Package com.opengamma.analytics.financial.schedule

Examples of com.opengamma.analytics.financial.schedule.NoHolidayCalendar

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        cds.getProtectionSeller(),
        cds.getReferenceEntity(),
        cds.getCurrency(),
        cds.getDebtSeniority(),
        cds.getRestructuringClause(),
        new NoHolidayCalendar(),
        cds.getStartDate(),
        cds.getEffectiveDate(),
        cds.getMaturityDate(),
        cds.getStubType(),
        cds.getCouponFrequency(),
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        cds.getProtectionSeller(),
        cds.getReferenceEntity(),
        cds.getCurrency(),
        cds.getDebtSeniority(),
        cds.getRestructuringClause(),
        new NoHolidayCalendar(),
        startDate,
        effectiveDate,
        cds.getMaturityDate(),
        cds.getStubType(),
        cds.getCouponFrequency(),
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        cds.getProtectionSeller(),
        cds.getReferenceEntity(),
        cds.getCurrency(),
        cds.getDebtSeniority(),
        cds.getRestructuringClause(),
        new NoHolidayCalendar(),
        cds.getStartDate(),
        cds.getEffectiveDate(),
        cds.getMaturityDate(),
        cds.getStubType(),
        cds.getCouponFrequency(),
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        cds.getProtectionSeller(),
        cds.getReferenceEntity(),
        cds.getCurrency(),
        cds.getDebtSeniority(),
        cds.getRestructuringClause(),
        new NoHolidayCalendar(),
        startDate,
        effectiveDate,
        cds.getMaturityDate(),
        cds.getStubType(),
        cds.getCouponFrequency(),
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        cds.getProtectionSeller(),
        cds.getReferenceEntity(),
        cds.getCurrency(),
        cds.getDebtSeniority(),
        cds.getRestructuringClause(),
        new NoHolidayCalendar(),
        startDate,
        effectiveDate,
        endDate,
        cds.getStubType(),
        cds.getCouponFrequency(),
View Full Code Here
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    final ISDACDSDerivative cds = loadCDS_ISDAExampleUpfrontConverter().toDerivative(pricingDate, "IR_CURVE", "HAZARD_RATE_CURVE");
    final ISDACurve discountCurve = loadDiscountCurve_ISDAExampleExcel();

    final ISDAApproxCDSPricingMethod method = new ISDAApproxCDSPricingMethod();
    final Calendar calendar = new NoHolidayCalendar();
    final double cleanPrice = method.calculateUpfrontCharge(cds, discountCurve, 0.055, true, pricingDate, stepinDate, settlementDate, calendar);
    final double dirtyPrice = method.calculateUpfrontCharge(cds, discountCurve, 0.055, false, pricingDate, stepinDate, settlementDate, calendar);
    final double cleanPriceError = Math.abs( (cleanPrice - 185852.587288133) / cds.getNotional() );
    final double dirtyPriceError = Math.abs( (dirtyPrice - 59463.6983992436) / cds.getNotional() );
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Related Classes of com.opengamma.analytics.financial.schedule.NoHolidayCalendar

  • com.opengamma.analytics.financial.credit.cds.ISDAApproxCDSPricingMethodTest
  • com.opengamma.analytics.financial.credit.schedulegeneration.isda.ISDAPremiumLegScheduleGeneratorTest
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