCurveZeroRateSensitivity	zeroRatePointSensitivity(LocalDate date)	Calculates the zero rate point sensitivity at the specified date.
CreditCurveZeroRateSensitivity	zeroRatePointSensitivity(LocalDate date, Currency sensitivityCurrency)	Calculates the zero rate point sensitivity at the specified date 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

Method Detail

of

public static LegalEntitySurvivalProbabilities of(StandardId legalEntityId,
                                                  CreditDiscountFactors survivalProbabilities)

Creates an instance.

Parameters:

legalEntityId - the legal entity ID

survivalProbabilities - the survival probabilities

Returns:

the instance

getCurrency

public Currency getCurrency()

Gets the currency.

The currency that survival probabilities are provided for.

Returns:

the currency

getValuationDate

public LocalDate getValuationDate()

Gets the valuation date.

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

Returns:

the valuation date

getParameterKeys

public DoubleArray getParameterKeys()

Obtains the parameter keys of the underlying curve.

Returns:

the parameter keys

survivalProbability

public double survivalProbability(LocalDate date)

Gets the survival probability for the specified date.

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

Parameters:

date - the date

Returns:

the survival probability

Throws:

RuntimeException - if the value cannot be obtained

zeroRate

public double zeroRate(double yearFraction)

Gets the continuously compounded zero hazard rate for specified year fraction.

Parameters:

yearFraction - the year fraction

Returns:

the zero hazard rate

Throws:

RuntimeException - if the value cannot be obtained

zeroRatePointSensitivity

public CreditCurveZeroRateSensitivity zeroRatePointSensitivity(LocalDate date)

Calculates the zero rate point sensitivity at the specified date.

This returns a sensitivity instance referring to the zero hazard rate sensitivity of the points that were queried in the market data. The sensitivity typically has the value (-survivalProbability * yearFraction). The sensitivity refers to the result of survivalProbability(LocalDate).

Parameters:

date - the date

Returns:

the point sensitivity of the zero rate

Throws:

RuntimeException - if the result cannot be calculated

zeroRatePointSensitivity

public CreditCurveZeroRateSensitivity zeroRatePointSensitivity(double yearFraction)

Calculates the zero rate point sensitivity at the specified year fraction.

This returns a sensitivity instance referring to the zero hazard rate sensitivity of the points that were queried in the market data. The sensitivity typically has the value (-survivalProbability * yearFraction). The sensitivity refers to the result of survivalProbability(LocalDate).

Parameters:

yearFraction - the year fraction

Returns:

the point sensitivity of the zero rate

Throws:

RuntimeException - if the result cannot be calculated

zeroRatePointSensitivity

public CreditCurveZeroRateSensitivity zeroRatePointSensitivity(LocalDate date,
                                                               Currency sensitivityCurrency)

Calculates the zero rate point sensitivity at the specified date specifying the currency of the sensitivity.

This returns a sensitivity instance referring to the zero hazard rate sensitivity of the points that were queried in the market data. The sensitivity typically has the value (-survivalProbability * yearFraction). The sensitivity refers to the result of survivalProbability(LocalDate).

This method allows the currency of the sensitivity to differ from the currency of the market data.

Parameters:

date - the date

sensitivityCurrency - the currency of the sensitivity

Returns:

the point sensitivity of the zero rate

Throws:

RuntimeException - if the result cannot be calculated

zeroRatePointSensitivity

public CreditCurveZeroRateSensitivity zeroRatePointSensitivity(double yearFraction,
                                                               Currency sensitivityCurrency)

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 hazard rate sensitivity of the points that were queried in the market data. The sensitivity typically has the value (-survivalProbability * yearFraction). The sensitivity refers to the result of survivalProbability(LocalDate).

This method allows the currency of the sensitivity to differ from the currency of the market data.

Parameters:

yearFraction - the year fraction

sensitivityCurrency - the currency of the sensitivity

Returns:

the point sensitivity of the zero rate

Throws:

RuntimeException - if the result cannot be calculated

parameterSensitivity

public CurrencyParameterSensitivities parameterSensitivity(CreditCurveZeroRateSensitivity pointSensitivity)

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.

Parameters:

pointSensitivity - the point sensitivity to convert

Returns:

the parameter sensitivity

Throws:

RuntimeException - if the result cannot be calculated

meta

public static LegalEntitySurvivalProbabilities.Meta meta()

The meta-bean for LegalEntitySurvivalProbabilities.

Returns:

the meta-bean, not null

metaBean

public LegalEntitySurvivalProbabilities.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

getSurvivalProbabilities

public CreditDiscountFactors getSurvivalProbabilities()

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