Package com.opengamma.strata.product.credit

Class ResolvedCds

java.lang.Object

com.opengamma.strata.product.credit.ResolvedCds

All Implemented Interfaces:

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

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

A single-name credit default swap (CDS), resolved for pricing.

This is the resolved form of Cds and is an input to the pricers. Applications will typically create a ResolvedCds from a Cds using Cds.resolve(ReferenceData).

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
double	accruedYearFraction(LocalDate stepinDate)	Calculates the accrued premium per fractional spread for unit notional.
static ResolvedCds.Builder	builder()	Returns a builder used to create an instance of the bean.
LocalDate	calculateEffectiveStartDate(LocalDate stepinDate)	Obtains the effective start date from the step-in date.
LocalDate	calculateSettlementDateFromValuation(LocalDate valuationDate, ReferenceData refData)	Calculates the settlement date from the valuation date.
boolean	equals(Object obj)
Optional<CreditCouponPaymentPeriod>	findPeriod(LocalDate date)	Finds the period that contains the specified date.
LocalDate	getAccrualEndDate()	Obtains the accrual end date.
LocalDate	getAccrualStartDate()	Obtains the accrual start date.
BuySell	getBuySell()	Gets whether the CDS is buy or sell.
Currency	getCurrency()	Obtains the currency.
DayCount	getDayCount()	Gets the day count convention.
double	getFixedRate()	Obtains the fixed coupon rate.
StandardId	getLegalEntityId()	Gets the legal entity identifier.
double	getNotional()	Obtains the notional.
PaymentOnDefault	getPaymentOnDefault()	Gets the payment on default.
ImmutableList<CreditCouponPaymentPeriod>	getPaymentPeriods()	Gets the periodic payments based on the fixed rate.
LocalDate	getProtectionEndDate()	Gets the protection end date.
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 ResolvedCds.Meta	meta()	The meta-bean for ResolvedCds.
ResolvedCds.Meta	metaBean()
ResolvedCds.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

Method Detail

getAccrualStartDate

public LocalDate getAccrualStartDate()

Obtains the accrual start date.

In general this is different from the protection start date. Use stepinDateOffset to compute the protection start date.

Returns:

the accrual start date

getAccrualEndDate

public LocalDate getAccrualEndDate()

Obtains the accrual end date.

Returns:

the accrual end date

getNotional

public double getNotional()

Obtains the notional.

Returns:

the notional

getCurrency

public Currency getCurrency()

Obtains the currency.

Returns:

the currency

getFixedRate

public double getFixedRate()

Obtains the fixed coupon rate.

Returns:

the fixed rate

calculateEffectiveStartDate

public LocalDate calculateEffectiveStartDate(LocalDate stepinDate)

Obtains the effective start date from the step-in date.

Parameters:

stepinDate - the step-in date

Returns:

the effective start date

calculateSettlementDateFromValuation

public LocalDate calculateSettlementDateFromValuation(LocalDate valuationDate,
                                                      ReferenceData refData)

Calculates the settlement date from the valuation date.

Parameters:

valuationDate - the valuation date

refData - the reference data to use

Returns:

the settlement date

findPeriod

public Optional<CreditCouponPaymentPeriod> findPeriod(LocalDate date)

Finds the period that contains the specified date.

The search is performed using unadjusted dates.

Parameters:

date - the date to find the period for

Returns:

the period, empty if not found

Throws:

IllegalArgumentException - if more than one period matches

accruedYearFraction

public double accruedYearFraction(LocalDate stepinDate)

Calculates the accrued premium per fractional spread for unit notional.

Parameters:

stepinDate - the step-in date

Returns:

the accrued year fraction

meta

public static ResolvedCds.Meta meta()

The meta-bean for ResolvedCds.

Returns:

the meta-bean, not null

builder

public static ResolvedCds.Builder builder()

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

Returns:

the builder, not null

metaBean

public ResolvedCds.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getBuySell

public BuySell getBuySell()

Gets whether the CDS 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

getLegalEntityId

public StandardId getLegalEntityId()

Gets the legal entity identifier.

This identifier is used for the reference legal entity of the CDS.

Returns:

the value of the property, not null

getPaymentPeriods

public ImmutableList<CreditCouponPaymentPeriod> getPaymentPeriods()

Gets the periodic payments based on the fixed rate.

Each payment period represents part of the life-time of the leg. In most cases, the periods do not overlap. However, since each payment period is essentially independent the data model allows overlapping periods.

Returns:

the value of the property, not empty

getProtectionEndDate

public LocalDate getProtectionEndDate()

Gets the protection end date.

This may be different from the accrual end date of the last payment period in periodicPayments.

Returns:

the value of the property, not null

getDayCount

public DayCount getDayCount()

Gets the day count convention.

This is used to convert dates to a numerical value.

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.

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.

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 contracts.

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 contracts.

Returns:

the value of the property, not null

toBuilder

public ResolvedCds.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