Examples of withMaturityDate()

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

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      // Remember that the input spreads are in bps, therefore need dividing by 10,000
      final double guess = (marketSpreads[i] / 10000.0) / (1 - cds.getRecoveryRate());

      // Modify the input CDS to have the maturity of the current calibration instrument
      calibrationCDS = calibrationCDS.withMaturityDate(marketTenors[i]);

      // Modify the input CDS to have the par spread of the current calibration instrument
      calibrationCDS = calibrationCDS.withSpread(marketSpreads[i]);

      // Now need to build a HazardRateCurve object from the first i calibrated points
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.definition.vanilla.CreditDefaultSwapDefinition.withMaturityDate()

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    CreditDefaultSwapDefinition shortCDS = cdsSwaption.getUnderlyingCDS();

    shortCDS = shortCDS.withStartDate(cdsSwaption.getStartDate());
    shortCDS = shortCDS.withEffectiveDate(cdsSwaption.getStartDate().plusDays(1));
    shortCDS = shortCDS.withMaturityDate(cdsSwaption.getOptionExerciseDate());

    // Generate the cashflow schedule for the (forward) premium leg
    final ZonedDateTime[] underlyingCDSPremiumLegSchedule = PREMIUM_LEG_SCHEDULE_CALCULATOR.constructCreditDefaultSwapPremiumLegSchedule(underlyingCDS);

    final ZonedDateTime[] shortCDSPremiumLegSchedule = PREMIUM_LEG_SCHEDULE_CALCULATOR.constructCreditDefaultSwapPremiumLegSchedule(shortCDS);
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