public class CdsMarketQuoteConverter extends Object
Modifier and Type | Field and Description |
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static CdsMarketQuoteConverter |
DEFAULT
The default implementation.
|
Constructor and Description |
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CdsMarketQuoteConverter()
The default constructor.
|
CdsMarketQuoteConverter(AccrualOnDefaultFormula formula)
The constructor with the accrual-on-default formula specified.
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Modifier and Type | Method and Description |
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double |
cleanPrice(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Computes the market clean price.
|
double |
cleanPriceFromPointsUpfront(double pointsUpfront)
Computes market clean price from points upfront.
|
double |
pointsUpfront(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Computes the points upfront.
|
CdsQuote |
pointsUpFrontFromQuotedSpread(ResolvedCdsTrade trade,
CdsQuote quote,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Converts quoted spread to points upfront.
|
CdsQuote |
quotedSpreadFromPointsUpfront(ResolvedCdsTrade trade,
CdsQuote quote,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Converts points upfront to quoted spread.
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List<CdsQuote> |
quotesFromParSpread(List<ResolvedCdsTrade> trades,
List<CdsQuote> quotes,
CreditRatesProvider ratesProvider,
CdsQuoteConvention targetConvention,
ReferenceData refData)
The par spread quotes are converted to points upfronts or quoted spreads.
|
public static final CdsMarketQuoteConverter DEFAULT
public CdsMarketQuoteConverter()
The original ISDA accrual-on-default formula (version 1.8.2 and lower) is used.
public CdsMarketQuoteConverter(AccrualOnDefaultFormula formula)
formula
- the accrual-on-default formulapublic double cleanPriceFromPointsUpfront(double pointsUpfront)
The points upfront and resultant price are represented as a fraction.
pointsUpfront
- the points upfrontpublic double cleanPrice(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
The market clean price is usually expressed in percentage. Here a fraction of notional is returned, e.g., 0.98 is 98(%) clean price.
A relevant credit curve must be pre-calibrated and stored in ratesProvider
.
trade
- the traderatesProvider
- the rates providerrefData
- the reference datapublic double pointsUpfront(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
The points upfront quote is usually expressed in percentage. Here a fraction of notional is returned, e.g., 0.01 is 1(%) points up-front
The relevant credit curve must be pre-calibrated and stored in ratesProvider
.
trade
- the traderatesProvider
- the rates providerrefData
- the reference datapublic CdsQuote pointsUpFrontFromQuotedSpread(ResolvedCdsTrade trade, CdsQuote quote, CreditRatesProvider ratesProvider, ReferenceData refData)
Thus quote
must be CdsQuoteConvention.QUOTED_SPREAD
.
The relevant discount curve and recovery rate curve must be stored in ratesProvider
.
The credit curve is internally calibrated to convert one quote type to the other quote type.
trade
- the tradequote
- the quoteratesProvider
- the rates providerrefData
- the reference datapublic CdsQuote quotedSpreadFromPointsUpfront(ResolvedCdsTrade trade, CdsQuote quote, CreditRatesProvider ratesProvider, ReferenceData refData)
Thus quote
must be CdsQuoteConvention.POINTS_UPFRONT
.
The relevant discount curve and recovery rate curve must be stored in ratesProvider
.
The credit curve is internally calibrated to convert one quote type to the other quote type.
trade
- the tradequote
- the quoteratesProvider
- the rates providerrefData
- the reference datapublic List<CdsQuote> quotesFromParSpread(List<ResolvedCdsTrade> trades, List<CdsQuote> quotes, CreditRatesProvider ratesProvider, CdsQuoteConvention targetConvention, ReferenceData refData)
The relevant discount curve and recovery rate curve must be stored in ratesProvider
.
The credit curve is internally calibrated to par spread values.
trades
must be sorted in ascending order in maturity and coherent to quotes
.
The resultant quote is specified by targetConvention
.
trades
- the tradesquotes
- the quotesratesProvider
- the rates providertargetConvention
- the target conventionrefData
- the reference dataCopyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.