Package com.opengamma.analytics.financial.credit

Examples of com.opengamma.analytics.financial.credit.BuySellProtection

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  }

  @Override
  public CreditDefaultSwapOptionDefinition visitCreditDefaultSwapOptionSecurity(final CreditDefaultSwapOptionSecurity security) {
    ArgumentChecker.notNull(security, "security");
    final BuySellProtection buySellProtection = security.isBuy() ? BuySellProtection.BUY : BuySellProtection.SELL;
    final Obligor protectionBuyer = DUMMY_OBLIGOR_A;
    final Obligor protectionSeller = DUMMY_OBLIGOR_B;
    final Currency currency = security.getCurrency();
    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime maturityDate = security.getMaturityDate();
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  }

  @Override
  public LegacyVanillaCreditDefaultSwapDefinition visitStandardVanillaCDSSecurity(final StandardVanillaCDSSecurity security) {
    ArgumentChecker.notNull(security, "security");
    final BuySellProtection buySellProtection = security.isBuy() ? BuySellProtection.BUY : BuySellProtection.SELL;
    //final ExternalId regionId = security.getRegionId();
    //final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, _regionSource.getHighestLevelRegion(regionId));
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, security.getNotional().getCurrency());
    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime effectiveDate = security.getEffectiveDate(); //FOLLOWING.adjustDate(calendar, valuationDate.withHour(0).withMinute(0).withSecond(0).withNano(0).plusDays(1));
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  }

  @Override
  public LegacyVanillaCreditDefaultSwapDefinition visitLegacyVanillaCDSSecurity(final LegacyVanillaCDSSecurity security) {
    ArgumentChecker.notNull(security, "security");
    final BuySellProtection buySellProtection = security.isBuy() ? BuySellProtection.BUY : BuySellProtection.SELL;
    //    final ExternalId regionId = security.getRegionId();
    //    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, _regionSource.getHighestLevelRegion(regionId));
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, security.getNotional().getCurrency());
    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime effectiveDate = security.getEffectiveDate(); //FOLLOWING.adjustDate(calendar, valuationDate.withHour(0).withMinute(0).withSecond(0).withNano(0).plusDays(1));
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  }

  @Override
  public LegacyVanillaCreditDefaultSwapDefinition visitStandardVanillaCDSSecurity(final StandardVanillaCDSSecurity security) {
    ArgumentChecker.notNull(security, "security");
    final BuySellProtection buySellProtection = security.isBuy() ? BuySellProtection.BUY : BuySellProtection.SELL;
    final ExternalId regionId = security.getRegionId();
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, _regionSource.getHighestLevelRegion(regionId));
    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime effectiveDate = security.getEffectiveDate();
    final ZonedDateTime maturityDate = security.getMaturityDate();
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  }

  @Override
  public LegacyVanillaCreditDefaultSwapDefinition visitLegacyVanillaCDSSecurity(final LegacyVanillaCDSSecurity security) {
    ArgumentChecker.notNull(security, "security");
    final BuySellProtection buySellProtection = security.isBuy() ? BuySellProtection.BUY : BuySellProtection.SELL;
    final ExternalId regionId = security.getRegionId();
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, _regionSource.getHighestLevelRegion(regionId));
    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime effectiveDate = security.getEffectiveDate();
    final ZonedDateTime maturityDate = security.getMaturityDate();
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    }

    //final CDSAnalytic analytic = CDSAnalyticConverter.create(cds, now.toLocalDate());
    final CDSAnalyticVisitor visitor = new CDSAnalyticVisitor(now.toLocalDate(), _holidaySource, _regionSource, recoveryRate);
    final CDSAnalytic analytic = security.accept(visitor);
    final BuySellProtection buySellProtection = security.isBuy() ? BuySellProtection.BUY : BuySellProtection.SELL;
    final Double cdsQuoteDouble = (Double) inputs.getValue(MarketDataRequirementNames.MARKET_VALUE);
    if (cdsQuoteDouble == null) {
      throw new OpenGammaRuntimeException("Couldn't get spread for " + security);
    }
    final CDSQuoteConvention quote = SpreadCurveFunctions.getQuotes(security.getMaturityDate(), new double[] {cdsQuoteDouble}, security.getParSpread(), quoteConvention, true)[0];
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Related Classes of com.opengamma.analytics.financial.credit.BuySellProtection

  • com.opengamma.financial.analytics.conversion.CreditDefaultSwapOptionSecurityConverter
  • com.opengamma.financial.analytics.conversion.CreditDefaultSwapSecurityConverter
  • com.opengamma.financial.analytics.conversion.CreditDefaultSwapSecurityConverterDeprecated
  • com.opengamma.financial.analytics.model.credit.isdanew.ISDACompliantCDSFunction
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