Package com.opengamma.analytics.financial.credit.isdayieldcurve

Examples of com.opengamma.analytics.financial.credit.isdayieldcurve.ISDADateCurve

58
59
60
61
62
63
64
65
66
67
68
        }
        break;
      default:
        throw new IllegalArgumentException("Cannot handle bump type " + yieldBumpType);
    }
    final ISDADateCurve bumpedYieldCurve = new ISDADateCurve("Bumped", yieldCurve.getCurveDates(), yieldCurve.getTimePoints(), bumpedYields, yieldCurve.getOffset());
    calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, marketSpreads, bumpedYieldCurve);
    hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
    curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(bumpedYieldCurve, hazardRateCurve);
    final double bumpedPresentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
    return (bumpedPresentValue - presentValue) / yieldBump;
View Full Code Here
86
87
88
89
90
91
92
93
94
95
96
    }
    final Object spreadCurveObject = inputs.getValue(ValueRequirementNames.CREDIT_SPREAD_CURVE);
    if (spreadCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get credit spread curve");
    }
    final ISDADateCurve yieldCurve = (ISDADateCurve) yieldCurveObject;
    final NodalObjectsCurve<?, ?> spreadCurve = (NodalObjectsCurve<?, ?>) spreadCurveObject;
    final Tenor[] tenors = CreditFunctionUtils.getTenors(spreadCurve.getXData());
    final Double[] marketSpreadObjects = CreditFunctionUtils.getSpreads(spreadCurve.getYData());
    ParallelArrayBinarySort.parallelBinarySort(tenors, marketSpreadObjects);
    final int n = tenors.length;
View Full Code Here
100
101
102
103
104
105
106
107
108
109
110
        break;
      default:
        throw new IllegalArgumentException("Cannot support bumps of type " + interestRateBumpType);
    }

    final ISDADateCurve bumpedYieldCurve = new ISDADateCurve("Bumped", yieldCurve.getCurveDates(), yieldCurve.getTimePoints(), bumpedInterestRates, yieldCurve.getOffset());

    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Calculate the unbumped CDS PV
    final double presentValue = PV_CALCULATOR.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, marketSpreads, yieldCurve, priceType);
View Full Code Here
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
    final double presentValue = PV_CALCULATOR.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, marketSpreads, yieldCurve, priceType);

    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Loop through and bump each of the spreads at each tenor
    ISDADateCurve bumpedYieldCurve;
    double bumpedPresentValue;
    for (int m = 0; m < nRates; m++) {
      switch (interestRateBumpType) {
        case ADDITIVE:
          bumpedInterestRates[m] += bumpInBp;
          try {
            bumpedYieldCurve = new ISDADateCurve("Bumped", marketTenors, yieldCurve.getTimePoints(), bumpedInterestRates, yieldCurve.getOffset());
          } catch (ArrayIndexOutOfBoundsException aioobe) {
            s_logger.error("AIOOBE", aioobe);
            throw aioobe;
          }
          bumpedPresentValue = PV_CALCULATOR.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, marketSpreads, bumpedYieldCurve, priceType);
          bucketedIR01[m] = (bumpedPresentValue - presentValue) / interestRateBump;
          bumpedInterestRates[m] -= bumpInBp;
          break;
        case MULTIPLICATIVE:
          bumpedInterestRates[m] *= 1 + bumpInBp;
          bumpedYieldCurve = new ISDADateCurve("Bumped", marketTenors, yieldCurve.getTimePoints(), bumpedInterestRates, yieldCurve.getOffset());
          bumpedPresentValue = PV_CALCULATOR.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, marketSpreads, bumpedYieldCurve, priceType);
          bucketedIR01[m] = (bumpedPresentValue - presentValue) / interestRateBump;
          bumpedInterestRates[m] /= 1 + bumpInBp;
          break;
        default:
View Full Code Here
109
110
111
112
113
114
115
116
117
118
119
    }
    final Object hazardRateCurveObject = inputs.getValue(ValueRequirementNames.HAZARD_RATE_CURVE);
    if (hazardRateCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get hazard rate curve");
    }
    final ISDADateCurve yieldCurve = (ISDADateCurve) yieldCurveObject;
    final double volatility = 0.3; //TODO
    final HazardRateCurve hazardRateCurve = (HazardRateCurve) hazardRateCurveObject;
    final NodalObjectsCurve<?, ?> spreadCurve = (NodalObjectsCurve<?, ?>) spreadCurveObject;
    final Tenor[] tenors = CreditFunctionUtils.getTenors(spreadCurve.getXData());
    final Double[] marketSpreadObjects = CreditFunctionUtils.getSpreads(spreadCurve.getYData());
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.credit.isdayieldcurve.ISDADateCurve

  • com.opengamma.analytics.financial.credit.calibratehazardratecurve.CalibrateHazardRateCurveTest
  • com.opengamma.analytics.financial.credit.calibratehazardratecurve.ISDAHazardRateCurveCalculator$TempVisitor
  • com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.IR01CreditDefaultSwap
  • com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.isda.ISDACreditDefaultSwapBucketedIR01Calculator
  • com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.isda.ISDACreditDefaultSwapParallelIR01Calculator
  • com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isda.ISDACompliantContingentLegCalculator
  • com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isda.ISDACompliantPremiumLegCalculator
  • com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isda.ISDACompliantScheduleGeneratorTest
  • com.opengamma.analytics.financial.credit.schedulegeneration.GenerateCreditDefaultSwapIntegrationScheduleTest
  • com.opengamma.analytics.financial.interestrate.PeriodicInterestRate
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.