Package com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.VoDCreditDefaultSwap


    marketSpreads[7] = flatSpread;

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

    // Create a RecoveryRate01 calculator object
    final VoDCreditDefaultSwap vod = new VoDCreditDefaultSwap();

    // Compute the VoD
    //final double valueOnDefault = vod.getValueOnDefaultCreditDefaultSwap(valuationDate, cds, yieldCurve, tenors, marketSpreads, priceType);

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