Examples of makeCDS()

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalyticFactory.makeCDS()

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    ISDACompliantCreditCurve hazardCurve = (ISDACompliantCreditCurve) inputs.getValue(ValueRequirementNames.HAZARD_RATE_CURVE);
    final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(0, definition.getCouponFrequency().getPeriod())
        .with(definition.getBusinessDayAdjustmentConvention())
        .with(definition.getCalendar()).with(definition.getStubType())
        .withAccualDCC(definition.getDayCountFractionConvention());
    final CDSAnalytic pricingCDS = analyticFactory.makeCDS(definition.getStartDate().toLocalDate(), definition.getEffectiveDate().toLocalDate(), definition.getMaturityDate().toLocalDate());
    final ValueProperties properties = desiredValues.iterator().next().getConstraints().copy()
        .with(ValuePropertyNames.FUNCTION, getUniqueId())
        .get();
    return getComputedValue(definition, yieldCurve, times, marketSpreads, valuationTime, target, properties, inputs, hazardCurve, pricingCDS);
  }
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalyticFactory.makeCDS()

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    final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(cds.getRecoveryRate(), cds.getCouponFrequency().getPeriod())
        .with(cds.getBusinessDayAdjustmentConvention())
        .with(calendar).with(cds.getStubType())
        .withAccualDCC(cds.getDayCountFractionConvention());

    final CDSAnalytic pricingCDS = analyticFactory.makeCDS(valuationTime.toLocalDate(), cds.getEffectiveDate().toLocalDate(), cds.getMaturityDate().toLocalDate());
    double spread = 0;
    final ZonedDateTime[] times = new ZonedDateTime[n];
    final CDSAnalytic[] creditAnalytics = new CDSAnalytic[n];
    final double[] marketSpreads = new double[n];
    for (int i = 0; i < n; i++) {
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalyticFactory.makeCDS()

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    final ZonedDateTime[] times = new ZonedDateTime[n];
    final CDSAnalytic[] creditAnalytics = new CDSAnalytic[n];
    final double[] marketSpreads = new double[n];
    for (int i = 0; i < n; i++) {
      ZonedDateTime nextIMM = IMMDateGenerator.getNextIMMDate(valuationTime, tenors[i]).withHour(0).withMinute(0).withSecond(0).withNano(0);
      creditAnalytics[i] = analyticFactory.makeCDS(valuationTime.toLocalDate(), cds.getEffectiveDate().toLocalDate(), nextIMM.toLocalDate());
      marketSpreads[i] = marketSpreadObjects[i] * 1e-4;
      if (!nextIMM.isAfter(cds.getMaturityDate().withHour(0).withMinute(0).withSecond(0).withNano(0))) {
        spread = marketSpreads[i];
      }
    }
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalyticFactory.makeCDS()

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    final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(cds.getRecoveryRate(), cds.getCouponFrequency().getPeriod())
        .with(cds.getBusinessDayAdjustmentConvention())
        .with(calendar).with(cds.getStubType())
        .withAccualDCC(cds.getDayCountFractionConvention());

    final CDSAnalytic pricingCDS = analyticFactory.makeCDS(valuationTime.toLocalDate(), cds.getEffectiveDate().toLocalDate(), cds.getMaturityDate().toLocalDate());
    double spread = 0;
    final ZonedDateTime[] times = new ZonedDateTime[n];
    final CDSAnalytic[] creditAnalytics = new CDSAnalytic[n];
    final double[] marketSpreads = new double[n];
    for (int i = 0; i < n; i++) {
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalyticFactory.makeCDS()

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    final ZonedDateTime[] times = new ZonedDateTime[n];
    final CDSAnalytic[] creditAnalytics = new CDSAnalytic[n];
    final double[] marketSpreads = new double[n];
    for (int i = 0; i < n; i++) {
      ZonedDateTime nextIMM = IMMDateGenerator.getNextIMMDate(valuationTime, tenors[i]).withHour(0).withMinute(0).withSecond(0).withNano(0);
      creditAnalytics[i] = analyticFactory.makeCDS(valuationTime.toLocalDate(), cds.getEffectiveDate().toLocalDate(), nextIMM.toLocalDate());
      marketSpreads[i] = marketSpreadObjects[i] * 1e-4;
      if (!nextIMM.isAfter(cds.getMaturityDate().withHour(0).withMinute(0).withSecond(0).withNano(0))) {
        spread = marketSpreads[i];
      }
    }
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalyticFactory.makeCDS()

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        .with(definition.getBusinessDayAdjustmentConvention())
        .with(definition.getCalendar()).with(definition.getStubType())
        .withAccualDCC(definition.getDayCountFractionConvention());

    double pv;
    final CDSAnalytic pricingCDS = analyticFactory.makeCDS(valuationDate.toLocalDate(), definition.getEffectiveDate().toLocalDate(), definition.getMaturityDate().toLocalDate());
    if (definition instanceof LegacyCreditDefaultSwapDefinition) {
      pv = PRICER.pv(pricingCDS, yieldCurve, hazardRateCurve, ((LegacyCreditDefaultSwapDefinition) definition).getParSpread()) * definition.getNotional();
    } else if (definition instanceof StandardCreditDefaultSwapDefinition) {
      pv = POINTS_UP_FRONT_CONVERTER.quotedSpreadToPUF(pricingCDS,
                                                        getCoupon(((StandardCreditDefaultSwapDefinition) definition).getPremiumLegCoupon()),
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalyticFactory.makeCDS()

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    ISDACompliantCreditCurve hazardCurve = (ISDACompliantCreditCurve) inputs.getValue(ValueRequirementNames.HAZARD_RATE_CURVE);
    final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(0, definition.getCouponFrequency().getPeriod())
        .with(definition.getBusinessDayAdjustmentConvention())
        .with(definition.getCalendar()).with(definition.getStubType())
        .withAccualDCC(definition.getDayCountFractionConvention());
    final CDSAnalytic pricingCDS = analyticFactory.makeCDS(definition.getStartDate().toLocalDate(), definition.getEffectiveDate().toLocalDate(), definition.getMaturityDate().toLocalDate());
    final ValueProperties properties = desiredValues.iterator().next().getConstraints().copy()
        .with(ValuePropertyNames.FUNCTION, getUniqueId())
        .get();
    return getComputedValue(definition, yieldCurve, times, marketSpreads, valuationTime, target, properties, inputs, hazardCurve, pricingCDS);
  }
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