Package com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalytic

129
130
131
132
133
134
135
136
137
138
139
    ISDACompliantCreditCurve hazardCurve = (ISDACompliantCreditCurve) inputs.getValue(ValueRequirementNames.HAZARD_RATE_CURVE);
    final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(0, definition.getCouponFrequency().getPeriod())
        .with(definition.getBusinessDayAdjustmentConvention())
        .with(definition.getCalendar()).with(definition.getStubType())
        .withAccualDCC(definition.getDayCountFractionConvention());
    final CDSAnalytic pricingCDS = analyticFactory.makeCDS(definition.getStartDate().toLocalDate(), definition.getEffectiveDate().toLocalDate(), definition.getMaturityDate().toLocalDate());
    final ValueProperties properties = desiredValues.iterator().next().getConstraints().copy()
        .with(ValuePropertyNames.FUNCTION, getUniqueId())
        .get();
    return getComputedValue(definition, yieldCurve, times, marketSpreads, valuationTime, target, properties, inputs, hazardCurve, pricingCDS);
  }
View Full Code Here
65
66
67
68
69
70
71
72
73
74
75
    final ExternalId regionId = security.getRegionId();
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, _regionSource.getHighestLevelRegion(regionId));
    final StubType stubType = security.getStubType().toAnalyticsType();
    final Period period = (IMMDateGenerator.isIMMDate(security.getMaturityDate())) ? getPeriodFrequency(security.getCouponFrequency()).getPeriod() :
        Period.ofMonths(6); // non IMM forced to semi annual
    final CDSAnalytic cdsAnalytic = new CDSAnalytic(_valuationDate,
                                                    security.getEffectiveDate().toLocalDate(),
                                                    // Hard code or get from somewhere?
                                                    BusinessDayDateUtils.addWorkDays(_valuationDate, 3, calendar),
                                                    _startDate == null ? security.getStartDate().toLocalDate() : _startDate,
                                                    _maturityDate == null ? security.getMaturityDate().toLocalDate() : _maturityDate,
View Full Code Here
89
90
91
92
93
94
95
96
97
98
99
    final ExternalId regionId = security.getRegionId();
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, _regionSource.getHighestLevelRegion(regionId));
    final StubType stubType = security.getStubType().toAnalyticsType();
    final Period period = (IMMDateGenerator.isIMMDate(security.getMaturityDate())) ? getPeriodFrequency(security.getCouponFrequency()).getPeriod() :
        Period.ofMonths(6); // non IMM forced to semi annual
    final CDSAnalytic cdsAnalytic = new CDSAnalytic(_valuationDate,
                                                    security.getEffectiveDate().toLocalDate(),
                                                    // Hard code or get from somewhere?
                                                    BusinessDayDateUtils.addWorkDays(_valuationDate, 3, calendar),
                                                    _startDate == null ? security.getStartDate().toLocalDate() : _startDate,
                                                    _maturityDate == null ? security.getMaturityDate().toLocalDate() : _maturityDate,
View Full Code Here
108
109
110
111
112
113
114
115
116
117
118
    final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(cds.getRecoveryRate(), cds.getCouponFrequency().getPeriod())
        .with(cds.getBusinessDayAdjustmentConvention())
        .with(calendar).with(cds.getStubType())
        .withAccualDCC(cds.getDayCountFractionConvention());

    final CDSAnalytic pricingCDS = analyticFactory.makeCDS(valuationTime.toLocalDate(), cds.getEffectiveDate().toLocalDate(), cds.getMaturityDate().toLocalDate());
    double spread = 0;
    final ZonedDateTime[] times = new ZonedDateTime[n];
    final CDSAnalytic[] creditAnalytics = new CDSAnalytic[n];
    final double[] marketSpreads = new double[n];
    for (int i = 0; i < n; i++) {
View Full Code Here
206
207
208
209
210
211
212
213
214
215
216
    }
    final CDSAnalyticVisitor pricingVisitor = new CDSAnalyticVisitor(now.toLocalDate(),
                                                                     _holidaySource,
                                                                     _regionSource,
                                                                     recoveryRate);
    final CDSAnalytic pricingCDS = security.accept(pricingVisitor);
    final CDSQuoteConvention quote = SpreadCurveFunctions.getQuotes(security.getMaturityDate(),
                                                                    new double[]{cdsQuoteDouble},
                                                                    security.getParSpread(),
                                                                    quoteConvention,
                                                                    true)[0];
View Full Code Here
114
115
116
117
118
119
120
121
122
123
124
    final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(cds.getRecoveryRate(), cds.getCouponFrequency().getPeriod())
        .with(cds.getBusinessDayAdjustmentConvention())
        .with(calendar).with(cds.getStubType())
        .withAccualDCC(cds.getDayCountFractionConvention());

    final CDSAnalytic pricingCDS = analyticFactory.makeCDS(valuationTime.toLocalDate(), cds.getEffectiveDate().toLocalDate(), cds.getMaturityDate().toLocalDate());
    double spread = 0;
    final ZonedDateTime[] times = new ZonedDateTime[n];
    final CDSAnalytic[] creditAnalytics = new CDSAnalytic[n];
    final double[] marketSpreads = new double[n];
    for (int i = 0; i < n; i++) {
View Full Code Here
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
      throw new OpenGammaRuntimeException("Couldnt get credit curve");
    }

    //final CDSAnalytic analytic = CDSAnalyticConverter.create(cds, now.toLocalDate());
    final CDSAnalyticVisitor visitor = new CDSAnalyticVisitor(now.toLocalDate(), _holidaySource, _regionSource, recoveryRate);
    final CDSAnalytic analytic = security.accept(visitor);
    final BuySellProtection buySellProtection = security.isBuy() ? BuySellProtection.BUY : BuySellProtection.SELL;
    final Double cdsQuoteDouble = (Double) inputs.getValue(MarketDataRequirementNames.MARKET_VALUE);
    if (cdsQuoteDouble == null) {
      throw new OpenGammaRuntimeException("Couldn't get spread for " + security);
    }
    final CDSQuoteConvention quote = SpreadCurveFunctions.getQuotes(security.getMaturityDate(), new double[] {cdsQuoteDouble}, security.getParSpread(), quoteConvention, true)[0];

    final double notional = security.getNotional().getAmount();
    final double coupon = security.getParSpread() * ONE_BPS;
    final PointsUpFront puf = getPointsUpfront(quote, buySellProtection, yieldCurve, analytic, creditCurve);
    final double accruedPremium = analytic.getAccruedPremium(coupon) * notional;
    final int accruedDays = analytic.getAccuredDays();
    final double quotedSpread = getQuotedSpread(quote, puf, buySellProtection, yieldCurve, analytic).getQuotedSpread();
    final double upfrontAmount = getUpfrontAmount(analytic, puf, notional, buySellProtection);
    final double cleanPV = puf.getPointsUpFront() * notional;
    final double cleanPrice = getCleanPrice(puf);
    final TenorLabelledMatrix1D bucketedCS01 = getBucketedCS01(analytic, bucketCDSs, spreadObject.getXData(), quote, notional, yieldCurve, creditCurve);
View Full Code Here
86
87
88
89
90
91
92
93
94
95
96
        .with(definition.getBusinessDayAdjustmentConvention())
        .with(definition.getCalendar()).with(definition.getStubType())
        .withAccualDCC(definition.getDayCountFractionConvention());

    double pv;
    final CDSAnalytic pricingCDS = analyticFactory.makeCDS(valuationDate.toLocalDate(), definition.getEffectiveDate().toLocalDate(), definition.getMaturityDate().toLocalDate());
    if (definition instanceof LegacyCreditDefaultSwapDefinition) {
      pv = PRICER.pv(pricingCDS, yieldCurve, hazardRateCurve, ((LegacyCreditDefaultSwapDefinition) definition).getParSpread()) * definition.getNotional();
    } else if (definition instanceof StandardCreditDefaultSwapDefinition) {
      pv = POINTS_UP_FRONT_CONVERTER.quotedSpreadToPUF(pricingCDS,
                                                        getCoupon(((StandardCreditDefaultSwapDefinition) definition).getPremiumLegCoupon()),
View Full Code Here
34
35
36
37
38
39
40
41
42
43
44
   * @param valuationDate the valuation date
   * @param maturityDate the maturity date - if null take from security
   * @return CDSAnalytic
   */
  public static CDSAnalytic create(final CreditDefaultSwapDefinition security, final LocalDate valuationDate, final LocalDate maturityDate) {
    final CDSAnalytic cdsAnalytic = new CDSAnalytic(valuationDate,
                                                    security.getEffectiveDate().toLocalDate(),
                                                    valuationDate.plusDays(3), //FIXME: Hard code or get from somewhere else?
                                                    security.getStartDate().toLocalDate(),
                                                    maturityDate != null ? maturityDate : security.getMaturityDate().toLocalDate(),
                                                    true, //FIXME: Do we have this info anywhere?
View Full Code Here
122
123
124
125
126
127
128
129
130
131
132
    ISDACompliantCreditCurve hazardCurve = (ISDACompliantCreditCurve) inputs.getValue(ValueRequirementNames.HAZARD_RATE_CURVE);
    final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(0, definition.getCouponFrequency().getPeriod())
        .with(definition.getBusinessDayAdjustmentConvention())
        .with(definition.getCalendar()).with(definition.getStubType())
        .withAccualDCC(definition.getDayCountFractionConvention());
    final CDSAnalytic pricingCDS = analyticFactory.makeCDS(definition.getStartDate().toLocalDate(), definition.getEffectiveDate().toLocalDate(), definition.getMaturityDate().toLocalDate());
    final ValueProperties properties = desiredValues.iterator().next().getConstraints().copy()
        .with(ValuePropertyNames.FUNCTION, getUniqueId())
        .get();
    return getComputedValue(definition, yieldCurve, times, marketSpreads, valuationTime, target, properties, inputs, hazardCurve, pricingCDS);
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalytic

  • com.opengamma.financial.analytics.model.credit.isda.calibration.ISDACDSHazardRateCurveFunction
  • com.opengamma.financial.analytics.model.credit.isda.calibration.ISDACDXAsSingleNameHazardRateCurveFunction
  • com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaCDSFunction
  • com.opengamma.financial.analytics.model.credit.isda.cdx.ISDACDXAsSingleNameFunction
  • com.opengamma.financial.analytics.model.credit.isda.cdx.ISDACDXAsSingleNamePresentValueFunction
  • com.opengamma.financial.analytics.model.credit.isdanew.CDSAnalyticConverter
  • com.opengamma.financial.analytics.model.credit.isdanew.CDSAnalyticVisitor
  • com.opengamma.financial.analytics.model.credit.isdanew.ISDACompliantCDSFunction
  • com.opengamma.financial.analytics.model.credit.isdanew.ISDACompliantCreditCurveFunction
  • com.opengamma.financial.analytics.model.credit.SpreadCurveFunctions
    • 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.