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

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

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                                 ValueProperties properties,
                                 ISDACompliantCreditCurve hazardCurve,
                                 CDSAnalytic analytic) {
    final Double interestRateCurveBump = Double.valueOf(Iterables.getOnlyElement(properties.getValues(
        CreditInstrumentPropertyNamesAndValues.PROPERTY_INTEREST_RATE_CURVE_BUMP)));
    final InterestRateBumpType interestRateBumpType =
        InterestRateBumpType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_INTEREST_RATE_BUMP_TYPE)));
    //final PriceType priceType = PriceType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_CDS_PRICE_TYPE)));

    return interestRateCurveBump * definition.getNotional() * CALCULATOR.parallelIR01(analytic, getCoupon(definition), hazardCurve, yieldCurve);
  }
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    // -------------------------------------------------------------------------------------

    // Define the market data to calibrate to

    // The type of spread bump to apply
    final InterestRateBumpType interestRateBumpType = InterestRateBumpType.ADDITIVE_PARALLEL;

    // The number of CDS instruments used to calibrate against
    final int numberOfCalibrationCDS = 8;

    // The flat spread
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  @Override
  protected Set<ComputedValue> getComputedValue(final CreditDefaultSwapOptionDefinition definition, final ISDADateCurve yieldCurve, final double vol,
      final ZonedDateTime[] calibrationTenors, final double[] marketSpreads, final HazardRateCurve hazardRateCurve, final ZonedDateTime valuationTime,
      final ComputationTarget target, final ValueProperties properties) {
    final Double interestRateCurveBump = Double.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_INTEREST_RATE_CURVE_BUMP)));
    final InterestRateBumpType interestRateBumpType =
        InterestRateBumpType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_INTEREST_RATE_BUMP_TYPE)));
    //    final double ir01 = CALCULATOR.getIR01ParallelShiftCreditDefaultSwap(valuationTime, definition, vol, yieldCurve, calibrationTenors, marketSpreads, interestRateCurveBump,
    //        interestRateBumpType);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.IR01, target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, 0));
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Related Classes of com.opengamma.analytics.financial.credit.isdayieldcurve.InterestRateBumpType

  • com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.IR01LegacyCreditDefaultSwapTest
  • com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaParallelIR01CDSFunction
  • com.opengamma.financial.analytics.model.credit.isda.cdsoption.ISDACreditDefaultSwapOptionParallelIR01Function
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