Package com.opengamma.strata.pricer.credit

Class SpreadSensitivityCalculator

java.lang.Object

com.opengamma.strata.pricer.credit.SpreadSensitivityCalculator

Direct Known Subclasses:

AnalyticSpreadSensitivityCalculator, FiniteDifferenceSpreadSensitivityCalculator

public abstract class SpreadSensitivityCalculator
extends Object

The spread sensitivity calculator.

The spread sensitivity, also called CS01, is the sensitivity of the CDS product present value to par spreads of the bucket CDSs. The bucket CDSs do not necessarily correspond to the node point of the input credit curve.

Constructor Summary

Constructors

Constructor	Description
SpreadSensitivityCalculator(AccrualOnDefaultFormula formula)	Constructor with accrual-on-default formula.

Method Summary

Modifier and Type	Method	Description
CurrencyParameterSensitivity	bucketedCs01(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes bucketed CS01 for CDS index using a single credit curve.
CurrencyParameterSensitivity	bucketedCs01(ResolvedCdsIndexTrade trade, List<ResolvedCdsIndexTrade> bucketCdsIndex, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes bucketed CS01 for CDS index using a single credit curve.
CurrencyParameterSensitivity	bucketedCs01(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes bucketed CS01 for CDS.
CurrencyParameterSensitivity	bucketedCs01(ResolvedCdsTrade trade, List<ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes bucketed CS01 for CDS.
protected void	checkCdsBucket(ResolvedCdsTrade trade, List<ResolvedCdsTrade> bucketCds)
protected IsdaCompliantCreditCurveCalibrator	getCalibrator()	Gets the calibrator.
protected IsdaCdsTradePricer	getPricer()	Gets the pricer.
protected DoubleArray	impliedSpread(List<ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)
CurrencyAmount	parallelCs01(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes parallel CS01 for CDS index using a single credit curve.
CurrencyAmount	parallelCs01(ResolvedCdsIndexTrade trade, List<ResolvedCdsIndexTrade> bucketCdsIndex, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes parallel CS01 for CDS index using a single credit curve.
CurrencyAmount	parallelCs01(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes parallel CS01 for CDS.
abstract CurrencyAmount	parallelCs01(ResolvedCdsTrade trade, List<ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes parallel CS01 for CDS.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

SpreadSensitivityCalculator

public SpreadSensitivityCalculator(AccrualOnDefaultFormula formula)

Constructor with accrual-on-default formula.

Parameters:

formula - the accrual-on-default formula

Method Detail

getPricer

protected IsdaCdsTradePricer getPricer()

Gets the pricer.

Returns:

the pricer

getCalibrator

protected IsdaCompliantCreditCurveCalibrator getCalibrator()

Gets the calibrator.

Returns:

the calibrator

parallelCs01

public CurrencyAmount parallelCs01(ResolvedCdsTrade trade,
                                   CreditRatesProvider ratesProvider,
                                   ReferenceData refData)

Computes parallel CS01 for CDS.

The relevant credit curve must be stored in RatesProvider.

The CDS trades used in the curve calibration are reused as bucket CDS by this method. Thus the credit curve must store ResolvedTradeParameterMetadata.

Parameters:

trade - the trade

ratesProvider - the rates provider

refData - the reference data

Returns:

the parallel CS01

parallelCs01

public abstract CurrencyAmount parallelCs01(ResolvedCdsTrade trade,
                                            List<ResolvedCdsTrade> bucketCds,
                                            CreditRatesProvider ratesProvider,
                                            ReferenceData refData)

Computes parallel CS01 for CDS.

The relevant credit curve must be stored in RatesProvider.

Parameters:

trade - the trade

bucketCds - the CDS bucket

ratesProvider - the rates provider

refData - the reference data

Returns:

the parallel CS01

bucketedCs01

public CurrencyParameterSensitivity bucketedCs01(ResolvedCdsTrade trade,
                                                 CreditRatesProvider ratesProvider,
                                                 ReferenceData refData)

Computes bucketed CS01 for CDS.

The relevant credit curve must be stored in RatesProvider.

The CDS trades used in the curve calibration are reused as bucket CDS by this method. Thus the credit curve must store ResolvedTradeParameterMetadata.

Parameters:

trade - the trade

ratesProvider - the rates provider

refData - the reference data

Returns:

the bucketed CS01

bucketedCs01

public CurrencyParameterSensitivity bucketedCs01(ResolvedCdsTrade trade,
                                                 List<ResolvedCdsTrade> bucketCds,
                                                 CreditRatesProvider ratesProvider,
                                                 ReferenceData refData)

Computes bucketed CS01 for CDS.

The relevant credit curve must be stored in RatesProvider.

Parameters:

trade - the trade

bucketCds - the CDS bucket

ratesProvider - the rates provider

refData - the reference data

Returns:

the bucketed CS01

parallelCs01

public CurrencyAmount parallelCs01(ResolvedCdsIndexTrade trade,
                                   CreditRatesProvider ratesProvider,
                                   ReferenceData refData)

Computes parallel CS01 for CDS index using a single credit curve.

This is coherent to the pricer IsdaHomogenousCdsIndexTradePricer. The relevant credit curve must be stored in RatesProvider.

The CDS index trades used in the curve calibration are reused as bucket CDS index by this method. Thus the credit curve must store ResolvedTradeParameterMetadata.

Parameters:

trade - the trade

ratesProvider - the rates provider

refData - the reference data

Returns:

the parallel CS01

parallelCs01

public CurrencyAmount parallelCs01(ResolvedCdsIndexTrade trade,
                                   List<ResolvedCdsIndexTrade> bucketCdsIndex,
                                   CreditRatesProvider ratesProvider,
                                   ReferenceData refData)

Computes parallel CS01 for CDS index using a single credit curve.

This is coherent to the pricer IsdaHomogenousCdsIndexTradePricer. The relevant credit curve must be stored in RatesProvider.

Parameters:

trade - the trade

bucketCdsIndex - the CDS index bucket

ratesProvider - the rates provider

refData - the reference data

Returns:

the parallel CS01

bucketedCs01

public CurrencyParameterSensitivity bucketedCs01(ResolvedCdsIndexTrade trade,
                                                 CreditRatesProvider ratesProvider,
                                                 ReferenceData refData)

Computes bucketed CS01 for CDS index using a single credit curve.

This is coherent to the pricer IsdaHomogenousCdsIndexTradePricer. The relevant credit curve must be stored in RatesProvider.

The CDS index trades used in the curve calibration are reused as bucket CDS index by this method. Thus the credit curve must store ResolvedTradeParameterMetadata.

Parameters:

trade - the trade

ratesProvider - the rates provider

refData - the reference data

Returns:

the bucketed CS01

bucketedCs01

public CurrencyParameterSensitivity bucketedCs01(ResolvedCdsIndexTrade trade,
                                                 List<ResolvedCdsIndexTrade> bucketCdsIndex,
                                                 CreditRatesProvider ratesProvider,
                                                 ReferenceData refData)

Computes bucketed CS01 for CDS index using a single credit curve.

This is coherent to the pricer IsdaHomogenousCdsIndexTradePricer. The relevant credit curve must be stored in RatesProvider.

Parameters:

trade - the trade

bucketCdsIndex - the CDS index bucket

ratesProvider - the rates provider

refData - the reference data

Returns:

the bucketed CS01

checkCdsBucket

protected void checkCdsBucket(ResolvedCdsTrade trade,
                              List<ResolvedCdsTrade> bucketCds)

impliedSpread

protected DoubleArray impliedSpread(List<ResolvedCdsTrade> bucketCds,
                                    CreditRatesProvider ratesProvider,
                                    ReferenceData refData)