Package com.opengamma.analytics.financial.credit.bumpers

Examples of com.opengamma.analytics.financial.credit.bumpers.SpreadBumpType

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                                                final ComputationTarget target,
                                                final ValueProperties properties,
                                                final FunctionInputs inputs,
                                                ISDACompliantCreditCurve hazardCurve, CDSAnalytic analytic) {
    final Double spreadCurveBump = Double.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_BUMP)));
    final SpreadBumpType spreadBumpType = SpreadBumpType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_BUMP_TYPE)));
    //final PriceType priceType = PriceType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_CDS_PRICE_TYPE)));
    final double[] gammaCS01 = new double[marketSpreads.length];
    final LocalDate[] dates = new LocalDate[marketSpreads.length];
    bucketedGammaCS01(definition,
                      yieldCurve,
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                                                final ValueProperties properties,
                                                final FunctionInputs inputs,
                                                ISDACompliantCreditCurve hazardCurve, CDSAnalytic analytic) {
    final Double spreadCurveBump = Double.valueOf(Iterables.getOnlyElement(properties.getValues(
        CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_BUMP)));
    final SpreadBumpType spreadBumpType = SpreadBumpType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_BUMP_TYPE)));
    //TODO: Pass this down
    //final PriceType priceType = PriceType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_CDS_PRICE_TYPE)));
    final double gammaCS01 = parallelGammaCS01(definition, yieldCurve, hazardCurve, analytic, spreadCurveBump, spreadBumpType);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.GAMMA_CS01, target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, gammaCS01));
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    //  ----------------------------------------------------------------------------------------------------------------------------------------

    // Define the market data to calibrate to

    // The type of spread bump to apply
    final SpreadBumpType spreadBumpType = SpreadBumpType.ADDITIVE_PARALLEL;

    // The number of CDS instruments used to calibrate against
    final int numberOfCalibrationCDS = 8;

    // The flat (unbumped) spread
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    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Define the market data to calibrate to

    // The type of spread bump to apply
    final SpreadBumpType spreadBumpType = SpreadBumpType.ADDITIVE_BUCKETED;

    // The number of CDS instruments used to calibrate against
    final int numberOfCalibrationCDS = 8;

    // The flat (unbumped) spread
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  @Override
  protected Set<ComputedValue> getComputedValue(final CreditDefaultSwapOptionDefinition definition, final ISDADateCurve yieldCurve, final double vol,
      final ZonedDateTime[] calibrationTenors, final double[] marketSpreads, final HazardRateCurve hazardRateCurve, final ZonedDateTime valuationTime,
      final ComputationTarget target, final ValueProperties properties) {
    final Double spreadCurveBump = Double.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_BUMP)));
    final SpreadBumpType spreadBumpType = SpreadBumpType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_BUMP_TYPE)));
    final double gammaCS01 = CALCULATOR.getGammaParallelShiftCreditDefaultSwapOption(valuationTime, definition, vol, yieldCurve, hazardRateCurve, calibrationTenors, marketSpreads,
        spreadCurveBump, spreadBumpType);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.GAMMA_CS01, target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, gammaCS01));
  }
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  @Override
  protected Set<ComputedValue> getComputedValue(final CreditDefaultSwapOptionDefinition definition, final ISDADateCurve yieldCurve, final double vol,
      final ZonedDateTime[] calibrationTenors, final double[] marketSpreads, final HazardRateCurve hazardRateCurve, final ZonedDateTime valuationTime,
      final ComputationTarget target, final ValueProperties properties) {
    final Double spreadCurveBump = Double.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_BUMP)));
    final SpreadBumpType spreadBumpType = SpreadBumpType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_BUMP_TYPE)));
    final double cs01 = CALCULATOR.getCS01ParallelShiftCreditDefaultSwapOption(valuationTime, definition, vol, yieldCurve, hazardRateCurve, calibrationTenors,
        marketSpreads, spreadCurveBump, spreadBumpType);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.CS01, target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, cs01));
  }
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  @Override
  protected Set<ComputedValue> getComputedValue(final CreditDefaultSwapOptionDefinition definition, final ISDADateCurve yieldCurve, final double vol,
      final ZonedDateTime[] calibrationTenors, final double[] marketSpreads, final HazardRateCurve hazardRateCurve, final ZonedDateTime valuationTime,
      final ComputationTarget target, final ValueProperties properties) {
    final Double spreadCurveBump = Double.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_BUMP)));
    final SpreadBumpType spreadBumpType = SpreadBumpType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_BUMP_TYPE)));
    final double[] cs01 = CALCULATOR.getCS01BucketedCreditDefaultSwapOption(valuationTime, definition, vol, yieldCurve, hazardRateCurve, calibrationTenors, marketSpreads, spreadCurveBump,
        spreadBumpType);
    final int n = calibrationTenors.length;
    final LocalDate[] dates = new LocalDate[n];
    for (int i = 0; i < n; i++) {
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  @Override
  protected Set<ComputedValue> getComputedValue(final CreditDefaultSwapOptionDefinition definition, final ISDADateCurve yieldCurve, final double vol,
      final ZonedDateTime[] calibrationTenors, final double[] marketSpreads, final HazardRateCurve hazardRateCurve, final ZonedDateTime valuationTime,
      final ComputationTarget target, final ValueProperties properties) {
    final Double spreadCurveBump = Double.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_BUMP)));
    final SpreadBumpType spreadBumpType = SpreadBumpType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_BUMP_TYPE)));
    final double[] gammaCS01 = CALCULATOR.getGammaBucketedCreditDefaultSwapOption(valuationTime, definition, vol, yieldCurve, hazardRateCurve, calibrationTenors,
        marketSpreads, spreadCurveBump, spreadBumpType);
    final int n = calibrationTenors.length;
    final LocalDate[] dates = new LocalDate[n];
    for (int i = 0; i < n; i++) {
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                                                final FunctionInputs inputs,
                                                ISDACompliantCreditCurve hazardCurve,
                                                CDSAnalytic analytic) {
    final Double spreadCurveBump = Double.valueOf(Iterables.getOnlyElement(properties.getValues(
        CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_BUMP)));
    final SpreadBumpType spreadBumpType = SpreadBumpType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_BUMP_TYPE)));
    //TODO: Pass this down
    //final PriceType priceType = PriceType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_CDS_PRICE_TYPE)));
    final double gammaCS01 = StandardVanillaParallelGammaCS01CDSFunction.parallelGammaCS01(definition,
                                                                                           yieldCurve,
                                                                                           hazardCurve,
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                                                final FunctionInputs inputs,
                                                ISDACompliantCreditCurve hazardCurve,
                                                CDSAnalytic analytic) {
    final Double spreadCurveBump = Double.valueOf(Iterables.getOnlyElement(properties.getValues(
        CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_BUMP)));
    final SpreadBumpType spreadBumpType = SpreadBumpType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_BUMP_TYPE)));
    final double[] gammaCS01 = new double[times.length];
    final LocalDate[] dates = new LocalDate[times.length];
    StandardVanillaBucketedGammaCS01CDSFunction.bucketedGammaCS01(definition, yieldCurve, times, marketSpreads, hazardCurve, analytic, spreadCurveBump, spreadBumpType, gammaCS01, dates);
    final LocalDateLabelledMatrix1D cs01Matrix = new LocalDateLabelledMatrix1D(dates, gammaCS01);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.BUCKETED_GAMMA_CS01, target.toSpecification(), properties);
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Related Classes of com.opengamma.analytics.financial.credit.bumpers.SpreadBumpType

  • com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.GammaLegacyCreditDefaultSwapTest
  • com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaBucketedGammaCS01CDSFunction
  • com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaParallelGammaCS01CDSFunction
  • com.opengamma.financial.analytics.model.credit.isda.cdsoption.ISDACreditDefaultSwapOptionBucketedCS01Function
  • com.opengamma.financial.analytics.model.credit.isda.cdsoption.ISDACreditDefaultSwapOptionBucketedGammaCS01Function
  • com.opengamma.financial.analytics.model.credit.isda.cdsoption.ISDACreditDefaultSwapOptionParallelCS01Function
  • com.opengamma.financial.analytics.model.credit.isda.cdsoption.ISDACreditDefaultSwapOptionParallelGammaCS01Function
  • com.opengamma.financial.analytics.model.credit.isda.cdx.ISDACDXAsSingleNameBucketedGammaCS01Function
  • com.opengamma.financial.analytics.model.credit.isda.cdx.ISDACDXAsSingleNameParallelGammaCS01Function
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