com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities 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 java.io.Serializable;
import java.time.LocalDate;
import java.util.Map;
import java.util.NoSuchElementException;
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.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.StandardId;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.pricer.ZeroRateSensitivity;
/**
* The legal entity survival probabilities.
*
* This represents the survival probabilities of a legal entity for a single currency.
*/
@BeanDefinition(builderScope = "private")
public final class LegalEntitySurvivalProbabilities
implements ImmutableBean, Serializable {
/**
* The legal entity identifier.
*
* This identifier is used for the reference legal entity of a credit derivative.
*/
@PropertyDefinition(validate = "notNull")
private final StandardId legalEntityId;
/**
* The underlying curve.
*
* The metadata of the curve must define a day count.
*/
@PropertyDefinition(validate = "notNull")
private final CreditDiscountFactors survivalProbabilities;
//-------------------------------------------------------------------------
/**
* Creates an instance.
*
* @param legalEntityId the legal entity ID
* @param survivalProbabilities the survival probabilities
* @return the instance
*/
public static LegalEntitySurvivalProbabilities of(StandardId legalEntityId, CreditDiscountFactors survivalProbabilities) {
return new LegalEntitySurvivalProbabilities(legalEntityId, survivalProbabilities);
}
//-------------------------------------------------------------------------
/**
* Gets the currency.
*
* The currency that survival probabilities are provided for.
*
* @return the currency
*/
public Currency getCurrency() {
return survivalProbabilities.getCurrency();
}
/**
* Gets the valuation date.
*
* The raw data in this provider is calibrated for this date.
*
* @return the valuation date
*/
public LocalDate getValuationDate() {
return survivalProbabilities.getValuationDate();
}
/**
* Obtains the parameter keys of the underlying curve.
*
* @return the parameter keys
*/
public DoubleArray getParameterKeys() {
return survivalProbabilities.getParameterKeys();
}
//-------------------------------------------------------------------------
/**
* Gets the survival probability for the specified date.
*
* If the valuation date is on the specified date, the survival probability is 1.
*
* @param date the date
* @return the survival probability
* @throws RuntimeException if the value cannot be obtained
*/
public double survivalProbability(LocalDate date) {
return survivalProbabilities.discountFactor(date);
}
/**
* Gets the continuously compounded zero hazard rate for specified year fraction.
*
* @param yearFraction the year fraction
* @return the zero hazard rate
* @throws RuntimeException if the value cannot be obtained
*/
public double zeroRate(double yearFraction) {
return survivalProbabilities.zeroRate(yearFraction);
}
//-------------------------------------------------------------------------
/**
* Calculates the zero rate point sensitivity at the specified date.
*
* This returns a sensitivity instance referring to the zero hazard rate sensitivity of the
* points that were queried in the market data.
* The sensitivity typically has the value {@code (-survivalProbability * yearFraction)}.
* The sensitivity refers to the result of {@link #survivalProbability(LocalDate)}.
*
* @param date the date
* @return the point sensitivity of the zero rate
* @throws RuntimeException if the result cannot be calculated
*/
public CreditCurveZeroRateSensitivity zeroRatePointSensitivity(LocalDate date) {
return zeroRatePointSensitivity(date, getCurrency());
}
/**
* Calculates the zero rate point sensitivity at the specified year fraction.
*
* This returns a sensitivity instance referring to the zero hazard rate sensitivity of the
* points that were queried in the market data.
* The sensitivity typically has the value {@code (-survivalProbability * yearFraction)}.
* The sensitivity refers to the result of {@link #survivalProbability(LocalDate)}.
*
* @param yearFraction the year fraction
* @return the point sensitivity of the zero rate
* @throws RuntimeException if the result cannot be calculated
*/
public CreditCurveZeroRateSensitivity zeroRatePointSensitivity(double yearFraction) {
return zeroRatePointSensitivity(yearFraction, getCurrency());
}
/**
* Calculates the zero rate point sensitivity at the specified date specifying the currency of the sensitivity.
*
* This returns a sensitivity instance referring to the zero hazard rate sensitivity of the
* points that were queried in the market data.
* The sensitivity typically has the value {@code (-survivalProbability * yearFraction)}.
* The sensitivity refers to the result of {@link #survivalProbability(LocalDate)}.
*
* This method allows the currency of the sensitivity to differ from the currency of the market data.
*
* @param date the date
* @param sensitivityCurrency the currency of the sensitivity
* @return the point sensitivity of the zero rate
* @throws RuntimeException if the result cannot be calculated
*/
public CreditCurveZeroRateSensitivity zeroRatePointSensitivity(LocalDate date, Currency sensitivityCurrency) {
ZeroRateSensitivity zeroRateSensitivity = survivalProbabilities.zeroRatePointSensitivity(date, sensitivityCurrency);
return CreditCurveZeroRateSensitivity.of(legalEntityId, zeroRateSensitivity);
}
/**
* Calculates the zero rate point sensitivity at the specified year fraction specifying the currency of the sensitivity.
*
* This returns a sensitivity instance referring to the zero hazard rate sensitivity of the
* points that were queried in the market data.
* The sensitivity typically has the value {@code (-survivalProbability * yearFraction)}.
* The sensitivity refers to the result of {@link #survivalProbability(LocalDate)}.
*
* This method allows the currency of the sensitivity to differ from the currency of the market data.
*
* @param yearFraction the year fraction
* @param sensitivityCurrency the currency of the sensitivity
* @return the point sensitivity of the zero rate
* @throws RuntimeException if the result cannot be calculated
*/
public CreditCurveZeroRateSensitivity zeroRatePointSensitivity(double yearFraction, Currency sensitivityCurrency) {
ZeroRateSensitivity zeroRateSensitivity = survivalProbabilities.zeroRatePointSensitivity(yearFraction, sensitivityCurrency);
return CreditCurveZeroRateSensitivity.of(legalEntityId, zeroRateSensitivity);
}
/**
* Calculates the parameter sensitivity from the point sensitivity.
*
* This is used to convert a single point sensitivity to parameter sensitivity.
* The calculation typically involves multiplying the point and unit sensitivities.
*
* @param pointSensitivity the point sensitivity to convert
* @return the parameter sensitivity
* @throws RuntimeException if the result cannot be calculated
*/
public CurrencyParameterSensitivities parameterSensitivity(CreditCurveZeroRateSensitivity pointSensitivity) {
return survivalProbabilities.parameterSensitivity(pointSensitivity.toZeroRateSensitivity());
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code LegalEntitySurvivalProbabilities}.
* @return the meta-bean, not null
*/
public static LegalEntitySurvivalProbabilities.Meta meta() {
return LegalEntitySurvivalProbabilities.Meta.INSTANCE;
}
static {
MetaBean.register(LegalEntitySurvivalProbabilities.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private LegalEntitySurvivalProbabilities(
StandardId legalEntityId,
CreditDiscountFactors survivalProbabilities) {
JodaBeanUtils.notNull(legalEntityId, "legalEntityId");
JodaBeanUtils.notNull(survivalProbabilities, "survivalProbabilities");
this.legalEntityId = legalEntityId;
this.survivalProbabilities = survivalProbabilities;
}
@Override
public LegalEntitySurvivalProbabilities.Meta metaBean() {
return LegalEntitySurvivalProbabilities.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the legal entity identifier.
*
* This identifier is used for the reference legal entity of a credit derivative.
* @return the value of the property, not null
*/
public StandardId getLegalEntityId() {
return legalEntityId;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying curve.
*
* The metadata of the curve must define a day count.
* @return the value of the property, not null
*/
public CreditDiscountFactors getSurvivalProbabilities() {
return survivalProbabilities;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
LegalEntitySurvivalProbabilities other = (LegalEntitySurvivalProbabilities) obj;
return JodaBeanUtils.equal(legalEntityId, other.legalEntityId) &&
JodaBeanUtils.equal(survivalProbabilities, other.survivalProbabilities);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(legalEntityId);
hash = hash * 31 + JodaBeanUtils.hashCode(survivalProbabilities);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("LegalEntitySurvivalProbabilities{");
buf.append("legalEntityId").append('=').append(JodaBeanUtils.toString(legalEntityId)).append(',').append(' ');
buf.append("survivalProbabilities").append('=').append(JodaBeanUtils.toString(survivalProbabilities));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code LegalEntitySurvivalProbabilities}.
*/
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 legalEntityId} property.
*/
private final MetaProperty legalEntityId = DirectMetaProperty.ofImmutable(
this, "legalEntityId", LegalEntitySurvivalProbabilities.class, StandardId.class);
/**
* The meta-property for the {@code survivalProbabilities} property.
*/
private final MetaProperty survivalProbabilities = DirectMetaProperty.ofImmutable(
this, "survivalProbabilities", LegalEntitySurvivalProbabilities.class, CreditDiscountFactors.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"legalEntityId",
"survivalProbabilities");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 866287159: // legalEntityId
return legalEntityId;
case -2020275979: // survivalProbabilities
return survivalProbabilities;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new LegalEntitySurvivalProbabilities.Builder();
}
@Override
public Class beanType() {
return LegalEntitySurvivalProbabilities.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code legalEntityId} property.
* @return the meta-property, not null
*/
public MetaProperty legalEntityId() {
return legalEntityId;
}
/**
* The meta-property for the {@code survivalProbabilities} property.
* @return the meta-property, not null
*/
public MetaProperty survivalProbabilities() {
return survivalProbabilities;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 866287159: // legalEntityId
return ((LegalEntitySurvivalProbabilities) bean).getLegalEntityId();
case -2020275979: // survivalProbabilities
return ((LegalEntitySurvivalProbabilities) bean).getSurvivalProbabilities();
}
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 LegalEntitySurvivalProbabilities}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private StandardId legalEntityId;
private CreditDiscountFactors survivalProbabilities;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 866287159: // legalEntityId
return legalEntityId;
case -2020275979: // survivalProbabilities
return survivalProbabilities;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 866287159: // legalEntityId
this.legalEntityId = (StandardId) newValue;
break;
case -2020275979: // survivalProbabilities
this.survivalProbabilities = (CreditDiscountFactors) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public LegalEntitySurvivalProbabilities build() {
return new LegalEntitySurvivalProbabilities(
legalEntityId,
survivalProbabilities);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("LegalEntitySurvivalProbabilities.Builder{");
buf.append("legalEntityId").append('=').append(JodaBeanUtils.toString(legalEntityId)).append(',').append(' ');
buf.append("survivalProbabilities").append('=').append(JodaBeanUtils.toString(survivalProbabilities));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}