Package com.opengamma.analytics.financial.credit.calibratehazardratecurve.legacy

Examples of com.opengamma.analytics.financial.credit.calibratehazardratecurve.legacy.CalibrateHazardRateCurveLegacyCreditDefaultSwap

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    // Call the constructor to create a CDS present value object
    final PresentValueLegacyCreditDefaultSwap creditDefaultSwap = new PresentValueLegacyCreditDefaultSwap();

    // Call the constructor to create a calibrate hazard rate curve object
    final CalibrateHazardRateCurveLegacyCreditDefaultSwap hazardRateCurve = new CalibrateHazardRateCurveLegacyCreditDefaultSwap();

    // ----------------------------------------------------------------------------------------------------------------------------------------

    final double[] calibratedHazardRates = hazardRateCurve.getCalibratedHazardRateTermStructure(valuationDate, calibrationCDS, marketTenors, marketSpreads, yieldCurve, PriceType.CLEAN);

    final double[] modifiedHazardRateCurve = new double[1];

    modifiedHazardRateCurve[0] = calibratedHazardRates[0];
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    // Create a CDS for calibration
    final LegacyVanillaCreditDefaultSwapDefinition calibrationCDS = cds;

    // Call the constructor to create a calibrate hazard rate curve object
    final CalibrateHazardRateCurveLegacyCreditDefaultSwap hazardRateCurve = new CalibrateHazardRateCurveLegacyCreditDefaultSwap();

    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Calibrate the hazard rate curve to the market observed par CDS spreads (returns calibrated hazard rates as a vector of doubles) - Note PriceType is hardcoded
    final double[] calibratedHazardRates = hazardRateCurve.getCalibratedHazardRateTermStructure(valuationDate, calibrationCDS, marketTenors, marketSpreads, yieldCurve, PriceType.CLEAN);

    final double[] modifiedHazardRateCurve = new double[calibratedHazardRates.length + 1];

    modifiedHazardRateCurve[0] = calibratedHazardRates[0];
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    calibrationCDS = calibrationCDS.withRecoveryRate(calibrationRecoveryRate);

    // -------------------------------------------------------------------------------------

    // Create a calibrate survival curve object
    final CalibrateHazardRateCurveLegacyCreditDefaultSwap hazardRateCurve = new CalibrateHazardRateCurveLegacyCreditDefaultSwap();

    // Calibrate the hazard rate curve to the market observed par CDS spreads (returns calibrated hazard rates as a vector of doubles)
    //final double[] calibratedHazardRateCurve = hazardRateCurve.getCalibratedHazardRateTermStructure(valuationDate, calibrationCDS, tenors, marketSpreads, yieldCurve, priceType);

    // -------------------------------------------------------------------------------------
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    LegacyVanillaCreditDefaultSwapDefinition calibrationCDS = cds;

    calibrationCDS = calibrationCDS.withRecoveryRate(calibrationRecoveryRate);

    final CalibrateHazardRateCurveLegacyCreditDefaultSwap hazardRateCurve = new CalibrateHazardRateCurveLegacyCreditDefaultSwap();

    //final double[] calibratedHazardRateTermStructure = hazardRateCurve.getCalibratedHazardRateTermStructure(valuationDate, calibrationCDS, tenors, marketSpreads, yieldCurve, priceType);

    if (outputResults) {
      for (int i = 0; i < numberOfCalibrationCDS; i++) {
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    for (int m = 1; m < marketTenors.length; m++) {
      times[m] = ACT_365.getDayCountFraction(valuationDate, marketTenors[m]);
    }

    // Call the constructor to create a calibrate hazard rate curve object
    final CalibrateHazardRateCurveLegacyCreditDefaultSwap hazardRateCurve = new CalibrateHazardRateCurveLegacyCreditDefaultSwap();

    // Calibrate the hazard rate curve to the market observed par CDS spreads (returns calibrated hazard rates as a vector of doubles)
    final double[] calibratedHazardRates = hazardRateCurve.getCalibratedHazardRateTermStructure(valuationDate, cds, marketTenors, marketSpreads, yieldCurve, PriceType.CLEAN);

    // Build a hazard rate curve object based on the input market data
    final HazardRateCurve calibratedHazardRateCurve = new HazardRateCurve(marketTenors, times, calibratedHazardRates, 0.0);

    // ----------------------------------------------------------------------------------------------------------------------------------------
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    final double bumpedRecoveryRate = getBumpedRecoveryRate(cds, recoveryRateBump, recoveryRateBumpType);

    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Call the constructor to create a calibrate hazard rate curve object
    final CalibrateHazardRateCurveLegacyCreditDefaultSwap hazardRateCurve = new CalibrateHazardRateCurveLegacyCreditDefaultSwap();

    // Calibrate the hazard rate curve to the market observed par CDS spreads (returns calibrated hazard rates as a vector of doubles)
    final double[] calibratedHazardRates = hazardRateCurve.getCalibratedHazardRateTermStructure(valuationDate, cds, marketTenors, marketSpreads, yieldCurve, priceType);

    // Build a hazard rate curve object based on the input market data
    //final HazardRateCurve calibratedHazardRateCurve = new HazardRateCurve(times, calibratedHazardRates, 0.0);
    final HazardRateCurve calibratedHazardRateCurve = new HazardRateCurve(marketTenors, times, calibratedHazardRates, 0.0);
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Related Classes of com.opengamma.analytics.financial.credit.calibratehazardratecurve.legacy.CalibrateHazardRateCurveLegacyCreditDefaultSwap

  • com.opengamma.analytics.financial.credit.calibratehazardratecurve.CalibrateHazardRateCurveTest
  • com.opengamma.analytics.financial.credit.creditdefaultswap.calibration.CalibrateHazardRateTermStructureBisectionMethod
  • com.opengamma.analytics.financial.credit.creditdefaultswap.definition.legacy.LegacyCreditDefaultSwapDefinition
  • com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.RecRate01CreditDefaultSwap
  • com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.VoDCreditDefaultSwap
  • com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.PresentValueScratchpad
  • com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.standard.PresentValueStandardCreditDefaultSwap
  • com.opengamma.analytics.financial.credit.hazardratecurve.HazardRateCurve
  • com.opengamma.analytics.financial.credit.marketdatachecker.SpreadTermStructureDataChecker
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