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

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


    if (normalise) {
      multiplier = StandardCDSQuotingConvention.POINTS_UPFRONT.equals(quoteConvention) ? s_tenminus2 : s_tenminus4;
    }
    for (int i = 0; i < values.length; i++) {
      if (StandardCDSQuotingConvention.SPREAD.equals(quoteConvention)) {
        result[i] = IMMDateGenerator.isIMMDate(pricedCDSMaturity) ? new QuotedSpread(coupon * s_tenminus4, values[i] * multiplier) : new ParSpread(values[i] * multiplier);
      } else if (StandardCDSQuotingConvention.POINTS_UPFRONT.equals(quoteConvention)) {
        result[i] = new PointsUpFront(coupon * s_tenminus4, values[i] * multiplier);
      } else {
        throw new OpenGammaRuntimeException("Unsupported quote type: " + quoteConvention);
      }
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