Package com.opengamma.analytics.financial.credit.marketdatachecker

Examples of com.opengamma.analytics.financial.credit.marketdatachecker.SpreadTermStructureDataChecker


    ArgumentChecker.notNull(marketSpreads, "Market spreads");
    ArgumentChecker.notNull(spreadBumpType, "Spread bump type");
    ArgumentChecker.notNull(priceType, "Price type");

    // Construct a market data checker object
    final SpreadTermStructureDataChecker checkMarketData = new SpreadTermStructureDataChecker();

    // Check the efficacy of the input market data
    checkMarketData.checkSpreadData(valuationDate, /*cds, */marketTenors, marketSpreads);

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

    // Calculate the bumped up market spreads
    final double[] bumpedUpMarketSpreads = spreadBumper.getBumpedCreditSpreads(marketSpreads, spreadBump, spreadBumpType); //new double[marketSpreads.length];
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    ArgumentChecker.notNull(marketSpreads, "Market spreads");
    ArgumentChecker.notNull(spreadBumpType, "Spread bump type");
    ArgumentChecker.notNull(priceType, "Price type");

    // Construct a market data checker object
    final SpreadTermStructureDataChecker checkMarketData = new SpreadTermStructureDataChecker();

    // Check the efficacy of the input market data
    checkMarketData.checkSpreadData(valuationDate, /*cds, */marketTenors, marketSpreads);

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

    // Vector to hold the bucketed gamma sensitivities (by tenor)
    final double[] bucketedGamma = new double[marketSpreads.length];
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