com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors Maven / Gradle / Ivy
/*
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.credit;
import static com.opengamma.strata.market.ValueType.YEAR_FRACTION;
import static com.opengamma.strata.market.ValueType.ZERO_RATE;
import static com.opengamma.strata.market.curve.CurveInfoType.DAY_COUNT;
import java.io.Serializable;
import java.time.LocalDate;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Optional;
import java.util.OptionalInt;
import org.joda.beans.Bean;
import org.joda.beans.BeanBuilder;
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.ImmutableConstructor;
import org.joda.beans.gen.PropertyDefinition;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import org.joda.beans.impl.direct.DirectPrivateBeanBuilder;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.data.MarketDataName;
import com.opengamma.strata.market.curve.ConstantNodalCurve;
import com.opengamma.strata.market.curve.CurveName;
import com.opengamma.strata.market.curve.DefaultCurveMetadata;
import com.opengamma.strata.market.curve.InterpolatedNodalCurve;
import com.opengamma.strata.market.curve.NodalCurve;
import com.opengamma.strata.market.curve.interpolator.CurveExtrapolators;
import com.opengamma.strata.market.curve.interpolator.CurveInterpolators;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.market.param.CurrencyParameterSensitivity;
import com.opengamma.strata.market.param.ParameterMetadata;
import com.opengamma.strata.market.param.ParameterPerturbation;
import com.opengamma.strata.market.param.UnitParameterSensitivity;
import com.opengamma.strata.pricer.DiscountFactors;
import com.opengamma.strata.pricer.ZeroRateSensitivity;
/**
* ISDA compliant zero rate discount factors.
*
* This is used to price credit default swaps under ISDA standard model.
*
* The underlying curve must be zero rate curve represented by {@code InterpolatedNodalCurve} for multiple data points
* and {@code InterpolatedNodalCurve} for a single data point.
* The zero rates must be interpolated by {@code ProductLinearCurveInterpolator} and extrapolated by
* {@code FlatCurveExtrapolator} on the left and {@code ProductLinearCurveExtrapolator} on the right.
*/
@BeanDefinition(builderScope = "private")
public final class IsdaCreditDiscountFactors
implements CreditDiscountFactors, ImmutableBean, Serializable {
/**
* The currency that the discount factors are for.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final Currency currency;
/**
* The valuation date.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final LocalDate valuationDate;
/**
* The underlying curve.
*
* The metadata of the curve must define a day count.
*/
@PropertyDefinition(validate = "notNull")
private final NodalCurve curve;
/**
* The day count convention of the curve.
*/
private final DayCount dayCount; // cached, not a property
//-------------------------------------------------------------------------
/**
* Creates an instance from the underlying curve.
*
* @param currency the currency
* @param valuationDate the valuation date
* @param curve the underlying curve
* @return the instance
*/
public static IsdaCreditDiscountFactors of(Currency currency, LocalDate valuationDate, NodalCurve curve) {
curve.getMetadata().getXValueType().checkEquals(YEAR_FRACTION, "Incorrect x-value type for zero-rate discount curve");
curve.getMetadata().getYValueType().checkEquals(ZERO_RATE, "Incorrect y-value type for zero-rate discount curve");
if (curve instanceof InterpolatedNodalCurve) {
InterpolatedNodalCurve interpolatedCurve = (InterpolatedNodalCurve) curve;
ArgChecker.isTrue(interpolatedCurve.getInterpolator().equals(CurveInterpolators.PRODUCT_LINEAR),
"Interpolator must be PRODUCT_LINEAR");
ArgChecker.isTrue(interpolatedCurve.getExtrapolatorLeft().equals(CurveExtrapolators.FLAT),
"Left extrapolator must be FLAT");
ArgChecker.isTrue(interpolatedCurve.getExtrapolatorRight().equals(CurveExtrapolators.PRODUCT_LINEAR),
"Right extrapolator must be PRODUCT_LINEAR");
} else {
ArgChecker.isTrue(curve instanceof ConstantNodalCurve,
"the underlying curve must be InterpolatedNodalCurve or ConstantNodalCurve");
}
return new IsdaCreditDiscountFactors(currency, valuationDate, curve);
}
/**
* Creates an instance from year fraction and zero rate values.
*
* @param currency the currency
* @param valuationDate the valuation date
* @param curveName the curve name
* @param yearFractions the year fractions
* @param zeroRates the zero rates
* @param dayCount the day count
* @return the instance
*/
public static IsdaCreditDiscountFactors of(
Currency currency,
LocalDate valuationDate,
CurveName curveName,
DoubleArray yearFractions,
DoubleArray zeroRates,
DayCount dayCount) {
ArgChecker.notNull(yearFractions, "yearFractions");
ArgChecker.notNull(zeroRates, "zeroRates");
DefaultCurveMetadata metadata = DefaultCurveMetadata.builder()
.xValueType(YEAR_FRACTION)
.yValueType(ZERO_RATE)
.curveName(curveName)
.dayCount(dayCount)
.build();
NodalCurve curve = (yearFractions.size() == 1 && zeroRates.size() == 1) ?
ConstantNodalCurve.of(metadata, yearFractions.get(0), zeroRates.get(0)) :
InterpolatedNodalCurve.of(metadata, yearFractions, zeroRates,
CurveInterpolators.PRODUCT_LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.PRODUCT_LINEAR);
return new IsdaCreditDiscountFactors(currency, valuationDate, curve);
}
@ImmutableConstructor
private IsdaCreditDiscountFactors(
Currency currency,
LocalDate valuationDate,
NodalCurve curve) {
ArgChecker.notNull(currency, "currency");
ArgChecker.notNull(valuationDate, "valuationDate");
ArgChecker.notNull(curve, "curve");
DayCount dayCount = curve.getMetadata().findInfo(DAY_COUNT)
.orElseThrow(() -> new IllegalArgumentException("Incorrect curve metadata, missing DayCount"));
this.currency = currency;
this.valuationDate = valuationDate;
this.curve = curve;
this.dayCount = dayCount;
}
//-------------------------------------------------------------------------
@Override
public boolean isIsdaCompliant() {
return true;
};
//-------------------------------------------------------------------------
@Override
public Optional findData(MarketDataName name) {
if (curve.getName().equals(name)) {
return Optional.of(name.getMarketDataType().cast(curve));
}
return Optional.empty();
}
@Override
public int getParameterCount() {
return curve.getParameterCount();
}
@Override
public double getParameter(int parameterIndex) {
return curve.getParameter(parameterIndex);
}
@Override
public DoubleArray getParameterKeys() {
return curve.getXValues();
}
@Override
public ParameterMetadata getParameterMetadata(int parameterIndex) {
return curve.getParameterMetadata(parameterIndex);
}
@Override
public OptionalInt findParameterIndex(ParameterMetadata metadata) {
return curve.findParameterIndex(metadata);
}
@Override
public IsdaCreditDiscountFactors withParameter(int parameterIndex, double newValue) {
return withCurve(curve.withParameter(parameterIndex, newValue));
}
@Override
public IsdaCreditDiscountFactors withPerturbation(ParameterPerturbation perturbation) {
return withCurve(curve.withPerturbation(perturbation));
}
//-------------------------------------------------------------------------
@Override
public DayCount getDayCount() {
return dayCount;
}
@Override
public double relativeYearFraction(LocalDate date) {
return dayCount.relativeYearFraction(valuationDate, date);
}
@Override
public double discountFactor(double yearFraction) {
// convert zero rate to discount factor
return Math.exp(-yearFraction * curve.yValue(yearFraction));
}
@Override
public double zeroRate(double yearFraction) {
return curve.yValue(yearFraction);
}
//-------------------------------------------------------------------------
@Override
public ZeroRateSensitivity zeroRatePointSensitivity(double yearFraction, Currency sensitivityCurrency) {
double discountFactor = discountFactor(yearFraction);
return ZeroRateSensitivity.of(currency, yearFraction, sensitivityCurrency, -discountFactor * yearFraction);
}
@Override
public CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSensitivity) {
double yearFraction = pointSensitivity.getYearFraction();
UnitParameterSensitivity unitSens = curve.yValueParameterSensitivity(yearFraction);
CurrencyParameterSensitivity curSens =
unitSens.multipliedBy(pointSensitivity.getCurrency(), pointSensitivity.getSensitivity());
return CurrencyParameterSensitivities.of(curSens);
}
@Override
public CurrencyParameterSensitivities createParameterSensitivity(Currency currency, DoubleArray sensitivities) {
return CurrencyParameterSensitivities.of(curve.createParameterSensitivity(currency, sensitivities));
}
//-------------------------------------------------------------------------
@Override
public DiscountFactors toDiscountFactors() {
return DiscountFactors.of(currency, valuationDate, curve);
}
/**
* Returns a new instance with a different curve.
*
* @param curve the new curve
* @return the new instance
*/
public IsdaCreditDiscountFactors withCurve(NodalCurve curve) {
return IsdaCreditDiscountFactors.of(currency, valuationDate, curve);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code IsdaCreditDiscountFactors}.
* @return the meta-bean, not null
*/
public static IsdaCreditDiscountFactors.Meta meta() {
return IsdaCreditDiscountFactors.Meta.INSTANCE;
}
static {
MetaBean.register(IsdaCreditDiscountFactors.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
@Override
public IsdaCreditDiscountFactors.Meta metaBean() {
return IsdaCreditDiscountFactors.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the currency that the discount factors are for.
* @return the value of the property, not null
*/
@Override
public Currency getCurrency() {
return currency;
}
//-----------------------------------------------------------------------
/**
* Gets the valuation date.
* @return the value of the property, not null
*/
@Override
public LocalDate getValuationDate() {
return valuationDate;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying curve.
*
* The metadata of the curve must define a day count.
* @return the value of the property, not null
*/
public NodalCurve getCurve() {
return curve;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
IsdaCreditDiscountFactors other = (IsdaCreditDiscountFactors) obj;
return JodaBeanUtils.equal(currency, other.currency) &&
JodaBeanUtils.equal(valuationDate, other.valuationDate) &&
JodaBeanUtils.equal(curve, other.curve);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(currency);
hash = hash * 31 + JodaBeanUtils.hashCode(valuationDate);
hash = hash * 31 + JodaBeanUtils.hashCode(curve);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("IsdaCreditDiscountFactors{");
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("valuationDate").append('=').append(JodaBeanUtils.toString(valuationDate)).append(',').append(' ');
buf.append("curve").append('=').append(JodaBeanUtils.toString(curve));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code IsdaCreditDiscountFactors}.
*/
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 currency} property.
*/
private final MetaProperty currency = DirectMetaProperty.ofImmutable(
this, "currency", IsdaCreditDiscountFactors.class, Currency.class);
/**
* The meta-property for the {@code valuationDate} property.
*/
private final MetaProperty valuationDate = DirectMetaProperty.ofImmutable(
this, "valuationDate", IsdaCreditDiscountFactors.class, LocalDate.class);
/**
* The meta-property for the {@code curve} property.
*/
private final MetaProperty curve = DirectMetaProperty.ofImmutable(
this, "curve", IsdaCreditDiscountFactors.class, NodalCurve.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"currency",
"valuationDate",
"curve");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 575402001: // currency
return currency;
case 113107279: // valuationDate
return valuationDate;
case 95027439: // curve
return curve;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new IsdaCreditDiscountFactors.Builder();
}
@Override
public Class beanType() {
return IsdaCreditDiscountFactors.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code currency} property.
* @return the meta-property, not null
*/
public MetaProperty currency() {
return currency;
}
/**
* 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 curve} property.
* @return the meta-property, not null
*/
public MetaProperty curve() {
return curve;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 575402001: // currency
return ((IsdaCreditDiscountFactors) bean).getCurrency();
case 113107279: // valuationDate
return ((IsdaCreditDiscountFactors) bean).getValuationDate();
case 95027439: // curve
return ((IsdaCreditDiscountFactors) bean).getCurve();
}
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 IsdaCreditDiscountFactors}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private Currency currency;
private LocalDate valuationDate;
private NodalCurve curve;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 575402001: // currency
return currency;
case 113107279: // valuationDate
return valuationDate;
case 95027439: // curve
return curve;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 575402001: // currency
this.currency = (Currency) newValue;
break;
case 113107279: // valuationDate
this.valuationDate = (LocalDate) newValue;
break;
case 95027439: // curve
this.curve = (NodalCurve) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public IsdaCreditDiscountFactors build() {
return new IsdaCreditDiscountFactors(
currency,
valuationDate,
curve);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("IsdaCreditDiscountFactors.Builder{");
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("valuationDate").append('=').append(JodaBeanUtils.toString(valuationDate)).append(',').append(' ');
buf.append("curve").append('=').append(JodaBeanUtils.toString(curve));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}