List of constructISDACompliantCreditDefaultSwapPremiumLegSchedule() Examples

Examples of constructISDACompliantCreditDefaultSwapPremiumLegSchedule()

com.opengamma.analytics.financial.credit.schedulegeneration.GenerateCreditDefaultSwapPremiumLegSchedule.constructISDACompliantCreditDefaultSwapPremiumLegSchedule()
Calculate Business Day Adjusted (BDA) cash flow dates on a CDS premium leg @param cds The CDS @return array-of-arrays of ZonedDateTime. This 'matrix' has 4 columns: The first is the BDA cash flow times (the first and last entries are the start and end dates - which are Unadjusted); the second is the accrual start date (which is usually the previous cash flow time), note the first of these is null; the third is the accrual end date (which is usually the same as the cash flow time), note the first of these is null; the fourth is the accrual pay date (which is usually the same as the cash flow time), note the first of these is null; @deprecated is will be replaced once it is fully tested

Examples of com.opengamma.analytics.financial.credit.schedulegeneration.GenerateCreditDefaultSwapPremiumLegSchedule.constructISDACompliantCreditDefaultSwapPremiumLegSchedule()

   */
  @Test
  public void testAccruedInterestZeroSpread() {
    final LegacyVanillaCreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
    GenerateCreditDefaultSwapPremiumLegSchedule premiumLegScheduleBuilder = new GenerateCreditDefaultSwapPremiumLegSchedule();
    final ZonedDateTime[][] premiumLegSchedule = premiumLegScheduleBuilder.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
    final ZonedDateTime stepinDate = VALUATION_DATE.plusDays(1);
    final double accruedInterest = (cds.getNotional() * cds.getParSpread() / 10000.0) * CALCULATOR.calculateAccruedInterest(cds, premiumLegSchedule, stepinDate);
    final double cleanPrice = CALCULATOR.calibrateAndGetPresentValue(VALUATION_DATE, cds, MARKET_TENORS, ZERO_SPREADS, YIELD_CURVE, PriceType.CLEAN);
    final double dirtyPrice = CALCULATOR.calibrateAndGetPresentValue(VALUATION_DATE, cds, MARKET_TENORS, ZERO_SPREADS, YIELD_CURVE, PriceType.DIRTY);
    assertEquals(cleanPrice, dirtyPrice + accruedInterest, EPS);

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Examples of com.opengamma.analytics.financial.credit.schedulegeneration.GenerateCreditDefaultSwapPremiumLegSchedule.constructISDACompliantCreditDefaultSwapPremiumLegSchedule()

   */
  @Test
  public void testAccruedInterest() {
    final LegacyVanillaCreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
    GenerateCreditDefaultSwapPremiumLegSchedule premiumLegScheduleBuilder = new GenerateCreditDefaultSwapPremiumLegSchedule();
    final ZonedDateTime[][] premiumLegSchedule = premiumLegScheduleBuilder.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
    final ZonedDateTime stepinDate = VALUATION_DATE.plusDays(1);
    final double accruedInterest = (cds.getNotional() * cds.getParSpread() / 10000.0) * CALCULATOR.calculateAccruedInterest(cds, premiumLegSchedule, stepinDate);
    final double dirtyPremiumLeg = -CALCULATOR.calculatePremiumLeg(VALUATION_DATE, cds, YIELD_CURVE, HAZARD_CURVE, PriceType.DIRTY) * cds.getParSpread() / BP;
    final double riskyAnnuity = CALCULATOR.calculatePremiumLeg(VALUATION_DATE, cds, YIELD_CURVE, HAZARD_CURVE, PriceType.CLEAN);
    final double cleanPremiumLeg = -cds.getParSpread() / BP * riskyAnnuity;

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Examples of com.opengamma.analytics.financial.credit.schedulegeneration.GenerateCreditDefaultSwapPremiumLegSchedule.constructISDACompliantCreditDefaultSwapPremiumLegSchedule()

   */
  @Test
  public void regressionTest() {
    final LegacyVanillaCreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
    GenerateCreditDefaultSwapPremiumLegSchedule premiumLegScheduleBuilder = new GenerateCreditDefaultSwapPremiumLegSchedule();
    final ZonedDateTime[][] premiumLegSchedule = premiumLegScheduleBuilder.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
    final ZonedDateTime stepinDate = VALUATION_DATE.plusDays(1);
    final double accruedInterest = (cds.getNotional() * cds.getParSpread() / 10000.0) * CALCULATOR.calculateAccruedInterest(cds, premiumLegSchedule, stepinDate);
    final double dirtyPremiumLeg = -CALCULATOR.calculatePremiumLeg(VALUATION_DATE, cds, YIELD_CURVE, HAZARD_CURVE, PriceType.DIRTY) * cds.getParSpread() / BP;
    final double riskyAnnuity = CALCULATOR.calculatePremiumLeg(VALUATION_DATE, cds, YIELD_CURVE, HAZARD_CURVE, PriceType.CLEAN);
    final double cleanPremiumLeg = -cds.getParSpread() / BP * riskyAnnuity;

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