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

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


      marketDataForCurve[k] = marketValue;
      tenors[k] = strip.getResolvedTenor().getPeriod();
      k++;
    }
    //TODO: Check spot date logic
    final ISDACompliantYieldCurve yieldCurve = ISDACompliantYieldCurveBuild.build(now.toLocalDate(), now.toLocalDate().minusDays(offset), instruments, tenors, marketDataForCurve, cashDCC,
                                                             fixDCC, paymentTenor, ACT_365, floatBadDayConv);
    final ValueProperties properties = createValueProperties()
        .with(ValuePropertyNames.CURVE, curveName)
        .with(ISDAFunctionConstants.ISDA_CURVE_OFFSET, offsetString)
        .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig)
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