public RecoveryRates recoveryRates(StandardId legalEntityId)
{
CurveId curveId = lookup.RecoveryRateCurveIds.get(legalEntityId);
if (curveId == null)
{
throw new MarketDataNotFoundException("Unable to find recovery rate curve: " + legalEntityId);
}
Curve curve = marketData.getValue(curveId);
return(RecoveryRates.of(legalEntityId, ValuationDate, curve));
}
public virtual void test_of_interface()
{
ConstantCurve curve = ConstantCurve.of(DefaultCurveMetadata.builder().yValueType(ValueType.RECOVERY_RATE).curveName("recoveryRate").build(), RECOVERY_RATE);
ConstantRecoveryRates test = (ConstantRecoveryRates)RecoveryRates.of(LEGAL_ENTITY, VALUATION, curve);
assertEquals(test.LegalEntityId, LEGAL_ENTITY);
assertEquals(test.RecoveryRate, RECOVERY_RATE);
assertEquals(test.ValuationDate, VALUATION);
assertEquals(test.recoveryRate(DATE_AFTER), RECOVERY_RATE);
assertEquals(test.findData(CurveName.of("Rubbish")), null);
assertEquals(test.getParameter(0), RECOVERY_RATE);
assertEquals(test.ParameterCount, 1);
assertEquals(test.getParameterMetadata(0), ParameterMetadata.empty());
assertEquals(test.withParameter(0, 0.5), ConstantRecoveryRates.of(LEGAL_ENTITY, VALUATION, 0.5));
}
//-------------------------------------------------------------------------
public ImmutableCreditRatesProvider toImmutableCreditRatesProvider()
{
LocalDate valuationDate = ValuationDate;
// credit curves
IDictionary <Pair <StandardId, Currency>, LegalEntitySurvivalProbabilities> creditCurves = new Dictionary <Pair <StandardId, Currency>, LegalEntitySurvivalProbabilities>();
foreach (Pair <StandardId, Currency> pair in lookup.CreditCurveIds.Keys)
{
CurveId curveId = lookup.CreditCurveIds.get(pair);
if (marketData.containsValue(curveId))
{
Curve curve = marketData.getValue(curveId);
CreditDiscountFactors survivalProbabilities = CreditDiscountFactors.of(pair.Second, valuationDate, curve);
creditCurves[pair] = LegalEntitySurvivalProbabilities.of(pair.First, survivalProbabilities);
}
}
// discount curves
IDictionary <Currency, CreditDiscountFactors> discountCurves = new Dictionary <Currency, CreditDiscountFactors>();
foreach (Currency currency in lookup.DiscountCurveIds.Keys)
{
CurveId curveId = lookup.DiscountCurveIds.get(currency);
if (marketData.containsValue(curveId))
{
Curve curve = marketData.getValue(curveId);
discountCurves[currency] = CreditDiscountFactors.of(currency, valuationDate, curve);
}
}
// recovery rate curves
IDictionary <StandardId, RecoveryRates> recoveryRateCurves = new Dictionary <StandardId, RecoveryRates>();
foreach (StandardId legalEntityId in lookup.RecoveryRateCurveIds.Keys)
{
CurveId curveId = lookup.RecoveryRateCurveIds.get(legalEntityId);
if (marketData.containsValue(curveId))
{
Curve curve = marketData.getValue(curveId);
RecoveryRates recoveryRate = RecoveryRates.of(legalEntityId, valuationDate, curve);
recoveryRateCurves[legalEntityId] = recoveryRate;
}
}
// build result
return(ImmutableCreditRatesProvider.builder().valuationDate(valuationDate).creditCurves(creditCurves).discountCurves(discountCurves).recoveryRateCurves(recoveryRateCurves).build());
}
