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

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.legacy.PresentValueLegacyCreditDefaultSwap

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    final LegacyVanillaCreditDefaultSwapDefinition valuationCDS = cds;

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

    // Call the constructor to create a CDS present value object
    final PresentValueLegacyCreditDefaultSwap creditDefaultSwap = new PresentValueLegacyCreditDefaultSwap();

    // Call the constructor to create a calibrate hazard rate curve object
    final CalibrateHazardRateCurveLegacyCreditDefaultSwap hazardRateCurve = new CalibrateHazardRateCurveLegacyCreditDefaultSwap();

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

    final double[] calibratedHazardRates = hazardRateCurve.getCalibratedHazardRateTermStructure(valuationDate, calibrationCDS, marketTenors, marketSpreads, yieldCurve, PriceType.CLEAN);

    final double[] modifiedHazardRateCurve = new double[1];

    modifiedHazardRateCurve[0] = calibratedHazardRates[0];

    // Build a hazard rate curve object based on the input market data
    final HazardRateCurve calibratedHazardRateCurve = new HazardRateCurve(marketTenors, times, modifiedHazardRateCurve/*calibratedHazardRates*/, 0.0);

    // Calculate the points upfront
    final double pointsUpfront = creditDefaultSwap.getPresentValueLegacyCreditDefaultSwap(valuationDate, valuationCDS, yieldCurve, calibratedHazardRateCurve, priceType);

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

    return pointsUpfront / cds.getNotional();
  }
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    // Create a CDS for valuation
    final LegacyVanillaCreditDefaultSwapDefinition valuationCDS = cds;

    // Call the constructor to create a CDS present value object
    final PresentValueLegacyCreditDefaultSwap creditDefaultSwap = new PresentValueLegacyCreditDefaultSwap();

    // Build a hazard rate curve object based on the input market data
    final HazardRateCurve calibratedHazardRateCurve = cdsCalibrator.isdaCalibrateHazardRateCurve(valuationDate, valuationCDS, marketTenors, marketSpreads, yieldCurve);

    // Calculate the CDS PV using the just calibrated hazard rate term structure
    final double presentValue = creditDefaultSwap.getPresentValueLegacyCreditDefaultSwap(valuationDate, valuationCDS, yieldCurve, calibratedHazardRateCurve, priceType);

    return presentValue;
  }
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    final HazardRateCurve calibratedHazardRateCurve = new HazardRateCurve(marketTenors, times, calibratedHazardRates, 0.0);

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

    // Create a CDS PV calculator
    final PresentValueLegacyCreditDefaultSwap creditDefaultSwap = new PresentValueLegacyCreditDefaultSwap();

    // Calculate the CDS PV using the just calibrated hazard rate term structure
    final double presentValue = creditDefaultSwap.getPresentValueLegacyCreditDefaultSwap(valuationDate, cds, yieldCurve, calibratedHazardRateCurve, priceType);

    // Calculate the Loss Given Default (LGD) amount
    final double lossGivenDefault = cds.getNotional() * (1 - cds.getRecoveryRate());

    // ----------------------------------------------------------------------------------------------------------------------------------------
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    final double[] bumpedCalibratedHazardRates = hazardRateCurve.getCalibratedHazardRateTermStructure(valuationDate, bumpedCDS, marketTenors, marketSpreads, yieldCurve, priceType);
    final HazardRateCurve bumpedCalibratedHazardRateCurve = new HazardRateCurve(marketTenors, times, bumpedCalibratedHazardRates, 0.0);
    */

    // Create a CDS PV calculator
    final PresentValueLegacyCreditDefaultSwap creditDefaultSwap = new PresentValueLegacyCreditDefaultSwap();

    // Calculate the CDS PV using the just calibrated hazard rate term structure
    final double presentValue = creditDefaultSwap.getPresentValueLegacyCreditDefaultSwap(valuationDate, cds, yieldCurve, calibratedHazardRateCurve, priceType);

    // Calculate the bumped CDS PV
    final double bumpedPresentValue = creditDefaultSwap.getPresentValueLegacyCreditDefaultSwap(valuationDate, bumpedCDS, yieldCurve, calibratedHazardRateCurve, priceType);

    //final double bumpedPresentValue = creditDefaultSwap.getPresentValueLegacyCreditDefaultSwap(valuationDate, bumpedCDS, yieldCurve, bumpedCalibratedHazardRateCurve, priceType);

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

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Related Classes of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.legacy.PresentValueLegacyCreditDefaultSwap

  • com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.RecRate01CreditDefaultSwap
  • com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.VoDCreditDefaultSwap
  • com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.standard.PresentValueStandardCreditDefaultSwap
  • com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.PresentValueCreditDefaultSwap
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