Package com.opengamma.analytics.financial.credit.creditdefaultswap.definition.legacy

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.definition.legacy.LegacyVanillaCreditDefaultSwapDefinition

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    YIELD_CURVE = new ISDADateCurve("ISDA", BASE_DATE, YC_DATES, YC_RATES, OFFSET);
  }

  @Test(enabled = false)
  public void regressionTest() {
    final LegacyVanillaCreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
    final double[] deprecatedResult = DEPRECATED_CALCULATOR.getGammaBucketedCreditDefaultSwap(VALUATION_DATE, cds, YIELD_CURVE, HR_DATES, HR_RATES, BP, SpreadBumpType.ADDITIVE_BUCKETED,
        PriceType.CLEAN);
    final double[] result = CALCULATOR.getGammaCS01BucketedCreditDefaultSwap(VALUATION_DATE, cds, YIELD_CURVE, HR_DATES, HR_RATES, BP, SpreadBumpType.ADDITIVE, PriceType.CLEAN);
    assertArrayEquals(deprecatedResult, result, EPS);
  }
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    assertArrayEquals(deprecatedResult, result, EPS);
  }

  @Test(enabled = false)
  public void timeBDeprecated() {
    final LegacyVanillaCreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
    final double startTime = System.currentTimeMillis();
    double j = 0;
    for (int i = 0; i < 100; i++) {
      DEPRECATED_CALCULATOR.getGammaBucketedCreditDefaultSwap(VALUATION_DATE, cds, YIELD_CURVE, HR_DATES, HR_RATES, BP, SpreadBumpType.ADDITIVE_BUCKETED, PriceType.CLEAN);
      j += i;
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    YIELD_CURVE = new ISDADateCurve("ISDA", BASE_DATE, YC_DATES, YC_RATES, OFFSET);
  }

  @Test(enabled = false)
  public void regressionTest() {
    final LegacyVanillaCreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
    final double deprecatedResult = DEPRECATED_CALCULATOR.getRecoveryRate01CreditDefaultSwap(VALUATION_DATE, cds, YIELD_CURVE, HR_DATES, HR_RATES, BP, RecoveryRateBumpType.ADDITIVE, PriceType.CLEAN);
    final double result = CALCULATOR.getRecoveryRate01CreditDefaultSwap(VALUATION_DATE, cds, YIELD_CURVE, HR_DATES, HR_RATES, BP, RecoveryRateBumpType.ADDITIVE, PriceType.CLEAN);
    assertEquals(deprecatedResult, result, EPS);
  }
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    assertEquals(deprecatedResult, result, EPS);
  }

  @Test(enabled = false)
  public void timeBDeprecated() {
    final LegacyVanillaCreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
    final double startTime = System.currentTimeMillis();
    double total = 0;
    for (int i = 0; i < 1000; i++) {
      total += DEPRECATED_CALCULATOR.getRecoveryRate01CreditDefaultSwap(VALUATION_DATE, cds, YIELD_CURVE, HR_DATES, HR_RATES, BP, RecoveryRateBumpType.ADDITIVE, PriceType.CLEAN);
    }
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    System.out.println(total);
  }

  @Test(enabled = false)
  public void timeARefactored() {
    final LegacyVanillaCreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
    final double startTime = System.currentTimeMillis();
    double total = 0;
    for (int i = 0; i < 1000; i++) {
      total += CALCULATOR.getRecoveryRate01CreditDefaultSwap(VALUATION_DATE, cds, YIELD_CURVE, HR_DATES, HR_RATES, BP, RecoveryRateBumpType.ADDITIVE, PriceType.CLEAN);
    }
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    YIELD_CURVE = new ISDADateCurve("ISDA", BASE_DATE, YC_DATES, YC_RATES, OFFSET);
  }

  @Test(enabled = false)
  public void regressionTest() {
    final LegacyVanillaCreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
    final double deprecatedResult = DEPRECATED_CALCULATOR.getCS01ParallelShiftCreditDefaultSwap(VALUATION_DATE, cds, YIELD_CURVE, HR_DATES, HR_RATES, BP, SpreadBumpType.ADDITIVE_PARALLEL,
        PriceType.CLEAN);
    final double result = CALCULATOR.getCS01ParallelShiftCreditDefaultSwap(VALUATION_DATE, cds, YIELD_CURVE, HR_DATES, HR_RATES, BP, SpreadBumpType.ADDITIVE_PARALLEL, PriceType.CLEAN);
    assertEquals(deprecatedResult, result, EPS);
  }
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    assertEquals(deprecatedResult, result, EPS);
  }

  @Test(enabled = false)
  public void timeBDeprecated() {
    final LegacyVanillaCreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
    final double startTime = System.currentTimeMillis();
    double total = 0;
    for (int i = 0; i < 100; i++) {
      total += DEPRECATED_CALCULATOR.getCS01ParallelShiftCreditDefaultSwap(VALUATION_DATE, cds, YIELD_CURVE, HR_DATES, HR_RATES, BP, SpreadBumpType.ADDITIVE_PARALLEL, PriceType.CLEAN);
    }
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    System.out.println(total);
  }

  @Test(enabled = false)
  public void timeARefactored() {
    final LegacyVanillaCreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
    final double startTime = System.currentTimeMillis();
    double total = 0;
    for (int i = 0; i < 100; i++) {
      total += CALCULATOR.getCS01ParallelShiftCreditDefaultSwap(VALUATION_DATE, cds, YIELD_CURVE, HR_DATES, HR_RATES, BP, SpreadBumpType.ADDITIVE_PARALLEL, PriceType.CLEAN);
    }
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    YIELD_CURVE = new ISDADateCurve("ISDA", BASE_DATE, YC_DATES, YC_RATES, OFFSET);
  }

  @Test(enabled = false)
  public void regressionTest() {
    final LegacyVanillaCreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
    final double deprecatedResult = DEPRECATED_CALCULATOR.getGammaParallelShiftCreditDefaultSwap(VALUATION_DATE, cds, YIELD_CURVE, HR_DATES, HR_RATES, BP, SpreadBumpType.ADDITIVE_PARALLEL,
        PriceType.CLEAN);
    final double result = CALCULATOR.getGammaCS01ParallelShiftCreditDefaultSwap(VALUATION_DATE, cds, YIELD_CURVE, HR_DATES, HR_RATES, BP, SpreadBumpType.ADDITIVE_PARALLEL, PriceType.CLEAN);
    assertEquals(deprecatedResult, result, EPS);
  }
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    assertEquals(deprecatedResult, result, EPS);
  }

  @Test(enabled = false)
  public void timeBDeprecated() {
    final LegacyVanillaCreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinition().withMaturityDate(VALUATION_DATE.plusYears(10));
    final double startTime = System.currentTimeMillis();
    double total = 0;
    for (int i = 0; i < 1000; i++) {
      total += DEPRECATED_CALCULATOR.getGammaParallelShiftCreditDefaultSwap(VALUATION_DATE, cds, YIELD_CURVE, HR_DATES, HR_RATES, BP, SpreadBumpType.ADDITIVE_PARALLEL, PriceType.CLEAN);
    }
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Related Classes of com.opengamma.analytics.financial.credit.creditdefaultswap.definition.legacy.LegacyVanillaCreditDefaultSwapDefinition

  • com.opengamma.analytics.financial.credit.calibratehazardratecurve.CalibrateHazardRateCurveTest
  • com.opengamma.analytics.financial.credit.creditdefaultswap.calibration.CalibrateHazardRateTermStructureBisectionMethod
  • com.opengamma.analytics.financial.credit.creditdefaultswap.calibration.CalibrateHazardRateTermStructureISDAMethod
  • com.opengamma.analytics.financial.credit.creditdefaultswap.CreditDefaultSwapDefinitionDataSets
  • com.opengamma.analytics.financial.credit.creditdefaultswap.definition.LegacyCreditDefaultSwapDefinitionTest
  • com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.isda.ISDACreditDefaultSwapBucketedCS01CalculatorTest
  • com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.isda.ISDACreditDefaultSwapBucketedGammaCS01CalculatorTest
  • com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.isda.ISDACreditDefaultSwapBucketedIR01CalculatorTest
  • com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.isda.ISDACreditDefaultSwapParallelCS01CalculatorTest
  • com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.isda.ISDACreditDefaultSwapParallelGammaCS01CalculatorTest
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