A credit spread curve matching tenors against par spread quotes More...

Inheritance diagram for Lusid.Sdk.Model.CreditSpreadCurveData:

[legend]

Public Member Functions
	CreditSpreadCurveData (DateTimeOffset baseDate=default(DateTimeOffset), string domCcy=default(string), List< string > tenors=default(List< string >), List< decimal > spreads=default(List< decimal >), decimal recoveryRate=default(decimal), DateTimeOffset? referenceDate=default(DateTimeOffset?), List< DateTimeOffset > maturities=default(List< DateTimeOffset >), string lineage=default(string), MarketDataOptions marketDataOptions=default(MarketDataOptions), MarketDataTypeEnum marketDataType=default(MarketDataTypeEnum))
	Initializes a new instance of the CreditSpreadCurveData class. More...

override string	ToString ()
	Returns the string presentation of the object More...

override string	ToJson ()
	Returns the JSON string presentation of the object More...

override bool	Equals (object input)
	Returns true if objects are equal More...

bool	Equals (CreditSpreadCurveData input)
	Returns true if CreditSpreadCurveData instances are equal More...

override int	GetHashCode ()
	Gets the hash code More...

Public Member Functions inherited from Lusid.Sdk.Model.ComplexMarketData
	ComplexMarketData (MarketDataTypeEnum marketDataType=default(MarketDataTypeEnum))
	Initializes a new instance of the ComplexMarketData class. More...

override string	ToString ()
	Returns the string presentation of the object More...

override bool	Equals (object input)
	Returns true if objects are equal More...

bool	Equals (ComplexMarketData input)
	Returns true if ComplexMarketData instances are equal More...

override int	GetHashCode ()
	Gets the hash code More...

Protected Member Functions
	CreditSpreadCurveData ()
	Initializes a new instance of the CreditSpreadCurveData class. More...

IEnumerable< System.ComponentModel.DataAnnotations.ValidationResult >	BaseValidate (ValidationContext validationContext)
	To validate all properties of the instance More...

Protected Member Functions inherited from Lusid.Sdk.Model.ComplexMarketData
	ComplexMarketData ()
	Initializes a new instance of the ComplexMarketData class. More...

IEnumerable< System.ComponentModel.DataAnnotations.ValidationResult >	BaseValidate (ValidationContext validationContext)
	To validate all properties of the instance More...

Properties
DateTimeOffset	BaseDate `[get, set]`
	EffectiveAt date of the quoted rates More...

string	DomCcy `[get, set]`
	Domestic currency of the curve More...

List< string >	Tenors `[get, set]`
	The tenors for which the rates apply For more information on tenors, see knowledge base article KA-02097 More...

List< decimal >	Spreads `[get, set]`
	Par spread quotes corresponding to the tenors. More...

decimal	RecoveryRate `[get, set]`
	The recovery rate in default. More...

DateTimeOffset?	ReferenceDate `[get, set]`
	If tenors are provided, this is the date against which the tenors will be resolved. This is of importance to CDX spread quotes, which are usually quoted in tenors relative to the CDX start date. In this case, the ReferenceDate would be equal to the CDX start date, and the BaseDate would be the date for which the spreads are valid. If not provided, this defaults to the BaseDate of the curve. More...

List< DateTimeOffset >	Maturities `[get, set]`
	The maturity dates for which the rates apply. Either tenors or maturities should be provided, not both. More...

string	Lineage `[get, set]`
	Description of the complex market data's lineage e.g. 'FundAccountant_GreenQuality'. More...

MarketDataOptions	MarketDataOptions `[get, set]`
	Gets or Sets MarketDataOptions More...

Properties inherited from Lusid.Sdk.Model.ComplexMarketData
MarketDataTypeEnum	MarketDataType `[get, set]`
	The available values are: DiscountFactorCurveData, EquityVolSurfaceData, FxVolSurfaceData, IrVolCubeData, OpaqueMarketData, YieldCurveData, FxForwardCurveData, FxForwardPipsCurveData, FxForwardTenorCurveData, FxForwardTenorPipsCurveData, FxForwardCurveByQuoteReference, CreditSpreadCurveData, EquityCurveByPricesData, ConstantVolatilitySurface More...

Additional Inherited Members
Public Types inherited from Lusid.Sdk.Model.ComplexMarketData
enum class	MarketDataTypeEnum { DiscountFactorCurveData = 1 , EquityVolSurfaceData = 2 , FxVolSurfaceData = 3 , IrVolCubeData = 4 , OpaqueMarketData = 5 , YieldCurveData = 6 , FxForwardCurveData = 7 , FxForwardPipsCurveData = 8 , FxForwardTenorCurveData = 9 , FxForwardTenorPipsCurveData = 10 , FxForwardCurveByQuoteReference = 11 , CreditSpreadCurveData = 12 , EquityCurveByPricesData = 13 , ConstantVolatilitySurface = 14 }
	The available values are: DiscountFactorCurveData, EquityVolSurfaceData, FxVolSurfaceData, IrVolCubeData, OpaqueMarketData, YieldCurveData, FxForwardCurveData, FxForwardPipsCurveData, FxForwardTenorCurveData, FxForwardTenorPipsCurveData, FxForwardCurveByQuoteReference, CreditSpreadCurveData, EquityCurveByPricesData, ConstantVolatilitySurface More...

Detailed Description

A credit spread curve matching tenors against par spread quotes

Constructor & Destructor Documentation

◆ CreditSpreadCurveData() [1/2]

Lusid.Sdk.Model.CreditSpreadCurveData.CreditSpreadCurveData ( )

inlineprotected

Initializes a new instance of the CreditSpreadCurveData class.

◆ CreditSpreadCurveData() [2/2]

Lusid.Sdk.Model.CreditSpreadCurveData.CreditSpreadCurveData	(	DateTimeOffset	baseDate = `default(DateTimeOffset)`,
		string	domCcy = `default(string)`,
		List< string >	tenors = `default(List<string>)`,
		List< decimal >	spreads = `default(List<decimal>)`,
		decimal	recoveryRate = `default(decimal)`,
		DateTimeOffset?	referenceDate = `default(DateTimeOffset?)`,
		List< DateTimeOffset >	maturities = `default(List<DateTimeOffset>)`,
		string	lineage = `default(string)`,
		MarketDataOptions	marketDataOptions = `default(MarketDataOptions)`,
		MarketDataTypeEnum	marketDataType = `default(MarketDataTypeEnum)`
	)

inline

Initializes a new instance of the CreditSpreadCurveData class.

Parameters

baseDate	EffectiveAt date of the quoted rates (required).
domCcy	Domestic currency of the curve (required).
tenors	The tenors for which the rates apply For more information on tenors, see knowledge base article KA-02097 (required).
spreads	Par spread quotes corresponding to the tenors. (required).
recoveryRate	The recovery rate in default. (required).
referenceDate	If tenors are provided, this is the date against which the tenors will be resolved. This is of importance to CDX spread quotes, which are usually quoted in tenors relative to the CDX start date. In this case, the ReferenceDate would be equal to the CDX start date, and the BaseDate would be the date for which the spreads are valid. If not provided, this defaults to the BaseDate of the curve..
maturities	The maturity dates for which the rates apply. Either tenors or maturities should be provided, not both..
lineage	Description of the complex market data's lineage e.g. 'FundAccountant_GreenQuality'..
marketDataOptions	marketDataOptions.
marketDataType	The available values are: DiscountFactorCurveData, EquityVolSurfaceData, FxVolSurfaceData, IrVolCubeData, OpaqueMarketData, YieldCurveData, FxForwardCurveData, FxForwardPipsCurveData, FxForwardTenorCurveData, FxForwardTenorPipsCurveData, FxForwardCurveByQuoteReference, CreditSpreadCurveData, EquityCurveByPricesData, ConstantVolatilitySurface (required) (default to "CreditSpreadCurveData").

Member Function Documentation

◆ BaseValidate()

IEnumerable<System.ComponentModel.DataAnnotations.ValidationResult> Lusid.Sdk.Model.CreditSpreadCurveData.BaseValidate ( ValidationContext validationContext )

inlineprotected

To validate all properties of the instance

Parameters

validationContext Validation context

Returns: Validation Result

◆ Equals() [1/2]

bool Lusid.Sdk.Model.CreditSpreadCurveData.Equals ( CreditSpreadCurveData input )

inline

Returns true if CreditSpreadCurveData instances are equal

Parameters

input Instance of CreditSpreadCurveData to be compared

Returns: Boolean

◆ Equals() [2/2]

override bool Lusid.Sdk.Model.CreditSpreadCurveData.Equals ( object input )

inline

Returns true if objects are equal

Parameters

input Object to be compared

Returns: Boolean

◆ GetHashCode()

override int Lusid.Sdk.Model.CreditSpreadCurveData.GetHashCode ( )

inline

Gets the hash code

Returns: Hash code

◆ ToJson()

override string Lusid.Sdk.Model.CreditSpreadCurveData.ToJson ( )

inlinevirtual

Returns the JSON string presentation of the object

Returns: JSON string presentation of the object

Reimplemented from Lusid.Sdk.Model.ComplexMarketData.

◆ ToString()

override string Lusid.Sdk.Model.CreditSpreadCurveData.ToString ( )

inline

Returns the string presentation of the object

Returns: String presentation of the object

Property Documentation

◆ BaseDate

DateTimeOffset Lusid.Sdk.Model.CreditSpreadCurveData.BaseDate

getset

EffectiveAt date of the quoted rates

◆ DomCcy

string Lusid.Sdk.Model.CreditSpreadCurveData.DomCcy

getset

Domestic currency of the curve

◆ Lineage

string Lusid.Sdk.Model.CreditSpreadCurveData.Lineage

getset

Description of the complex market data's lineage e.g. 'FundAccountant_GreenQuality'.

◆ MarketDataOptions

MarketDataOptions Lusid.Sdk.Model.CreditSpreadCurveData.MarketDataOptions

getset

Gets or Sets MarketDataOptions

◆ Maturities

List<DateTimeOffset> Lusid.Sdk.Model.CreditSpreadCurveData.Maturities

getset

The maturity dates for which the rates apply. Either tenors or maturities should be provided, not both.

◆ RecoveryRate

decimal Lusid.Sdk.Model.CreditSpreadCurveData.RecoveryRate

getset

The recovery rate in default.

◆ ReferenceDate

DateTimeOffset? Lusid.Sdk.Model.CreditSpreadCurveData.ReferenceDate

getset

If tenors are provided, this is the date against which the tenors will be resolved. This is of importance to CDX spread quotes, which are usually quoted in tenors relative to the CDX start date. In this case, the ReferenceDate would be equal to the CDX start date, and the BaseDate would be the date for which the spreads are valid. If not provided, this defaults to the BaseDate of the curve.

◆ Spreads

List<decimal> Lusid.Sdk.Model.CreditSpreadCurveData.Spreads

getset

Par spread quotes corresponding to the tenors.

◆ Tenors

List<string> Lusid.Sdk.Model.CreditSpreadCurveData.Tenors

getset

The tenors for which the rates apply For more information on tenors, see knowledge base article KA-02097

The documentation for this class was generated from the following file:

/home/docs/checkouts/readthedocs.org/user_builds/lusid-sdk-csharp/checkouts/latest/sdk/Lusid.Sdk/Model/CreditSpreadCurveData.cs

Public Member Functions

Protected Member Functions

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CreditSpreadCurveData() [1/2]

◆ CreditSpreadCurveData() [2/2]

Member Function Documentation

◆ BaseValidate()

◆ Equals() [1/2]

◆ Equals() [2/2]

◆ GetHashCode()

◆ ToJson()

◆ ToString()

Property Documentation

◆ BaseDate

◆ DomCcy

◆ Lineage

◆ MarketDataOptions

◆ Maturities

◆ RecoveryRate

◆ ReferenceDate

◆ Spreads

◆ Tenors