List of constructCreditDefaultSwapAccruedLegIntegrationSchedule() Examples

    final HazardRateCurve hazardRateCurve = new HazardRateCurve(hazDates, hazTimes, hazRates, offset);


    for (int j = 5; j < 21; j += 3) {
      final CreditDefaultSwapDefinition cds1 = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(valDate.plusYears(j));


      final LocalDate[] res1Deprecated = ISDACompliantScheduleGenerator.toLocalDate(calculator.constructCreditDefaultSwapAccruedLegIntegrationSchedule(valDate, cds1, yieldCurve, hazardRateCurve, true));
      final int nRes1Deprecated = res1Deprecated.length;


      final LocalDate startDateLocal = ISDACompliantScheduleGenerator.toLocalDate(new ZonedDateTime[] {cds1.getStartDate() })[0];
      /*
       * Note cds1.getProtectionStart() == ture by default, thus .plusDays(1) is needed

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Examples of constructCreditDefaultSwapAccruedLegIntegrationSchedule()

Examples of com.opengamma.analytics.financial.credit.schedulegeneration.GenerateCreditDefaultSwapIntegrationSchedule.constructCreditDefaultSwapAccruedLegIntegrationSchedule()