Record Class IsdaCdsModel.Contract

java.lang.Object

java.lang.Record

com.quantfinlib.credit.IsdaCdsModel.Contract

Record Components:

tradeDate - trade date T (the valuation date)

stepInDate - T + 1 calendar day

cashSettleDate - T + 3 business days

accrualStartDate - first accrual date (adjusted IMM date)

maturityDate - protection end date (unadjusted)

coupon - running coupon, decimal per year (0.01 = 100bp)

recovery - recovery rate in [0, 1)

Enclosing class:

IsdaCdsModel

public static record IsdaCdsModel.Contract(LocalDate tradeDate, LocalDate stepInDate, LocalDate cashSettleDate, LocalDate accrualStartDate, LocalDate maturityDate, double coupon, double recovery)
extends Record

One CDS contract's dates and terms.

Constructor Summary

Constructors

Constructor	Description
Contract(LocalDate tradeDate, LocalDate stepInDate, LocalDate cashSettleDate, LocalDate accrualStartDate, LocalDate maturityDate, double coupon, double recovery)	Validates the terms.

Method Summary

Modifier and Type	Method	Description
LocalDate	accrualStartDate()	Returns the value of the accrualStartDate record component.
LocalDate	cashSettleDate()	Returns the value of the cashSettleDate record component.
double	coupon()	Returns the value of the coupon record component.
final boolean	equals(Object o)	Indicates whether some other object is "equal to" this one.
final int	hashCode()	Returns a hash code value for this object.
LocalDate	maturityDate()	Returns the value of the maturityDate record component.
double	recovery()	Returns the value of the recovery record component.
LocalDate	stepInDate()	Returns the value of the stepInDate record component.
final String	toString()	Returns a string representation of this record class.
LocalDate	tradeDate()	Returns the value of the tradeDate record component.
IsdaCdsModel.Contract	withCoupon(double newCoupon)	The same contract with another coupon.

Methods inherited from class Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Constructor Details

Contract

public Contract(LocalDate tradeDate,
 LocalDate stepInDate,
 LocalDate cashSettleDate,
 LocalDate accrualStartDate,
 LocalDate maturityDate,
 double coupon,
 double recovery)

Validates the terms.

Method Details

withCoupon

public IsdaCdsModel.Contract withCoupon(double newCoupon)

The same contract with another coupon.

toString

public final String toString()

Returns a string representation of this record class. The representation contains the name of the class, followed by the name and value of each of the record components.

Specified by:

toString in class Record

Returns:

a string representation of this object

hashCode

public final int hashCode()

Returns a hash code value for this object. The value is derived from the hash code of each of the record components.

Specified by:

hashCode in class Record

Returns:

a hash code value for this object

equals

public final boolean equals(Object o)

Indicates whether some other object is "equal to" this one. The objects are equal if the other object is of the same class and if all the record components are equal. Reference components are compared with Objects::equals(Object,Object); primitive components are compared with the compare method from their corresponding wrapper classes.

Specified by:

equals in class Record

Parameters:

o - the object with which to compare

Returns:

true if this object is the same as the o argument; false otherwise.

tradeDate

public LocalDate tradeDate()

Returns the value of the tradeDate record component.

Returns:

the value of the tradeDate record component

stepInDate

public LocalDate stepInDate()

Returns the value of the stepInDate record component.

Returns:

the value of the stepInDate record component

cashSettleDate

public LocalDate cashSettleDate()

Returns the value of the cashSettleDate record component.

Returns:

the value of the cashSettleDate record component

accrualStartDate

public LocalDate accrualStartDate()

Returns the value of the accrualStartDate record component.

Returns:

the value of the accrualStartDate record component

maturityDate

public LocalDate maturityDate()

Returns the value of the maturityDate record component.

Returns:

the value of the maturityDate record component

coupon

public double coupon()

Returns the value of the coupon record component.

Returns:

the value of the coupon record component

recovery

public double recovery()

Returns the value of the recovery record component.

Returns:

the value of the recovery record component