Package com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.GammaCreditDefaultSwap

444
445
446
447
448
449
450
451
452
453
454
    marketSpreads[7] = flatSpread;

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

    // Create a Gamma calculator object
    final GammaCreditDefaultSwap gamma = new GammaCreditDefaultSwap();

    // Compute the Gamma for a parallel shift
    final double parallelGamma = 0.0; //gamma.getGammaParallelShiftCreditDefaultSwap(valuationDate, cds, yieldCurve, tenors, marketSpreads, spreadBump, spreadBumpType, priceType);

    // ----------------------------------------------------------------------------------------------------------------------------------------
View Full Code Here
510
511
512
513
514
515
516
517
518
519
520
    marketSpreads[7] = flatSpread;

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

    // Create a Gamma calculator object
    final GammaCreditDefaultSwap gamma = new GammaCreditDefaultSwap();

    // Compute the Gamma for a parallel shift
    //final double[] bucketedGamma = gamma.getGammaBucketedCreditDefaultSwap(valuationDate, cds, yieldCurve, tenors, marketSpreads, spreadBump, spreadBumpType, priceType);

    // ----------------------------------------------------------------------------------------------------------------------------------------
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.GammaCreditDefaultSwap

  • com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.GammaLegacyCreditDefaultSwapTest
  • com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.PresentValueCreditDefaultSwap
  • com.opengamma.analytics.financial.credit.marketdatachecker.SpreadTermStructureDataChecker
    • 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.