Examples of UnderlyingPool

com.opengamma.analytics.financial.credit.underlyingpool.definition.UnderlyingPool
Class to specify the composition and characteristics of a collection of Obligor objects aggregated into a common pool In the credit index context the underlying pool is the set of obligors that constitute an index (e.g. CDX.NA.IG series 18)

Examples of com.opengamma.analytics.financial.credit.underlyingpool.definition.UnderlyingPool


    // Calculate the unbumped value of the index
    final double presentValue = indexPresentValue.getIntrinsicPresentValueIndexCreditDefaultSwap(valuationDate, indexCDS, breakevenSpreads, yieldCurves, hazardRateCurves);


    // Extract out the underlying pool from the index CDS
    UnderlyingPool modifiedPool = indexCDS.getUnderlyingPool();


    double[] recoveryRates = modifiedPool.getRecoveryRates();


    //final double recoveryRate = modifiedPool.getRecoveryRates()[i];


    final double[] bumpedRecoveryRates = recoveryRateBumper.getBumpedRecoveryRate(recoveryRates, recoveryRateBump, recoveryRateBumpType);


    // Modify the temp pool object to have the bumped recovery rate vector
    modifiedPool = modifiedPool.withRecoveryRates(bumpedRecoveryRates);


    // Construct a temporary index CDS
    IndexCreditDefaultSwapDefinition tempIndex = indexCDS;


    // Modify the temporary index to have the modified underlying pool

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Examples of com.opengamma.analytics.financial.credit.underlyingpool.definition.UnderlyingPool

    for (int i = 0; i < numberOfObligors; i++) {


      // TODO : Suspect there is a bug here in how the recovery rate is being bumped


      // Extract out the underlying pool from the index CDS
      UnderlyingPool modifiedPool = indexCDS.getUnderlyingPool();


      double[] bumpedRecoveryRates = modifiedPool.getRecoveryRates();


      final double recoveryRate = modifiedPool.getRecoveryRates()[i];


      bumpedRecoveryRates[i] = recoveryRateBumper.getBumpedRecoveryRate(recoveryRate, recoveryRateBump, recoveryRateBumpType);


      // Modify the temp pool object to have the bumped recovery rate vector
      modifiedPool = modifiedPool.withRecoveryRates(bumpedRecoveryRates);


      // Construct a temporary index CDS
      IndexCreditDefaultSwapDefinition tempIndex = indexCDS;


      // Modify the temporary index to have the modified underlying pool

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Examples of com.opengamma.analytics.financial.credit.underlyingpool.definition.UnderlyingPool

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


  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullPoolNameField() {


    new UnderlyingPool(null, obligors, currency, debtSeniority, restructuringClause, notionals, coupons, recoveryRates, obligorWeights);
  }

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Examples of com.opengamma.analytics.financial.credit.underlyingpool.definition.UnderlyingPool

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


  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullObligorsField() {


    new UnderlyingPool(poolName, null, currency, debtSeniority, restructuringClause, notionals, coupons, recoveryRates, obligorWeights);
  }

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Examples of com.opengamma.analytics.financial.credit.underlyingpool.definition.UnderlyingPool

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


  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullCurrencyField() {


    new UnderlyingPool(poolName, obligors, null, debtSeniority, restructuringClause, notionals, coupons, recoveryRates, obligorWeights);
  }

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Examples of com.opengamma.analytics.financial.credit.underlyingpool.definition.UnderlyingPool

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


  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullDebtSeniorityField() {


    new UnderlyingPool(poolName, obligors, currency, null, restructuringClause, notionals, coupons, recoveryRates, obligorWeights);
  }

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Examples of com.opengamma.analytics.financial.credit.underlyingpool.definition.UnderlyingPool

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


  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullRestructuringClauseField() {


    new UnderlyingPool(poolName, obligors, currency, debtSeniority, null, notionals, coupons, recoveryRates, obligorWeights);
  }

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Examples of com.opengamma.analytics.financial.credit.underlyingpool.definition.UnderlyingPool

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


  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullCreditSpreadTenorsField() {


    new UnderlyingPool(poolName, obligors, currency, debtSeniority, restructuringClause, notionals, coupons, recoveryRates, obligorWeights);
  }

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Examples of com.opengamma.analytics.financial.credit.underlyingpool.definition.UnderlyingPool

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


  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullCreditSpreadTermStructuresField() {


    new UnderlyingPool(poolName, obligors, currency, debtSeniority, restructuringClause, notionals, coupons, recoveryRates, obligorWeights);
  }

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Examples of com.opengamma.analytics.financial.credit.underlyingpool.definition.UnderlyingPool

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


  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullNotionalsField() {


    new UnderlyingPool(poolName, obligors, currency, debtSeniority, restructuringClause, null, coupons, recoveryRates, obligorWeights);
  }

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