Examples of com.opengamma.analytics.financial.credit.cds.ISDACDSCoupon

Package com.opengamma.analytics.financial.credit.cds

Examples of com.opengamma.analytics.financial.credit.cds.ISDACDSCoupon

com.opengamma.analytics.financial.credit.cds.ISDACDSCoupon
Represent a CDS coupon payment as understood by the ISDA standard model. The payment year fraction, accrual period start and end times and the payment time must be computed using day counts and conventions to match the ISDA standard model. These calculations are the responsibility of {@link ISDACDSCouponDefinition} and{@link ISDACDSPremiumDefinition}. @author Martin Traverse, Niels Stchedroff (Riskcare) @see CouponFixed @see ISDACDSDerivative

    ArgumentChecker.isTrue(yieldCurveNames.length > 0, "at least one curve required");
    ArgumentChecker.isTrue(!date.isAfter(getPaymentDate()), "date is after payment date"); // Required: reference date <= payment date


    final String fundingCurveName = yieldCurveNames[0];


    return new ISDACDSCoupon(getCurrency(), getTimeBetween(date, getPaymentDate()), fundingCurveName, getPaymentYearFraction(), getNotional(), getRate(),
        getAccrualStartDate(), getAccrualEndDate(), getTimeBetween(date, getAccrualStartDate()), getTimeBetween(date, getAccrualEndDate()));
  }

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  public ISDACDSCoupon toDerivative(final ZonedDateTime date) {


    ArgumentChecker.notNull(date, "date");
    ArgumentChecker.isTrue(!date.isAfter(getPaymentDate()), "date is after payment date"); // Required: reference date <= payment date


    return new ISDACDSCoupon(getCurrency(), getTimeBetween(date, getPaymentDate()), getPaymentYearFraction(), getNotional(), getRate(),
        getAccrualStartDate(), getAccrualEndDate(), getTimeBetween(date, getAccrualStartDate()), getTimeBetween(date, getAccrualEndDate()));
  }

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Related Classes of com.opengamma.analytics.financial.credit.cds.ISDACDSCoupon

com.opengamma.analytics.financial.instrument.cds.ISDACDSCouponDefinition

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