Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.StandardCDSQuotingConvention

    CreditDefaultSwapSecurityConverterDeprecated converter = new CreditDefaultSwapSecurityConverterDeprecated(
        _holidaySource,
        _regionSource,
        recoveryRate);
    LegacyVanillaCreditDefaultSwapDefinition cds = converter.visitLegacyVanillaCDSSecurity(security);
    final StandardCDSQuotingConvention quoteConvention = StandardCDSQuotingConvention.parse(requirement.getConstraint(
        ISDAFunctionConstants.CDS_QUOTE_CONVENTION));
    final NodalTenorDoubleCurve spreadCurve = (NodalTenorDoubleCurve) inputs.getValue(ValueRequirementNames.BUCKETED_SPREADS);
    if (spreadCurve == null) {
      throw new OpenGammaRuntimeException("Bucketed spreads not available for " + getSpreadCurveIdentifier(security));
    }

    final LegacyVanillaCDSSecurity security = (LegacyVanillaCDSSecurity) target.getSecurity();
    //LegacyVanillaCreditDefaultSwapDefinition cds = _converter.visitLegacyVanillaCDSSecurity(security);
    final ValueRequirement desiredValue = desiredValues.iterator().next(); // all same constraints


    final String quoteConventionString = desiredValue.getConstraint(ISDAFunctionConstants.CDS_QUOTE_CONVENTION);
    final StandardCDSQuotingConvention quoteConvention = StandardCDSQuotingConvention.parse(quoteConventionString);


    final CdsRecoveryRateIdentifier recoveryRateIdentifier = security.accept(new CreditSecurityToRecoveryRateVisitor(
        executionContext.getSecuritySource()));
    Object recoveryRateObject = inputs.getValue(new ValueRequirement("PX_LAST",
                                                                     ComputationTargetType.PRIMITIVE,

Related Classes of com.opengamma.analytics.financial.credit.creditdefaultswap.StandardCDSQuotingConvention

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