Package com.opengamma.analytics.financial.credit.indexcreditdefaultswap.definition

Examples of com.opengamma.analytics.financial.credit.indexcreditdefaultswap.definition.IndexCreditDefaultSwapDefinition

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    // Modify the temp pool object to have the bumped recovery rate vector
    modifiedPool = modifiedPool.withRecoveryRates(bumpedRecoveryRates);

    // Construct a temporary index CDS
    IndexCreditDefaultSwapDefinition tempIndex = indexCDS;

    // Modify the temporary index to have the modified underlying pool
    tempIndex = tempIndex.withUnderlyingPool(modifiedPool);

    // Calibrate the hazard rate term structures of each of the obligors in the pool underlying the index to the bumped recovery rates
    final HazardRateCurve[] bumpedHazardRateCurves = calibrateHazardRateCurves.getCalibratedHazardRateCurves(valuationDate, tempIndex, marketTenors, marketSpreads, yieldCurves);

    // Calculate the bumped value of the index
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      // Modify the temp pool object to have the bumped recovery rate vector
      modifiedPool = modifiedPool.withRecoveryRates(bumpedRecoveryRates);

      // Construct a temporary index CDS
      IndexCreditDefaultSwapDefinition tempIndex = indexCDS;

      // Modify the temporary index to have the modified underlying pool
      tempIndex = tempIndex.withUnderlyingPool(modifiedPool);

      // Calibrate the hazard rate term structures of each of the obligors in the pool underlying the index to the bumped recovery rates
      final HazardRateCurve[] bumpedHazardRateCurves = calibrateHazardRateCurves.getCalibratedHazardRateCurves(valuationDate, tempIndex, marketTenors, marketSpreads, yieldCurves);

      // Calculate the bumped value of the index
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Related Classes of com.opengamma.analytics.financial.credit.indexcreditdefaultswap.definition.IndexCreditDefaultSwapDefinition

  • com.opengamma.analytics.financial.credit.creditdefaultswap.definition.legacy.LegacyVanillaCreditDefaultSwapDefinition
  • com.opengamma.analytics.financial.credit.indexcreditdefaultswap.greeks.RecRate01IndexCreditDefaultSwap
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