Package com.opengamma.strata.product.credit

Class CdsIndex

java.lang.Object

com.opengamma.strata.product.credit.CdsIndex

All Implemented Interfaces:

Resolvable<ResolvedCdsIndex>, Product, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class CdsIndex
extends Object
implements Product, Resolvable<ResolvedCdsIndex>, org.joda.beans.ImmutableBean, Serializable

A CDS (portfolio) index product.

A CDS index is a portofolio of single name credit default swaps. The protection buyer periodically pays fixed coupons to the protection seller until the expiry, and in return, the protection buyer receives the bond of a defaulted constituent legal entity for par.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	CdsIndex.Builder	The bean-builder for CdsIndex.
static class	CdsIndex.Meta	The meta-bean for CdsIndex.

Method Summary

Modifier and Type	Method	Description
ImmutableSet<Currency>	allCurrencies()	Returns the set of currencies the product refers to.
static CdsIndex.Builder	builder()	Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
BuySell	getBuySell()	Gets whether the CDS index is buy or sell.
StandardId	getCdsIndexId()	Gets the CDS index identifier.
Currency	getCurrency()	Gets the currency of the CDS index.
DayCount	getDayCount()	Gets the day count convention.
double	getFixedRate()	Gets the fixed coupon rate.
ImmutableList<StandardId>	getLegalEntityIds()	Gets the legal entity identifiers.
double	getNotional()	Gets the notional amount, must be non-negative.
PaymentOnDefault	getPaymentOnDefault()	Gets the payment on default.
PeriodicSchedule	getPaymentSchedule()	Gets the payment schedule.
ProtectionStartOfDay	getProtectionStart()	Gets the protection start of the day.
DaysAdjustment	getSettlementDateOffset()	Gets the number of days between valuation date and settlement date.
DaysAdjustment	getStepinDateOffset()	Gets the number of days between valuation date and step-in date.
int	hashCode()
static CdsIndex.Meta	meta()	The meta-bean for CdsIndex.
CdsIndex.Meta	metaBean()
static CdsIndex	of(BuySell buySell, StandardId cdsIndexId, List<StandardId> legalEntityIds, Currency currency, double notional, LocalDate startDate, LocalDate endDate, Frequency paymentFrequency, HolidayCalendarId calendar, double fixedRate)	Creates an instance of a standardized CDS index.
ResolvedCdsIndex	resolve(ReferenceData refData)	Resolves this object using the specified reference data.
CdsIndex.Builder	toBuilder()	Returns a builder that allows this bean to be mutated.
String	toString()

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.product.Product

allPaymentCurrencies, isCrossCurrency

Method Detail

of

public static CdsIndex of(BuySell buySell,
                          StandardId cdsIndexId,
                          List<StandardId> legalEntityIds,
                          Currency currency,
                          double notional,
                          LocalDate startDate,
                          LocalDate endDate,
                          Frequency paymentFrequency,
                          HolidayCalendarId calendar,
                          double fixedRate)

Creates an instance of a standardized CDS index.

Parameters:

buySell - buy or sell

cdsIndexId - the CDS index ID

legalEntityIds - the legal entity IDs

currency - the currency

notional - the notional

startDate - the start date

endDate - the end date

calendar - the calendar

paymentFrequency - the payment frequency

fixedRate - the fixed coupon rate

Returns:

the instance

allCurrencies

public ImmutableSet<Currency> allCurrencies()

Description copied from interface: Product

Returns the set of currencies the product refers to.

This returns the complete set of currencies, not just the payment currencies. For example, the sets will differ when one of the currencies is non-deliverable.

Specified by:

allCurrencies in interface Product

Returns:

the set of currencies the product refers to

resolve

public ResolvedCdsIndex resolve(ReferenceData refData)

Description copied from interface: Resolvable

Resolves this object using the specified reference data.

This converts the object implementing this interface to the equivalent resolved form. All ReferenceDataId identifiers in this instance will be resolved. The resolved form will typically be a type that is optimized for pricing.

Resolved objects may be bound to data that changes over time, such as holiday calendars. If the data changes, such as the addition of a new holiday, the resolved form will not be updated. Care must be taken when placing the resolved form in a cache or persistence layer.

Specified by:

resolve in interface Resolvable<ResolvedCdsIndex>

Parameters:

refData - the reference data to use when resolving

Returns:

the resolved instance

meta

public static CdsIndex.Meta meta()

The meta-bean for CdsIndex.

Returns:

the meta-bean, not null

builder

public static CdsIndex.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public CdsIndex.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getBuySell

public BuySell getBuySell()

Gets whether the CDS index is buy or sell.

A value of 'Buy' implies buying protection, where the fixed coupon is paid and the protection is received in the event of default. A value of 'Sell' implies selling protection, where the fixed coupon is received and the protection is paid in the event of default.

Returns:

the value of the property, not null

getCdsIndexId

public StandardId getCdsIndexId()

Gets the CDS index identifier.

This identifier is used to refer this CDS index product.

Returns:

the value of the property, not null

getLegalEntityIds

public ImmutableList<StandardId> getLegalEntityIds()

Gets the legal entity identifiers.

These identifiers refer to the reference legal entities of the CDS index.

Returns:

the value of the property, not null

getCurrency

public Currency getCurrency()

Gets the currency of the CDS index.

The amounts of the notional are expressed in terms of this currency.

Returns:

the value of the property, not null

getNotional

public double getNotional()

Gets the notional amount, must be non-negative.

The fixed notional amount applicable during the lifetime of the CDS. The currency of the notional is specified by currency.

Returns:

the value of the property

getPaymentSchedule

public PeriodicSchedule getPaymentSchedule()

Gets the payment schedule.

This is used to define the payment periods.

Returns:

the value of the property, not null

getFixedRate

public double getFixedRate()

Gets the fixed coupon rate.

This must be represented in decimal form.

Returns:

the value of the property

getDayCount

public DayCount getDayCount()

Gets the day count convention.

This is used to convert dates to a numerical value.

When building, this will default to 'Act/360'.

Returns:

the value of the property, not null

getPaymentOnDefault

public PaymentOnDefault getPaymentOnDefault()

Gets the payment on default.

Whether the accrued premium is paid in the event of a default.

When building, this will default to 'AccruedPremium'.

Returns:

the value of the property, not null

getProtectionStart

public ProtectionStartOfDay getProtectionStart()

Gets the protection start of the day.

When the protection starts on the start date.

When building, this will default to 'Beginning'.

Returns:

the value of the property, not null

getStepinDateOffset

public DaysAdjustment getStepinDateOffset()

Gets the number of days between valuation date and step-in date.

The step-in date is also called protection effective date. It is usually 1 calendar day for standardized CDS index contracts.

When building, this will default to 1 calendar day.

Returns:

the value of the property, not null

getSettlementDateOffset

public DaysAdjustment getSettlementDateOffset()

Gets the number of days between valuation date and settlement date.

It is usually 3 business days for standardized CDS index contracts.

When building, this will default to 3 business days in the calendar of the payment schedule.

Returns:

the value of the property, not null

toBuilder

public CdsIndex.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, 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