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

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.definition.vanilla.CreditDefaultSwapDefinition.withRecoveryRate()

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    // Extract the underlying CDS from the CDS Swaption contract
    CreditDefaultSwapDefinition modifiedCDS = getUnderlyingCDS();

    // Modify the recovery rate of the underlying CDS
    modifiedCDS = modifiedCDS.withRecoveryRate(recoveryRate);

    // Return the modified CDS Swaption contract
    return new CreditDefaultSwapOptionDefinition(
        getBuySellProtection(),
        getProtectionBuyer(),
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