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

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.RecRate01CreditDefaultSwap


    marketSpreads[7] = flatSpread;

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

    // Create a RecoveryRate01 calculator object
    final RecRate01CreditDefaultSwap recRate01 = new RecRate01CreditDefaultSwap();

    // Compute the RecoveryRate01
    //final double recoveryRate01 = recRate01.getRecoveryRate01CreditDefaultSwap(valuationDate, cds, yieldCurve, tenors, marketSpreads, recoveryRateBump, recoveryRateBumpType, priceType);

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