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

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


    final double[] marketSpreads = new double[n];
    for (int i = 0; i < n; i++) {
      times[i] = IMMDateGenerator.getNextIMMDate(valuationTime, tenors[i]).withHour(0).withMinute(0).withSecond(0).withNano(0);
      marketSpreads[i] = marketSpreadObjects[i] * 1e-4;
    }
    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());
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