Examples of CDSAnalyticFactory

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalyticFactory

65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
    double cs01;
    if (definition instanceof StandardCreditDefaultSwapDefinition) {
      StandardCreditDefaultSwapDefinition cds = (StandardCreditDefaultSwapDefinition) definition;
      cs01 = CALCULATOR.parallelCS01(analytic, new QuotedSpread(cds.getQuotedSpread() * 1e-4, getCoupon(cds.getPremiumLegCoupon())), yieldCurve, fracBump);
    } else if (definition instanceof LegacyCreditDefaultSwapDefinition) {
      final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(definition.getRecoveryRate(), definition.getCouponFrequency().getPeriod())
          .with(definition.getBusinessDayAdjustmentConvention())
          .with(definition.getCalendar()).with(definition.getStubType())
          .withAccualDCC(definition.getDayCountFractionConvention());
      Period[] tenors = new Period[times.length];
      for (int i = 0; i < times.length; i++) {
        tenors[i] = Period.between(definition.getStartDate().toLocalDate(), times[i].toLocalDate()).withDays(0);
      }
      CDSAnalytic[] pillars = analyticFactory.makeIMMCDS(definition.getStartDate().toLocalDate(), tenors);
      cs01 = CALCULATOR.parallelCS01FromParSpreads(analytic,
                                                   ((LegacyCreditDefaultSwapDefinition) definition).getParSpread() * 1e-4,
                                                   yieldCurve,
                                                   pillars,
                                                   marketSpreads,
View Full Code Here

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalyticFactory

97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
                                 CDSAnalytic analytic,
                                 Double spreadCurveBump,
                                 SpreadBumpType spreadBumpType,
                                 double[] gammaCS01, LocalDate[] dates) {

    final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(definition.getRecoveryRate(), definition.getCouponFrequency().getPeriod())
        .with(definition.getBusinessDayAdjustmentConvention())
        .with(definition.getCalendar()).with(definition.getStubType())
        .withAccualDCC(definition.getDayCountFractionConvention());
    Period[] tenors = new Period[times.length];
    for (int i = 0; i < times.length; i++) {
      tenors[i] = Period.between(definition.getStartDate().toLocalDate(), times[i].toLocalDate()).withDays(0);
    }
    CDSAnalytic[] buckets = analyticFactory.makeIMMCDS(definition.getStartDate().toLocalDate(), tenors);

    for (int i = 0; i < times.length; i++) {
      final double[] bumpedUpRates = SPREAD_BUMPER.getBumpedCreditSpreads(marketSpreads, i, spreadCurveBump * 1e-4, spreadBumpType);
      final double[] bumpedDownRates = SPREAD_BUMPER.getBumpedCreditSpreads(marketSpreads, i, -spreadCurveBump * 1e-4, spreadBumpType);
      final ISDACompliantCreditCurve bumpedUpCreditCurve = CURVE_BUILDER.calibrateCreditCurve(buckets, bumpedUpRates, yieldCurve);
View Full Code Here

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalyticFactory

73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
  public static LocalDateLabelledMatrix1D getBucketedCS01(CreditDefaultSwapDefinition definition,
                                                    ISDACompliantYieldCurve yieldCurve,
                                                    ZonedDateTime[] times,
                                                    ISDACompliantCreditCurve hazardCurve, CDSAnalytic analytic, double bump) {
    final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(definition.getRecoveryRate(), definition.getCouponFrequency().getPeriod())
        .with(definition.getBusinessDayAdjustmentConvention())
        .with(definition.getCalendar()).with(definition.getStubType())
        .withAccualDCC(definition.getDayCountFractionConvention());

    Period[] tenors = new Period[times.length];
    for (int i = 0; i < times.length; i++) {
      tenors[i] = Period.between(definition.getStartDate().toLocalDate(), times[i].toLocalDate()).withDays(0);
    }
    CDSAnalytic[] buckets = analyticFactory.makeIMMCDS(definition.getStartDate().toLocalDate(), tenors);

    double[] cs01Values;
    if (definition instanceof StandardCreditDefaultSwapDefinition) {
      StandardCreditDefaultSwapDefinition cds = (StandardCreditDefaultSwapDefinition) definition;
      cs01Values = CALCULATOR.bucketedCS01FromCreditCurve(analytic, getCoupon(definition), buckets, yieldCurve, hazardCurve, bump);
View Full Code Here

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalyticFactory

125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
    for (int i = 0; i < n; i++) {
      times[i] = IMMDateGenerator.getNextIMMDate(valuationTime, tenors[i]).withHour(0).withMinute(0).withSecond(0).withNano(0);
      marketSpreads[i] = marketSpreadObjects[i] * 1e-4;
    }
    ISDACompliantCreditCurve hazardCurve = (ISDACompliantCreditCurve) inputs.getValue(ValueRequirementNames.HAZARD_RATE_CURVE);
    final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(0, definition.getCouponFrequency().getPeriod())
        .with(definition.getBusinessDayAdjustmentConvention())
        .with(definition.getCalendar()).with(definition.getStubType())
        .withAccualDCC(definition.getDayCountFractionConvention());
    final CDSAnalytic pricingCDS = analyticFactory.makeCDS(definition.getStartDate().toLocalDate(), definition.getEffectiveDate().toLocalDate(), definition.getMaturityDate().toLocalDate());
    final ValueProperties properties = desiredValues.iterator().next().getConstraints().copy()
        .with(ValuePropertyNames.FUNCTION, getUniqueId())
        .get();
    return getComputedValue(definition, yieldCurve, times, marketSpreads, valuationTime, target, properties, inputs, hazardCurve, pricingCDS);
  }
View Full Code Here

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalyticFactory

103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
    final Double[] marketSpreadObjects = CreditFunctionUtils.getSpreads(spreadCurve.getYData());
    ParallelArrayBinarySort.parallelBinarySort(tenors, marketSpreadObjects);
    final int n = tenors.length;

    // assume new style IMM maturities
    final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(cds.getRecoveryRate(), cds.getCouponFrequency().getPeriod())
        .with(cds.getBusinessDayAdjustmentConvention())
        .with(calendar).with(cds.getStubType())
        .withAccualDCC(cds.getDayCountFractionConvention());

    final CDSAnalytic pricingCDS = analyticFactory.makeCDS(valuationTime.toLocalDate(), cds.getEffectiveDate().toLocalDate(), cds.getMaturityDate().toLocalDate());
    double spread = 0;
    final ZonedDateTime[] times = new ZonedDateTime[n];
    final CDSAnalytic[] creditAnalytics = new CDSAnalytic[n];
    final double[] marketSpreads = new double[n];
    for (int i = 0; i < n; i++) {
      ZonedDateTime nextIMM = IMMDateGenerator.getNextIMMDate(valuationTime, tenors[i]).withHour(0).withMinute(0).withSecond(0).withNano(0);
      creditAnalytics[i] = analyticFactory.makeCDS(valuationTime.toLocalDate(), cds.getEffectiveDate().toLocalDate(), nextIMM.toLocalDate());
      marketSpreads[i] = marketSpreadObjects[i] * 1e-4;
      if (!nextIMM.isAfter(cds.getMaturityDate().withHour(0).withMinute(0).withSecond(0).withNano(0))) {
        spread = marketSpreads[i];
      }
    }
View Full Code Here

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalyticFactory

109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
    final Tenor[] tenors = CreditFunctionUtils.getTenors(spreadCurve.getXData());
    final Double[] marketSpreadObjects = CreditFunctionUtils.getSpreads(spreadCurve.getYData());
    ParallelArrayBinarySort.parallelBinarySort(tenors, marketSpreadObjects);
    final int n = tenors.length;
    // assume new style IMM maturities
    final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(cds.getRecoveryRate(), cds.getCouponFrequency().getPeriod())
        .with(cds.getBusinessDayAdjustmentConvention())
        .with(calendar).with(cds.getStubType())
        .withAccualDCC(cds.getDayCountFractionConvention());

    final CDSAnalytic pricingCDS = analyticFactory.makeCDS(valuationTime.toLocalDate(), cds.getEffectiveDate().toLocalDate(), cds.getMaturityDate().toLocalDate());
    double spread = 0;
    final ZonedDateTime[] times = new ZonedDateTime[n];
    final CDSAnalytic[] creditAnalytics = new CDSAnalytic[n];
    final double[] marketSpreads = new double[n];
    for (int i = 0; i < n; i++) {
      ZonedDateTime nextIMM = IMMDateGenerator.getNextIMMDate(valuationTime, tenors[i]).withHour(0).withMinute(0).withSecond(0).withNano(0);
      creditAnalytics[i] = analyticFactory.makeCDS(valuationTime.toLocalDate(), cds.getEffectiveDate().toLocalDate(), nextIMM.toLocalDate());
      marketSpreads[i] = marketSpreadObjects[i] * 1e-4;
      if (!nextIMM.isAfter(cds.getMaturityDate().withHour(0).withMinute(0).withSecond(0).withNano(0))) {
        spread = marketSpreads[i];
      }
    }
View Full Code Here

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalyticFactory

80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
    if (hazardRateCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get hazard rate curve");
    }
    final ISDACompliantCreditCurve hazardRateCurve = (ISDACompliantCreditCurve) hazardRateCurveObject;

    final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(definition.getRecoveryRate(), definition.getCouponFrequency().getPeriod())
        .with(definition.getBusinessDayAdjustmentConvention())
        .with(definition.getCalendar()).with(definition.getStubType())
        .withAccualDCC(definition.getDayCountFractionConvention());

    double pv;
    final CDSAnalytic pricingCDS = analyticFactory.makeCDS(valuationDate.toLocalDate(), definition.getEffectiveDate().toLocalDate(), definition.getMaturityDate().toLocalDate());
    if (definition instanceof LegacyCreditDefaultSwapDefinition) {
      pv = PRICER.pv(pricingCDS, yieldCurve, hazardRateCurve, ((LegacyCreditDefaultSwapDefinition) definition).getParSpread()) * definition.getNotional();
    } else if (definition instanceof StandardCreditDefaultSwapDefinition) {
      pv = POINTS_UP_FRONT_CONVERTER.quotedSpreadToPUF(pricingCDS,
                                                        getCoupon(((StandardCreditDefaultSwapDefinition) definition).getPremiumLegCoupon()),
View Full Code Here

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalyticFactory

118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
    for (int i = 0; i < n; i++) {
      times[i] = IMMDateGenerator.getNextIMMDate(valuationTime, tenors[i]).withHour(0).withMinute(0).withSecond(0).withNano(0);
      marketSpreads[i] = marketSpreadObjects[i] * 1e-4;
    }
    ISDACompliantCreditCurve hazardCurve = (ISDACompliantCreditCurve) inputs.getValue(ValueRequirementNames.HAZARD_RATE_CURVE);
    final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(0, definition.getCouponFrequency().getPeriod())
        .with(definition.getBusinessDayAdjustmentConvention())
        .with(definition.getCalendar()).with(definition.getStubType())
        .withAccualDCC(definition.getDayCountFractionConvention());
    final CDSAnalytic pricingCDS = analyticFactory.makeCDS(definition.getStartDate().toLocalDate(), definition.getEffectiveDate().toLocalDate(), definition.getMaturityDate().toLocalDate());
    final ValueProperties properties = desiredValues.iterator().next().getConstraints().copy()
        .with(ValuePropertyNames.FUNCTION, getUniqueId())
        .get();
    return getComputedValue(definition, yieldCurve, times, marketSpreads, valuationTime, target, properties, inputs, hazardCurve, pricingCDS);
  }
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.