com.opengamma.strata.measure.credit

Class CdsTradeCalculationFunction

java.lang.Object

com.opengamma.strata.measure.credit.CdsTradeCalculationFunction

All Implemented Interfaces:

CalculationFunction<CdsTrade>

public class CdsTradeCalculationFunction
extends Object
implements CalculationFunction<CdsTrade>

Perform calculations on a single CdsTrade for each of a set of scenarios.

An instance of CreditRatesMarketDataLookup must be specified. The supported built-in measures are:

• Present value
• PV01 calibrated sum on rate curves
• PV01 calibrated bucketed on rate curves
• PV01 market quote sum on rate curves
• PV01 market quote bucketed on rate curves
• Unit price
• principal
• IR01 calibrated parallel
• IR01 calibrated bucketed
• IR01 market quote parallel
• IR01 market quote bucketed
• CS01 parallel
• CS01 bucketed
• recovery01
• jump to default
• expected loss
• Resolved trade

The "natural" currency is the currency of the CDS, which is limited to be single-currency.

Constructor Summary

Constructors

Constructor and Description
CdsTradeCalculationFunction() Creates an instance.

Method Summary

Modifier and Type	Method and Description
Map<Measure,Result<?>>	calculate(CdsTrade trade, Set<Measure> measures, CalculationParameters parameters, ScenarioMarketData scenarioMarketData, ReferenceData refData)
Optional<String>	identifier(CdsTrade target)
Currency	naturalCurrency(CdsTrade trade, ReferenceData refData)
FunctionRequirements	requirements(CdsTrade trade, Set<Measure> measures, CalculationParameters parameters, ReferenceData refData)
Set<Measure>	supportedMeasures()
Class<CdsTrade>	targetType()

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CdsTradeCalculationFunction

public CdsTradeCalculationFunction()

Creates an instance.

Method Detail

targetType

public Class<CdsTrade> targetType()

Specified by:

targetType in interface CalculationFunction<CdsTrade>

supportedMeasures

public Set<Measure> supportedMeasures()

Specified by:

supportedMeasures in interface CalculationFunction<CdsTrade>

identifier

public Optional<String> identifier(CdsTrade target)

Specified by:

identifier in interface CalculationFunction<CdsTrade>

naturalCurrency

public Currency naturalCurrency(CdsTrade trade,
                                ReferenceData refData)

Specified by:

naturalCurrency in interface CalculationFunction<CdsTrade>

requirements

public FunctionRequirements requirements(CdsTrade trade,
                                         Set<Measure> measures,
                                         CalculationParameters parameters,
                                         ReferenceData refData)

Specified by:

requirements in interface CalculationFunction<CdsTrade>

calculate

public Map<Measure,Result<?>> calculate(CdsTrade trade,
                                        Set<Measure> measures,
                                        CalculationParameters parameters,
                                        ScenarioMarketData scenarioMarketData,
                                        ReferenceData refData)

Specified by:

calculate in interface CalculationFunction<CdsTrade>