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

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.IR01CreditDefaultSwap


    final double interestRateBump = 1.0;

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

    // Create a CS01 calculator object
    final IR01CreditDefaultSwap ir01 = new IR01CreditDefaultSwap();

    // Compute the IR01 for a parallel shift
    final double parallelIR01 = ir01.getIR01ParallelShiftCreditDefaultSwap(valuationDate, cds, yieldDateCurve, tenors, marketSpreads, interestRateBump, interestRateBumpType, priceType);

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

    if (outputResults) {
      System.out.println("CDS IR01 = " + parallelIR01);
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