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

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.definition.standard.StandardVanillaCreditDefaultSwapDefinition

122
123
124
125
126
127
128
129
130
131
132
        COUPON_FREQUENCY, DAY_COUNT, BUSINESS_DAY, IMM_ADJUST_MATURITY_DATE, ADJUST_EFFECTIVE_DATE, ADJUST_MATURITY_DATE,
        NOTIONAL, RECOVERY_RATE, INCLUDE_ACCRUED_PREMIUM, PROTECTION_START, PAR_SPREAD);
  }

  public static StandardVanillaCreditDefaultSwapDefinition getStandardVanillaDefinition() {
    return new StandardVanillaCreditDefaultSwapDefinition(BUY_SELL_PROTECTION, getObligor1(), getObligor2(), getObligor3(), CURRENCY,
        DEBT_SENIORITY, RESTRUCTURING_CLAUSE, CALENDAR, START_DATE, EFFECTIVE_DATE, MATURITY_DATE, STUB_TYPE,
        COUPON_FREQUENCY, DAY_COUNT, BUSINESS_DAY, IMM_ADJUST_MATURITY_DATE, ADJUST_EFFECTIVE_DATE, ADJUST_MATURITY_DATE,
        NOTIONAL, RECOVERY_RATE, INCLUDE_ACCRUED_PREMIUM, PROTECTION_START, PAR_SPREAD, StandardCDSCoupon._1000bps,
        100, EFFECTIVE_DATE, false);
  }
View Full Code Here
185
186
187
188
189
190
191
192
193
194
195
        COUPON_FREQUENCY, DAY_COUNT, BUSINESS_DAY, IMM_ADJUST_MATURITY_DATE, ADJUST_EFFECTIVE_DATE, ADJUST_MATURITY_DATE,
        NOTIONAL, RECOVERY_RATE, INCLUDE_ACCRUED_PREMIUM, PROTECTION_START, PAR_SPREAD);
  }

  public static StandardVanillaCreditDefaultSwapDefinition getStandardVanillaDefinition(final BuySellProtection buySell) {
    return new StandardVanillaCreditDefaultSwapDefinition(buySell, getObligor1(), getObligor2(), getObligor3(), CURRENCY,
        DEBT_SENIORITY, RESTRUCTURING_CLAUSE, CALENDAR, START_DATE, EFFECTIVE_DATE, MATURITY_DATE, STUB_TYPE,
        COUPON_FREQUENCY, DAY_COUNT, BUSINESS_DAY, IMM_ADJUST_MATURITY_DATE, ADJUST_EFFECTIVE_DATE, ADJUST_MATURITY_DATE,
        NOTIONAL, RECOVERY_RATE, INCLUDE_ACCRUED_PREMIUM, PROTECTION_START, PAR_SPREAD, StandardCDSCoupon._1000bps,
        100, EFFECTIVE_DATE, false);
  }
View Full Code Here
177
178
179
180
181
182
183
184
185
186
  // --------------------------------------------------------------------------------------------------------------------------------------------------

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullBuySellProtectionField() {

    new StandardVanillaCreditDefaultSwapDefinition(null, protectionBuyer, protectionSeller, referenceEntity, currency, debtSeniority, restructuringClause, calendar, startDate, effectiveDate,
        maturityDate, stubType, couponFrequency, daycountFractionConvention, businessdayAdjustmentConvention, immAdjustMaturityDate, adjustEffectiveDate,
        adjustMaturityDate, notional, recoveryRate, includeAccruedPremium, protectionStart, quotedSpread, premiumLegCoupon, upfrontAmount, cashSettlementDate, adjustCashSettlementDate);

  }
View Full Code Here
188
189
190
191
192
193
194
195
196
  // --------------------------------------------------------------------------------------------------------------------------------------------------

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullProtectionBuyerField() {

    new StandardVanillaCreditDefaultSwapDefinition(buySellProtection, null, protectionSeller, referenceEntity, currency, debtSeniority, restructuringClause, calendar, startDate, effectiveDate,
        maturityDate, stubType, couponFrequency, daycountFractionConvention, businessdayAdjustmentConvention, immAdjustMaturityDate, adjustEffectiveDate,
        adjustMaturityDate, notional, recoveryRate, includeAccruedPremium, protectionStart, quotedSpread, premiumLegCoupon, upfrontAmount, cashSettlementDate, adjustCashSettlementDate);
  }
View Full Code Here
198
199
200
201
202
203
204
205
206
  // --------------------------------------------------------------------------------------------------------------------------------------------------

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullProtectionSellerField() {

    new StandardVanillaCreditDefaultSwapDefinition(buySellProtection, protectionBuyer, null, referenceEntity, currency, debtSeniority, restructuringClause, calendar, startDate, effectiveDate,
        maturityDate, stubType, couponFrequency, daycountFractionConvention, businessdayAdjustmentConvention, immAdjustMaturityDate, adjustEffectiveDate,
        adjustMaturityDate, notional, recoveryRate, includeAccruedPremium, protectionStart, quotedSpread, premiumLegCoupon, upfrontAmount, cashSettlementDate, adjustCashSettlementDate);
  }
View Full Code Here
208
209
210
211
212
213
214
215
216
  // --------------------------------------------------------------------------------------------------------------------------------------------------

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullReferenceEntityField() {

    new StandardVanillaCreditDefaultSwapDefinition(buySellProtection, protectionBuyer, protectionSeller, null, currency, debtSeniority, restructuringClause, calendar, startDate, effectiveDate,
        maturityDate, stubType, couponFrequency, daycountFractionConvention, businessdayAdjustmentConvention, immAdjustMaturityDate, adjustEffectiveDate,
        adjustMaturityDate, notional, recoveryRate, includeAccruedPremium, protectionStart, quotedSpread, premiumLegCoupon, upfrontAmount, cashSettlementDate, adjustCashSettlementDate);
  }
View Full Code Here
218
219
220
221
222
223
224
225
226
  // --------------------------------------------------------------------------------------------------------------------------------------------------

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullCurrencyField() {

    new StandardVanillaCreditDefaultSwapDefinition(buySellProtection, protectionBuyer, protectionSeller, referenceEntity, null, debtSeniority, restructuringClause, calendar, startDate, effectiveDate,
        maturityDate, stubType, couponFrequency, daycountFractionConvention, businessdayAdjustmentConvention, immAdjustMaturityDate, adjustEffectiveDate,
        adjustMaturityDate, notional, recoveryRate, includeAccruedPremium, protectionStart, quotedSpread, premiumLegCoupon, upfrontAmount, cashSettlementDate, adjustCashSettlementDate);
  }
View Full Code Here
228
229
230
231
232
233
234
235
236
  // --------------------------------------------------------------------------------------------------------------------------------------------------

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullDebtSeniorityField() {

    new StandardVanillaCreditDefaultSwapDefinition(buySellProtection, protectionBuyer, protectionSeller, referenceEntity, currency, null, restructuringClause, calendar, startDate, effectiveDate,
        maturityDate, stubType, couponFrequency, daycountFractionConvention, businessdayAdjustmentConvention, immAdjustMaturityDate, adjustEffectiveDate,
        adjustMaturityDate, notional, recoveryRate, includeAccruedPremium, protectionStart, quotedSpread, premiumLegCoupon, upfrontAmount, cashSettlementDate, adjustCashSettlementDate);
  }
View Full Code Here
238
239
240
241
242
243
244
245
246
  // --------------------------------------------------------------------------------------------------------------------------------------------------

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullRestructuringClauseField() {

    new StandardVanillaCreditDefaultSwapDefinition(buySellProtection, protectionBuyer, protectionSeller, referenceEntity, currency, debtSeniority, null, calendar, startDate, effectiveDate,
        maturityDate, stubType, couponFrequency, daycountFractionConvention, businessdayAdjustmentConvention, immAdjustMaturityDate, adjustEffectiveDate,
        adjustMaturityDate, notional, recoveryRate, includeAccruedPremium, protectionStart, quotedSpread, premiumLegCoupon, upfrontAmount, cashSettlementDate, adjustCashSettlementDate);
  }
View Full Code Here
248
249
250
251
252
253
254
255
256
  // --------------------------------------------------------------------------------------------------------------------------------------------------

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullCalendarField() {

    new StandardVanillaCreditDefaultSwapDefinition(buySellProtection, protectionBuyer, protectionSeller, referenceEntity, currency, debtSeniority, restructuringClause, null, startDate, effectiveDate,
        maturityDate, stubType, couponFrequency, daycountFractionConvention, businessdayAdjustmentConvention, immAdjustMaturityDate, adjustEffectiveDate,
        adjustMaturityDate, notional, recoveryRate, includeAccruedPremium, protectionStart, quotedSpread, premiumLegCoupon, upfrontAmount, cashSettlementDate, adjustCashSettlementDate);
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.credit.creditdefaultswap.definition.standard.StandardVanillaCreditDefaultSwapDefinition

  • com.opengamma.analytics.financial.credit.creditdefaultswap.CreditDefaultSwapDefinitionDataSets
  • com.opengamma.analytics.financial.credit.creditdefaultswap.definition.StandardCreditDefaultSwapDefinitionTest
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.