Package com.opengamma.analytics.financial.credit.creditdefaultswap.definition.legacy

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.definition.legacy.LegacyCreditDefaultSwapDefinition.withMaturityDate()

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        runningTenorsAsDoubles[i] = tenorsAsDoubles[i];
        runningHazardRates[i] = hazardRates[i];
      }

      // Modify the calibration CDS to have a maturity of tenor[m]
      calibrationCDS = (LegacyCreditDefaultSwapDefinition) calibrationCDS.withMaturityDate(marketTenors[m]);

      // Modify the calibration CDS to have a contractual spread of marketSpread[m]
      calibrationCDS = calibrationCDS.withSpread(marketSpreads[m]);

      // Compute the calibrated hazard rate for tenor[m] (using the calibrated hazard rates for tenors 1, ..., m - 1)
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        runningTenorsAsDoubles[i] = tenorsAsDoubles[i];
        runningHazardRates[i] = hazardRates[i];
      }

      // Modify the calibration CDS to have a maturity of tenor[m]
      calibrationCDS = (LegacyCreditDefaultSwapDefinition) calibrationCDS.withMaturityDate(marketTenors[m]);

      // Modify the calibration CDS to have a contractual spread of marketSpread[m]
      calibrationCDS = calibrationCDS.withSpread(marketSpreads[m]);

      // Compute the calibrated hazard rate for tenor[m] (using the calibrated hazard rates for tenors 1, ..., m - 1)
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