Examples of makeIMMCDS()

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

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          .withAccualDCC(definition.getDayCountFractionConvention());
      Period[] tenors = new Period[times.length];
      for (int i = 0; i < times.length; i++) {
        tenors[i] = Period.between(definition.getStartDate().toLocalDate(), times[i].toLocalDate()).withDays(0);
      }
      CDSAnalytic[] pillars = analyticFactory.makeIMMCDS(definition.getStartDate().toLocalDate(), tenors);
      cs01 = CALCULATOR.parallelCS01FromParSpreads(analytic,
                                                   ((LegacyCreditDefaultSwapDefinition) definition).getParSpread() * 1e-4,
                                                   yieldCurve,
                                                   pillars,
                                                   marketSpreads,
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalyticFactory.makeIMMCDS()

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        .withAccualDCC(definition.getDayCountFractionConvention());
    Period[] tenors = new Period[times.length];
    for (int i = 0; i < times.length; i++) {
      tenors[i] = Period.between(definition.getStartDate().toLocalDate(), times[i].toLocalDate()).withDays(0);
    }
    CDSAnalytic[] buckets = analyticFactory.makeIMMCDS(definition.getStartDate().toLocalDate(), tenors);

    for (int i = 0; i < times.length; i++) {
      final double[] bumpedUpRates = SPREAD_BUMPER.getBumpedCreditSpreads(marketSpreads, i, spreadCurveBump * 1e-4, spreadBumpType);
      final double[] bumpedDownRates = SPREAD_BUMPER.getBumpedCreditSpreads(marketSpreads, i, -spreadCurveBump * 1e-4, spreadBumpType);
      final ISDACompliantCreditCurve bumpedUpCreditCurve = CURVE_BUILDER.calibrateCreditCurve(buckets, bumpedUpRates, yieldCurve);
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalyticFactory.makeIMMCDS()

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    Period[] tenors = new Period[times.length];
    for (int i = 0; i < times.length; i++) {
      tenors[i] = Period.between(definition.getStartDate().toLocalDate(), times[i].toLocalDate()).withDays(0);
    }
    CDSAnalytic[] buckets = analyticFactory.makeIMMCDS(definition.getStartDate().toLocalDate(), tenors);

    double[] cs01Values;
    if (definition instanceof StandardCreditDefaultSwapDefinition) {
      StandardCreditDefaultSwapDefinition cds = (StandardCreditDefaultSwapDefinition) definition;
      cs01Values = CALCULATOR.bucketedCS01FromCreditCurve(analytic, getCoupon(definition), buckets, yieldCurve, hazardCurve, bump);
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