Examples of ISDADateCurve

com.opengamma.analytics.financial.credit.isdayieldcurve.ISDADateCurve
The underlying curve is the zero default rate to time t, H(t), defined as H(t) = -ln[Q(0,t)]/t, where Q(0,t) is the survival probably from now (time 0) to time t. This currently extends YieldAndDiscountCurve and thus uses the nomenclature of the rates world. The links are
- Discount factor P(0,t) <==> survival probability Q(0,t)
- Zero rate (or yield) R(t) = -ln[P(0,t)]/t <==> Zero default rate H(t) = -ln[Q(0,t)]/t
The underlying curve is a linear interpolation of the quantity t*H(t) = -ln[Q(0,t)], which is the ISDA model standard

Examples of com.opengamma.analytics.financial.credit.isdayieldcurve.ISDADateCurve

        }
        break;
      default:
        throw new IllegalArgumentException("Cannot handle bump type " + yieldBumpType);
    }
    final ISDADateCurve bumpedYieldCurve = new ISDADateCurve("Bumped", yieldCurve.getCurveDates(), yieldCurve.getTimePoints(), bumpedYields, yieldCurve.getOffset());
    calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, marketSpreads, bumpedYieldCurve);
    hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
    curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(bumpedYieldCurve, hazardRateCurve);
    final double bumpedPresentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
    return (bumpedPresentValue - presentValue) / yieldBump;

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Examples of com.opengamma.analytics.financial.credit.isdayieldcurve.ISDADateCurve

    }
    final Object spreadCurveObject = inputs.getValue(ValueRequirementNames.CREDIT_SPREAD_CURVE);
    if (spreadCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get credit spread curve");
    }
    final ISDADateCurve yieldCurve = (ISDADateCurve) yieldCurveObject;
    final NodalObjectsCurve<?, ?> spreadCurve = (NodalObjectsCurve<?, ?>) spreadCurveObject;
    final Tenor[] tenors = CreditFunctionUtils.getTenors(spreadCurve.getXData());
    final Double[] marketSpreadObjects = CreditFunctionUtils.getSpreads(spreadCurve.getYData());
    ParallelArrayBinarySort.parallelBinarySort(tenors, marketSpreadObjects);
    final int n = tenors.length;

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Examples of com.opengamma.analytics.financial.credit.isdayieldcurve.ISDADateCurve

        break;
      default:
        throw new IllegalArgumentException("Cannot support bumps of type " + interestRateBumpType);
    }


    final ISDADateCurve bumpedYieldCurve = new ISDADateCurve("Bumped", yieldCurve.getCurveDates(), yieldCurve.getTimePoints(), bumpedInterestRates, yieldCurve.getOffset());


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


    // Calculate the unbumped CDS PV
    final double presentValue = PV_CALCULATOR.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, marketSpreads, yieldCurve, priceType);

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Examples of com.opengamma.analytics.financial.credit.isdayieldcurve.ISDADateCurve

    final double presentValue = PV_CALCULATOR.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, marketSpreads, yieldCurve, priceType);


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


    // Loop through and bump each of the spreads at each tenor
    ISDADateCurve bumpedYieldCurve;
    double bumpedPresentValue;
    for (int m = 0; m < nRates; m++) {
      switch (interestRateBumpType) {
        case ADDITIVE:
          bumpedInterestRates[m] += bumpInBp;
          try {
            bumpedYieldCurve = new ISDADateCurve("Bumped", marketTenors, yieldCurve.getTimePoints(), bumpedInterestRates, yieldCurve.getOffset());
          } catch (ArrayIndexOutOfBoundsException aioobe) {
            s_logger.error("AIOOBE", aioobe);
            throw aioobe;
          }
          bumpedPresentValue = PV_CALCULATOR.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, marketSpreads, bumpedYieldCurve, priceType);
          bucketedIR01[m] = (bumpedPresentValue - presentValue) / interestRateBump;
          bumpedInterestRates[m] -= bumpInBp;
          break;
        case MULTIPLICATIVE:
          bumpedInterestRates[m] *= 1 + bumpInBp;
          bumpedYieldCurve = new ISDADateCurve("Bumped", marketTenors, yieldCurve.getTimePoints(), bumpedInterestRates, yieldCurve.getOffset());
          bumpedPresentValue = PV_CALCULATOR.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, marketSpreads, bumpedYieldCurve, priceType);
          bucketedIR01[m] = (bumpedPresentValue - presentValue) / interestRateBump;
          bumpedInterestRates[m] /= 1 + bumpInBp;
          break;
        default:

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Examples of com.opengamma.analytics.financial.credit.isdayieldcurve.ISDADateCurve

    }
    final Object hazardRateCurveObject = inputs.getValue(ValueRequirementNames.HAZARD_RATE_CURVE);
    if (hazardRateCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get hazard rate curve");
    }
    final ISDADateCurve yieldCurve = (ISDADateCurve) yieldCurveObject;
    final double volatility = 0.3; //TODO
    final HazardRateCurve hazardRateCurve = (HazardRateCurve) hazardRateCurveObject;
    final NodalObjectsCurve<?, ?> spreadCurve = (NodalObjectsCurve<?, ?>) spreadCurveObject;
    final Tenor[] tenors = CreditFunctionUtils.getTenors(spreadCurve.getXData());
    final Double[] marketSpreadObjects = CreditFunctionUtils.getSpreads(spreadCurve.getYData());

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