Package com.opengamma.analytics.financial.credit.bumpers

Examples of com.opengamma.analytics.financial.credit.bumpers.RecoveryRateBumpType

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  }

  public static double getRR01(CreditDefaultSwapDefinition definition,
                         ISDACompliantYieldCurve yieldCurve,
                         ValueProperties properties, ISDACompliantCreditCurve hazardCurve, CDSAnalytic analytic) {
    final RecoveryRateBumpType recoveryRateBumpType =
        RecoveryRateBumpType.valueOf(Iterables.getOnlyElement(properties.getValues(
            CreditInstrumentPropertyNamesAndValues.PROPERTY_RECOVERY_RATE_BUMP_TYPE)));
    if (recoveryRateBumpType != RecoveryRateBumpType.ADDITIVE) {
      throw new UnsupportedOperationException("Only Additive rr01 sensitivity supported currently. Got " + recoveryRateBumpType);
    }
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    // -------------------------------------------------------------------------------------

    // Define the market data to calibrate to

    // The type of recovery rate bump to apply
    final RecoveryRateBumpType recoveryRateBumpType = RecoveryRateBumpType.ADDITIVE;

    // The number of CDS instruments used to calibrate against
    final int numberOfCalibrationCDS = 8;

    // The flat (unbumped) spread
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  @Override
  protected Set<ComputedValue> getComputedValue(final CreditDefaultSwapOptionDefinition definition, final ISDADateCurve yieldCurve, final double vol,
      final ZonedDateTime[] calibrationTenors, final double[] marketSpreads, final HazardRateCurve hazardRateCurve, final ZonedDateTime valuationTime,
      final ComputationTarget target, final ValueProperties properties) {
    final Double recoveryRateCurveBump = Double.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_RECOVERY_RATE_CURVE_BUMP)));
    final RecoveryRateBumpType recoveryRateBumpType =
        RecoveryRateBumpType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_RECOVERY_RATE_BUMP_TYPE)));
    final double rr01 = CALCULATOR.getRecoveryRate01CreditDefaultSwapOption(valuationTime, definition, vol, yieldCurve, hazardRateCurve, calibrationTenors,
        marketSpreads, recoveryRateCurveBump, recoveryRateBumpType);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.RR01, target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, rr01));
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Related Classes of com.opengamma.analytics.financial.credit.bumpers.RecoveryRateBumpType

  • com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.RecoveryRate01LegacyCreditDefaultSwapTest
  • com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaRR01CDSFunction
  • com.opengamma.financial.analytics.model.credit.isda.cdsoption.ISDACreditDefaultSwapOptionRR01Function
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