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

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

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    // Check user data input is not null
    ArgumentChecker.notNull(marketTenors, "Tenors field");
    ArgumentChecker.notNull(marketSpreads, "Market observed CDS spreads field");

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

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

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

    // Vector of (calibrated) piecewise constant hazard rates that we compute from the solver (this will have an element added to the end of it each time through the m loop below)
    final double[] hazardRates = new double[marketTenors.length];
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    // Check user data input is not null
    ArgumentChecker.notNull(marketTenors, "Tenors field");
    ArgumentChecker.notNull(marketSpreads, "Market observed CDS spreads field");

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

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

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

    // Vector of (calibrated) piecewise constant hazard rates that we compute from the solver
    final double[] hazardRates = new double[marketTenors.length];
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    ArgumentChecker.notNegative(sigma, "Spread volatility");
    ArgumentChecker.notNegative(spreadBump, "Spread bump");

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

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

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

    // Calculate the bumped up market spreads
    final double[] bumpedUpMarketSpreads = spreadBumper.getBumpedCreditSpreads(marketSpreads, spreadBump, spreadBumpType);
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    ArgumentChecker.notNegative(spreadBump, "Spread bump");

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

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

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

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

    // Vector to hold the bucketed gamma sensitivities (by tenor)
    final double[] bucketedGamma = new double[marketSpreads.length];
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    ArgumentChecker.notNegative(sigma, "Spread volatility");
    ArgumentChecker.notNegative(spreadBump, "Spread bump");

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

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

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

    // Vector to hold the bumped market spreads
    final double[] bumpedMarketSpreads = spreadBumper.getBumpedCreditSpreads(marketSpreads, spreadBump, spreadBumpType);
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    ArgumentChecker.notNegative(sigma, "Spread volatility");
    ArgumentChecker.notNegative(spreadBump, "Spread bump");

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

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

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

    // Vector of bucketed CS01 sensitivities (per tenor)
    final double[] bucketedCS01 = new double[marketSpreads.length];
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    ArgumentChecker.notNull(spreadBumps, "Spread bumps");
    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 bumped market spreads
    final double[] bumpedMarketSpreads = new double[marketSpreads.length];
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    ArgumentChecker.notNull(spreadBump, "Spread bump");
    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 bumped market spreads
    final double[] bumpedMarketSpreads = new double[marketSpreads.length];
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    ArgumentChecker.notNull(priceType, "price type");

    ArgumentChecker.notNegative(spreadBump, "Spread bump");

    // 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 bumped market spreads
    final double[] bumpedMarketSpreads = spreadBumper.getBumpedCreditSpreads(marketSpreads, spreadBump, spreadBumpType);
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    ArgumentChecker.notNull(priceType, "price type");

    ArgumentChecker.notNegative(spreadBump, "Spread bump");

    // 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 of bucketed CS01 sensitivities (per tenor)
    final double[] bucketedCS01 = new double[marketSpreads.length];
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