Package com.opengamma.strata.pricer.credit

Interface RecoveryRates

All Superinterfaces:

MarketDataView, ParameterizedData

All Known Implementing Classes:

ConstantRecoveryRates

public interface RecoveryRates
extends MarketDataView, ParameterizedData

Recovery rates.

This represents the recovery rates of a legal entity.

Method Summary

Modifier and Type	Method	Description
StandardId	getLegalEntityId()	Gets the standard identifier of a legal entity.
LocalDate	getValuationDate()	Gets the valuation date.
static RecoveryRates	of(StandardId legalEntityId, LocalDate valuationDate, Curve curve)	Obtains an instance from a curve.
double	recoveryRate(LocalDate date)	Gets the recovery rate for the specified date.
RecoveryRates	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
RecoveryRates	withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.

Methods inherited from interface com.opengamma.strata.market.MarketDataView

findData

Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData

findParameterIndex, getParameter, getParameterCount, getParameterMetadata

Method Detail

of

static RecoveryRates of(StandardId legalEntityId,
                        LocalDate valuationDate,
                        Curve curve)

Obtains an instance from a curve.

If the curve is ConstantCurve, ConstantRecoveryRates is always instantiated.

Parameters:

legalEntityId - the legal entity identifier

valuationDate - the valuation date for which the curve is valid

curve - the underlying curve

Returns:

the instance

getValuationDate

LocalDate getValuationDate()

Gets the valuation date.

Specified by:

getValuationDate in interface MarketDataView

Returns:

the valuation date

getLegalEntityId

StandardId getLegalEntityId()

Gets the standard identifier of a legal entity.

Returns:

the legal entity ID

recoveryRate

double recoveryRate(LocalDate date)

Gets the recovery rate for the specified date.

Parameters:

date - the date

Returns:

the recovery rate

withParameter

RecoveryRates 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 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

RecoveryRates 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 ParameterizedData

Parameters:

perturbation - the perturbation to apply

Returns:

a parameterized data instance based on this with the specified perturbation applied