com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider Maven / Gradle / Ivy
/*
* Copyright (C) 2017 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.credit;
import java.io.Serializable;
import java.time.LocalDate;
import java.util.Map;
import java.util.Map.Entry;
import java.util.NoSuchElementException;
import java.util.Optional;
import java.util.stream.Stream;
import org.joda.beans.Bean;
import org.joda.beans.ImmutableBean;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaBean;
import org.joda.beans.MetaProperty;
import org.joda.beans.gen.BeanDefinition;
import org.joda.beans.gen.ImmutableValidator;
import org.joda.beans.gen.PropertyDefinition;
import org.joda.beans.impl.direct.DirectFieldsBeanBuilder;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import com.google.common.collect.ImmutableMap;
import com.opengamma.strata.basics.StandardId;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.tuple.Pair;
import com.opengamma.strata.data.MarketDataName;
import com.opengamma.strata.market.curve.CurveName;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.market.param.CurrencyParameterSensitivity;
import com.opengamma.strata.market.sensitivity.PointSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivity;
import com.opengamma.strata.pricer.ZeroRateSensitivity;
/**
* The immutable rates provider, used to calculate analytic measures.
*
* The primary usage of this provider is to price credit default swaps on a legal entity.
* This includes credit curves, discounting curves and recovery rate curves.
*/
@BeanDefinition
public final class ImmutableCreditRatesProvider
implements CreditRatesProvider, ImmutableBean, Serializable {
/**
* The valuation date.
*
* All curves and other data items in this provider are calibrated for this date.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final LocalDate valuationDate;
/**
* The credit curves.
*
* The curve data, predicting the survival probability, associated with each legal entity and currency.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap, LegalEntitySurvivalProbabilities> creditCurves;
/**
* The discounting curves.
*
* The curve data, predicting the discount factor, associated with each currency.
*/
@PropertyDefinition(validate = "notEmpty")
private final ImmutableMap discountCurves;
/**
* The credit rate curves.
*
* The curve date, predicting the recovery rate, associated with each legal entity.
*/
@PropertyDefinition(validate = "notEmpty")
private final ImmutableMap recoveryRateCurves;
//-------------------------------------------------------------------------
@ImmutableValidator
private void validate() {
for (Entry, LegalEntitySurvivalProbabilities> entry : creditCurves.entrySet()) {
if (!entry.getValue().getValuationDate().isEqual(valuationDate)) {
throw new IllegalArgumentException("Invalid valuation date for the credit curve: " + entry.getValue());
}
}
for (Entry entry : discountCurves.entrySet()) {
if (!entry.getValue().getValuationDate().isEqual(valuationDate)) {
throw new IllegalArgumentException("Invalid valuation date for the discount curve: " + entry.getValue());
}
}
for (Entry entry : recoveryRateCurves.entrySet()) {
if (!entry.getValue().getValuationDate().isEqual(valuationDate)) {
throw new IllegalArgumentException("Invalid valuation date for the recovery rate curve: " + entry.getValue());
}
}
}
//-------------------------------------------------------------------------
@Override
public LegalEntitySurvivalProbabilities survivalProbabilities(StandardId legalEntityId, Currency currency) {
LegalEntitySurvivalProbabilities survivalProbabilities = creditCurves.get(Pair.of(legalEntityId, currency));
if (survivalProbabilities == null) {
throw new IllegalArgumentException("Unable to find credit curve: " + legalEntityId + ", " + currency);
}
return survivalProbabilities;
}
@Override
public CreditDiscountFactors discountFactors(Currency currency) {
CreditDiscountFactors discountFactors = discountCurves.get(currency);
if (discountFactors == null) {
throw new IllegalArgumentException("Unable to find discount curve: " + currency);
}
return discountFactors;
}
@Override
public RecoveryRates recoveryRates(StandardId legalEntityId) {
RecoveryRates recoveryRates = recoveryRateCurves.get(legalEntityId);
if (recoveryRates == null) {
throw new IllegalArgumentException("Unable to find recovery rate curve: " + legalEntityId);
}
return recoveryRates;
}
//-------------------------------------------------------------------------
@Override
public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities) {
CurrencyParameterSensitivities sens = CurrencyParameterSensitivities.empty();
for (PointSensitivity point : pointSensitivities.getSensitivities()) {
if (point instanceof CreditCurveZeroRateSensitivity) {
CreditCurveZeroRateSensitivity pt = (CreditCurveZeroRateSensitivity) point;
LegalEntitySurvivalProbabilities factors = survivalProbabilities(pt.getLegalEntityId(), pt.getCurveCurrency());
sens = sens.combinedWith(factors.parameterSensitivity(pt));
} else if (point instanceof ZeroRateSensitivity) {
ZeroRateSensitivity pt = (ZeroRateSensitivity) point;
CreditDiscountFactors factors = discountFactors(pt.getCurveCurrency());
sens = sens.combinedWith(factors.parameterSensitivity(pt));
}
}
return sens;
}
@Override
public CurrencyParameterSensitivity singleCreditCurveParameterSensitivity(
PointSensitivities pointSensitivities,
StandardId legalEntityId,
Currency currency) {
CurrencyParameterSensitivities sens = CurrencyParameterSensitivities.empty();
for (PointSensitivity point : pointSensitivities.getSensitivities()) {
if (point instanceof CreditCurveZeroRateSensitivity) {
CreditCurveZeroRateSensitivity pt = (CreditCurveZeroRateSensitivity) point;
if (pt.getLegalEntityId().equals(legalEntityId) && pt.getCurrency().equals(currency)) {
LegalEntitySurvivalProbabilities factors = survivalProbabilities(pt.getLegalEntityId(), pt.getCurveCurrency());
sens = sens.combinedWith(factors.parameterSensitivity(pt));
}
}
}
ArgChecker.isTrue(sens.size() == 1, "sensitivity must be unique");
return sens.getSensitivities().get(0);
}
@Override
public CurrencyParameterSensitivity singleDiscountCurveParameterSensitivity(
PointSensitivities pointSensitivities,
Currency currency) {
CurrencyParameterSensitivities sens = CurrencyParameterSensitivities.empty();
for (PointSensitivity point : pointSensitivities.getSensitivities()) {
if (point instanceof ZeroRateSensitivity) {
ZeroRateSensitivity pt = (ZeroRateSensitivity) point;
if (pt.getCurveCurrency().equals(currency)) {
CreditDiscountFactors factors = discountFactors(pt.getCurveCurrency());
sens = sens.combinedWith(factors.parameterSensitivity(pt));
}
}
}
ArgChecker.isTrue(sens.size() == 1, "sensitivity must be unique");
return sens.getSensitivities().get(0);
}
//-------------------------------------------------------------------------
@Override
public Optional findData(MarketDataName name) {
if (name instanceof CurveName) {
return Stream
.concat(discountCurves.values().stream(), creditCurves.values().stream().map(cc -> cc.getSurvivalProbabilities()))
.map(df -> df.findData(name))
.filter(op -> op.isPresent())
.map(op -> op.get())
.findFirst();
}
return Optional.empty();
}
//-------------------------------------------------------------------------
@Override
public ImmutableCreditRatesProvider toImmutableCreditRatesProvider() {
return this;
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code ImmutableCreditRatesProvider}.
* @return the meta-bean, not null
*/
public static ImmutableCreditRatesProvider.Meta meta() {
return ImmutableCreditRatesProvider.Meta.INSTANCE;
}
static {
MetaBean.register(ImmutableCreditRatesProvider.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
/**
* Returns a builder used to create an instance of the bean.
* @return the builder, not null
*/
public static ImmutableCreditRatesProvider.Builder builder() {
return new ImmutableCreditRatesProvider.Builder();
}
private ImmutableCreditRatesProvider(
LocalDate valuationDate,
Map, LegalEntitySurvivalProbabilities> creditCurves,
Map discountCurves,
Map recoveryRateCurves) {
JodaBeanUtils.notNull(valuationDate, "valuationDate");
JodaBeanUtils.notNull(creditCurves, "creditCurves");
JodaBeanUtils.notEmpty(discountCurves, "discountCurves");
JodaBeanUtils.notEmpty(recoveryRateCurves, "recoveryRateCurves");
this.valuationDate = valuationDate;
this.creditCurves = ImmutableMap.copyOf(creditCurves);
this.discountCurves = ImmutableMap.copyOf(discountCurves);
this.recoveryRateCurves = ImmutableMap.copyOf(recoveryRateCurves);
validate();
}
@Override
public ImmutableCreditRatesProvider.Meta metaBean() {
return ImmutableCreditRatesProvider.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the valuation date.
*
* All curves and other data items in this provider are calibrated for this date.
* @return the value of the property, not null
*/
@Override
public LocalDate getValuationDate() {
return valuationDate;
}
//-----------------------------------------------------------------------
/**
* Gets the credit curves.
*
* The curve data, predicting the survival probability, associated with each legal entity and currency.
* @return the value of the property, not null
*/
public ImmutableMap, LegalEntitySurvivalProbabilities> getCreditCurves() {
return creditCurves;
}
//-----------------------------------------------------------------------
/**
* Gets the discounting curves.
*
* The curve data, predicting the discount factor, associated with each currency.
* @return the value of the property, not empty
*/
public ImmutableMap getDiscountCurves() {
return discountCurves;
}
//-----------------------------------------------------------------------
/**
* Gets the credit rate curves.
*
* The curve date, predicting the recovery rate, associated with each legal entity.
* @return the value of the property, not empty
*/
public ImmutableMap getRecoveryRateCurves() {
return recoveryRateCurves;
}
//-----------------------------------------------------------------------
/**
* Returns a builder that allows this bean to be mutated.
* @return the mutable builder, not null
*/
public Builder toBuilder() {
return new Builder(this);
}
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
ImmutableCreditRatesProvider other = (ImmutableCreditRatesProvider) obj;
return JodaBeanUtils.equal(valuationDate, other.valuationDate) &&
JodaBeanUtils.equal(creditCurves, other.creditCurves) &&
JodaBeanUtils.equal(discountCurves, other.discountCurves) &&
JodaBeanUtils.equal(recoveryRateCurves, other.recoveryRateCurves);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(valuationDate);
hash = hash * 31 + JodaBeanUtils.hashCode(creditCurves);
hash = hash * 31 + JodaBeanUtils.hashCode(discountCurves);
hash = hash * 31 + JodaBeanUtils.hashCode(recoveryRateCurves);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("ImmutableCreditRatesProvider{");
buf.append("valuationDate").append('=').append(JodaBeanUtils.toString(valuationDate)).append(',').append(' ');
buf.append("creditCurves").append('=').append(JodaBeanUtils.toString(creditCurves)).append(',').append(' ');
buf.append("discountCurves").append('=').append(JodaBeanUtils.toString(discountCurves)).append(',').append(' ');
buf.append("recoveryRateCurves").append('=').append(JodaBeanUtils.toString(recoveryRateCurves));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code ImmutableCreditRatesProvider}.
*/
public static final class Meta extends DirectMetaBean {
/**
* The singleton instance of the meta-bean.
*/
static final Meta INSTANCE = new Meta();
/**
* The meta-property for the {@code valuationDate} property.
*/
private final MetaProperty valuationDate = DirectMetaProperty.ofImmutable(
this, "valuationDate", ImmutableCreditRatesProvider.class, LocalDate.class);
/**
* The meta-property for the {@code creditCurves} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty, LegalEntitySurvivalProbabilities>> creditCurves = DirectMetaProperty.ofImmutable(
this, "creditCurves", ImmutableCreditRatesProvider.class, (Class) ImmutableMap.class);
/**
* The meta-property for the {@code discountCurves} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> discountCurves = DirectMetaProperty.ofImmutable(
this, "discountCurves", ImmutableCreditRatesProvider.class, (Class) ImmutableMap.class);
/**
* The meta-property for the {@code recoveryRateCurves} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> recoveryRateCurves = DirectMetaProperty.ofImmutable(
this, "recoveryRateCurves", ImmutableCreditRatesProvider.class, (Class) ImmutableMap.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"valuationDate",
"creditCurves",
"discountCurves",
"recoveryRateCurves");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 113107279: // valuationDate
return valuationDate;
case -1612130883: // creditCurves
return creditCurves;
case -624113147: // discountCurves
return discountCurves;
case 1744098265: // recoveryRateCurves
return recoveryRateCurves;
}
return super.metaPropertyGet(propertyName);
}
@Override
public ImmutableCreditRatesProvider.Builder builder() {
return new ImmutableCreditRatesProvider.Builder();
}
@Override
public Class beanType() {
return ImmutableCreditRatesProvider.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code valuationDate} property.
* @return the meta-property, not null
*/
public MetaProperty valuationDate() {
return valuationDate;
}
/**
* The meta-property for the {@code creditCurves} property.
* @return the meta-property, not null
*/
public MetaProperty, LegalEntitySurvivalProbabilities>> creditCurves() {
return creditCurves;
}
/**
* The meta-property for the {@code discountCurves} property.
* @return the meta-property, not null
*/
public MetaProperty> discountCurves() {
return discountCurves;
}
/**
* The meta-property for the {@code recoveryRateCurves} property.
* @return the meta-property, not null
*/
public MetaProperty> recoveryRateCurves() {
return recoveryRateCurves;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 113107279: // valuationDate
return ((ImmutableCreditRatesProvider) bean).getValuationDate();
case -1612130883: // creditCurves
return ((ImmutableCreditRatesProvider) bean).getCreditCurves();
case -624113147: // discountCurves
return ((ImmutableCreditRatesProvider) bean).getDiscountCurves();
case 1744098265: // recoveryRateCurves
return ((ImmutableCreditRatesProvider) bean).getRecoveryRateCurves();
}
return super.propertyGet(bean, propertyName, quiet);
}
@Override
protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) {
metaProperty(propertyName);
if (quiet) {
return;
}
throw new UnsupportedOperationException("Property cannot be written: " + propertyName);
}
}
//-----------------------------------------------------------------------
/**
* The bean-builder for {@code ImmutableCreditRatesProvider}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private LocalDate valuationDate;
private Map, LegalEntitySurvivalProbabilities> creditCurves = ImmutableMap.of();
private Map discountCurves = ImmutableMap.of();
private Map recoveryRateCurves = ImmutableMap.of();
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(ImmutableCreditRatesProvider beanToCopy) {
this.valuationDate = beanToCopy.getValuationDate();
this.creditCurves = beanToCopy.getCreditCurves();
this.discountCurves = beanToCopy.getDiscountCurves();
this.recoveryRateCurves = beanToCopy.getRecoveryRateCurves();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 113107279: // valuationDate
return valuationDate;
case -1612130883: // creditCurves
return creditCurves;
case -624113147: // discountCurves
return discountCurves;
case 1744098265: // recoveryRateCurves
return recoveryRateCurves;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 113107279: // valuationDate
this.valuationDate = (LocalDate) newValue;
break;
case -1612130883: // creditCurves
this.creditCurves = (Map, LegalEntitySurvivalProbabilities>) newValue;
break;
case -624113147: // discountCurves
this.discountCurves = (Map) newValue;
break;
case 1744098265: // recoveryRateCurves
this.recoveryRateCurves = (Map) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public Builder set(MetaProperty property, Object value) {
super.set(property, value);
return this;
}
@Override
public ImmutableCreditRatesProvider build() {
return new ImmutableCreditRatesProvider(
valuationDate,
creditCurves,
discountCurves,
recoveryRateCurves);
}
//-----------------------------------------------------------------------
/**
* Sets the valuation date.
*
* All curves and other data items in this provider are calibrated for this date.
* @param valuationDate the new value, not null
* @return this, for chaining, not null
*/
public Builder valuationDate(LocalDate valuationDate) {
JodaBeanUtils.notNull(valuationDate, "valuationDate");
this.valuationDate = valuationDate;
return this;
}
/**
* Sets the credit curves.
*
* The curve data, predicting the survival probability, associated with each legal entity and currency.
* @param creditCurves the new value, not null
* @return this, for chaining, not null
*/
public Builder creditCurves(Map, LegalEntitySurvivalProbabilities> creditCurves) {
JodaBeanUtils.notNull(creditCurves, "creditCurves");
this.creditCurves = creditCurves;
return this;
}
/**
* Sets the discounting curves.
*
* The curve data, predicting the discount factor, associated with each currency.
* @param discountCurves the new value, not empty
* @return this, for chaining, not null
*/
public Builder discountCurves(Map discountCurves) {
JodaBeanUtils.notEmpty(discountCurves, "discountCurves");
this.discountCurves = discountCurves;
return this;
}
/**
* Sets the credit rate curves.
*
* The curve date, predicting the recovery rate, associated with each legal entity.
* @param recoveryRateCurves the new value, not empty
* @return this, for chaining, not null
*/
public Builder recoveryRateCurves(Map recoveryRateCurves) {
JodaBeanUtils.notEmpty(recoveryRateCurves, "recoveryRateCurves");
this.recoveryRateCurves = recoveryRateCurves;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("ImmutableCreditRatesProvider.Builder{");
buf.append("valuationDate").append('=').append(JodaBeanUtils.toString(valuationDate)).append(',').append(' ');
buf.append("creditCurves").append('=').append(JodaBeanUtils.toString(creditCurves)).append(',').append(' ');
buf.append("discountCurves").append('=').append(JodaBeanUtils.toString(discountCurves)).append(',').append(' ');
buf.append("recoveryRateCurves").append('=').append(JodaBeanUtils.toString(recoveryRateCurves));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}