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

    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];
    final QuotedSpread quotedSpread = getQuotedSpread(quote,

    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;

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

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