private double computeIndexFactor(CdsIndexIsdaCreditCurveNode node, MarketData marketData) { double numDefaulted = node.getLegalEntityIds().stream() .map(s -> marketData.getValue(LegalEntityInformationId.of(s))) .map(casting(LegalEntityInformation.class)) .filter(LegalEntityInformation::isDefaulted) .collect(Collectors.toList()) .size(); double numTotal = node.getLegalEntityIds().size(); return (numTotal - numDefaulted) / numTotal; }
/** * Restricted copy constructor. * @param beanToCopy the bean to copy from, not null */ private Builder(CdsIndexIsdaCreditCurveNode beanToCopy) { this.template = beanToCopy.getTemplate(); this.label = beanToCopy.getLabel(); this.observableId = beanToCopy.getObservableId(); this.cdsIndexId = beanToCopy.getCdsIndexId(); this.legalEntityIds = beanToCopy.getLegalEntityIds(); this.quoteConvention = beanToCopy.getQuoteConvention(); this.fixedRate = beanToCopy.fixedRate; }
@Override protected Object propertyGet(Bean bean, String propertyName, boolean quiet) { switch (propertyName.hashCode()) { case -1321546630: // template return ((CdsIndexIsdaCreditCurveNode) bean).getTemplate(); case 102727412: // label return ((CdsIndexIsdaCreditCurveNode) bean).getLabel(); case -518800962: // observableId return ((CdsIndexIsdaCreditCurveNode) bean).getObservableId(); case -464117509: // cdsIndexId return ((CdsIndexIsdaCreditCurveNode) bean).getCdsIndexId(); case 1085098268: // legalEntityIds return ((CdsIndexIsdaCreditCurveNode) bean).getLegalEntityIds(); case 2049149709: // quoteConvention return ((CdsIndexIsdaCreditCurveNode) bean).getQuoteConvention(); case 747425396: // fixedRate return ((CdsIndexIsdaCreditCurveNode) bean).fixedRate; } return super.propertyGet(bean, propertyName, quiet); }
public void test_of_pardSpread() { CdsIndexIsdaCreditCurveNode test = CdsIndexIsdaCreditCurveNode.ofParSpread(TEMPLATE_NS, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES); assertEquals(test.getLabel(), END_DATE.toString()); assertEquals(test.getCdsIndexId(), INDEX_ID); assertEquals(test.getLegalEntityIds(), LEGAL_ENTITIES); assertEquals(test.getObservableId(), QUOTE_ID); assertEquals(test.getTemplate(), TEMPLATE_NS); assertEquals(test.date(VAL_DATE, REF_DATA), END_DATE); }
public void test_of_pointsUpfront() { CdsIndexIsdaCreditCurveNode test = CdsIndexIsdaCreditCurveNode.ofPointsUpfront(TEMPLATE, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES, 0.01); assertEquals(test.getLabel(), LABEL_AUTO); assertEquals(test.getCdsIndexId(), INDEX_ID); assertEquals(test.getLegalEntityIds(), LEGAL_ENTITIES); assertEquals(test.getObservableId(), QUOTE_ID); assertEquals(test.getTemplate(), TEMPLATE); assertEquals(test.date(VAL_DATE, REF_DATA), date(2025, 6, 20)); }
public void test_of_quotedSpread() { CdsIndexIsdaCreditCurveNode test = CdsIndexIsdaCreditCurveNode.ofQuotedSpread(TEMPLATE, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES, 0.01); assertEquals(test.getLabel(), LABEL_AUTO); assertEquals(test.getCdsIndexId(), INDEX_ID); assertEquals(test.getLegalEntityIds(), LEGAL_ENTITIES); assertEquals(test.getObservableId(), QUOTE_ID); assertEquals(test.getTemplate(), TEMPLATE); assertEquals(test.date(VAL_DATE, REF_DATA), date(2025, 6, 20)); }
public void test_builder() { CdsIndexIsdaCreditCurveNode test = CdsIndexIsdaCreditCurveNode.builder() .label(LABEL) .template(TEMPLATE) .observableId(QUOTE_ID) .quoteConvention(CdsQuoteConvention.PAR_SPREAD) .cdsIndexId(INDEX_ID) .legalEntityIds(LEGAL_ENTITIES) .build(); assertEquals(test.getLabel(), LABEL); assertEquals(test.getCdsIndexId(), INDEX_ID); assertEquals(test.getLegalEntityIds(), LEGAL_ENTITIES); assertEquals(test.getObservableId(), QUOTE_ID); assertEquals(test.getTemplate(), TEMPLATE); assertEquals(test.date(VAL_DATE, REF_DATA), date(2025, 6, 20)); }