com.opengamma.analytics.financial.credit.recoveryratemodel.RecoveryRateModelStochastic.java Source code

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Here is the source code for com.opengamma.analytics.financial.credit.recoveryratemodel.RecoveryRateModelStochastic.java

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/**
 * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.credit.recoveryratemodel;

import org.apache.commons.math.distribution.BetaDistributionImpl;

/**
 * Class to specify a stochastic recovery rate model to tag to a given obligor/trade
 */
public class RecoveryRateModelStochastic extends RecoveryRateModel {

    // ----------------------------------------------------------------------------------------------------------------------------------------

    // TODO : Sort out the hack for the super class ctor call
    // TODO : Need to add the arg checkers for the input arguments

    // ----------------------------------------------------------------------------------------------------------------------------------------

    // The parameters of the beta distribution
    private final double _a;
    private final double _b;

    private final double _x;

    private final double _recoveryRate;

    private final RecoveryRateType _recoveryRateType;

    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Ctor for the stochastic recovery rate model

    public RecoveryRateModelStochastic(final double a, final double b, final double x) {

        super(0.0);

        _a = a;
        _b = b;

        _x = x;

        BetaDistributionImpl betaDistribution = new BetaDistributionImpl(_a, _b);

        // FIXME : Fix this
        _recoveryRate = 0.0; //betaDistribution.inverseCumulativeProbability(_x);

        _recoveryRateType = RecoveryRateType.STOCHASTIC;

        // ----------------------------------------------------------------------------------------------------------------------------------------
    }

    // ----------------------------------------------------------------------------------------------------------------------------------------

    public double geta() {
        return _a;
    }

    public double getb() {
        return _b;
    }

    public double getx() {
        return _x;
    }

    @Override
    public double getRecoveryRate() {
        return _recoveryRate;
    }

    public RecoveryRateType getRecoveryRateType() {
        return _recoveryRateType;
    }

    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Builder method to allow the stochastic recovery rate to be sampled at different values of x

    public RecoveryRateModelStochastic sampleRecoveryRate(final double x) {

        final RecoveryRateModelStochastic modifiedRecoveryRateModel = new RecoveryRateModelStochastic(geta(),
                getb(), x);

        return modifiedRecoveryRateModel;
    }

    // ----------------------------------------------------------------------------------------------------------------------------------------
}