Package com.opengamma.financial.security.cds

Examples of com.opengamma.financial.security.cds.CDSSecurity

93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
    ZonedDateTime maturity = LocalDateTime.of(2020, 12, 20, 0, 0, 0, 0).atZone(ZoneOffset.UTC);
    ZonedDateTime startDate = LocalDateTime.of(2010, 12, 20, 0, 0, 0, 0).atZone(ZoneOffset.UTC);
    SimpleFrequency frequency = SimpleFrequency.ANNUAL;
    DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    BusinessDayConvention businessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final CDSSecurity cds1 = new CDSSecurity(1.0, 0.6, 0.4, Currency.USD, maturity, startDate,
                                             frequency,
                                             dayCount,
                                             businessDayConvention, 
                                             StubType.SHORT_START, 3,
                                             "US Treasury", Currency.USD, "Senior", "No Restructuring");
    cds1.addExternalId(ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, "TEST_CDS_00001--US912828KY53-A"));
    cds1.setName("TEST CDS" + _counter++);
   
    return cds1;
  }
View Full Code Here
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
  }

  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {

    final CDSSecurity cds = (CDSSecurity) target.getSecurity();

    final Set<ValueRequirement> requirements = new HashSet<>();

    requirements.add(new ValueRequirement(ValueRequirementNames.YIELD_CURVE, ComputationTargetSpecification.of(cds.getCurrency()), ValueProperties.with(ValuePropertyNames.CALCULATION_METHOD,
        ISDAFunctionConstants.ISDA_METHOD_NAME).get()));

    // TODO: Are extra value properties needed here? (see ISDAApproxFlatSpreadFunction)
    requirements.add(new ValueRequirement(ValueRequirementNames.SPOT_RATE, target.toSpecification(), ValueProperties.none()));
View Full Code Here
69
70
71
72
73
74
75
76
77
78
79
80
    // Set up converter (could this be compiled?)
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
    final ISDACDSSecurityConverter converter = new ISDACDSSecurityConverter(holidaySource);

    // Security being priced
    final CDSSecurity cds = (CDSSecurity) target.getSecurity();
    final ISDACDSDefinition cdsDefinition = (ISDACDSDefinition) cds.accept(converter);

    // Time point to price for
    // TODO: Supply an option for the user to specify non-standard step-in and settlement dates
    final ZonedDateTime pricingDate = ZonedDateTime.now(executionContext.getValuationClock());
    final ZonedDateTime stepinDate = pricingDate.plusDays(1);
View Full Code Here
60
61
62
63
64
65
66
67
68
69
70
        .with(ValuePropertyNames.CURRENCY, security.getCurrency().getCode());
  }

  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
    final CDSSecurity cds = (CDSSecurity) target.getSecurity();
    final ValueProperties properties = createValueProperties(cds).get();
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ValueSpecification cleanPriceSpec = new ValueSpecification(ValueRequirementNames.CLEAN_PRICE, targetSpec, properties);
    final ValueSpecification dirtyPriceSpec = new ValueSpecification(ValueRequirementNames.DIRTY_PRICE, targetSpec, properties);
    final ValueSpecification presentValueSpec = new ValueSpecification(ValueRequirementNames.PRESENT_VALUE, targetSpec, properties);
View Full Code Here
76
77
78
79
80
81
82
83
84
85
86
  }

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {

    final CDSSecurity cds = (CDSSecurity) target.getSecurity();
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ValueProperties properties = createValueProperties(cds).get();

    final DoublesPair calculationResult = executeImpl(executionContext, inputs, target, desiredValues);
    final Double cleanPrice = calculationResult.getFirst();
View Full Code Here
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    if (canApplyTo(context, target)) {

      final CDSSecurity cds = (CDSSecurity) target.getSecurity();

      final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();

      requirements.add(new ValueRequirement(
        ValueRequirementNames.YIELD_CURVE,
          ComputationTargetSpecification.of(cds.getCurrency()),
        ValueProperties
          .with(ValuePropertyNames.CALCULATION_METHOD, ISDAFunctionConstants.ISDA_METHOD_NAME)
          .get()));

      requirements.add(new ValueRequirement(
        ValueRequirementNames.YIELD_CURVE,
          ComputationTargetSpecification.of(cds.getCurrency()),
        ValueProperties
          .with(ValuePropertyNames.CURVE, "HAZARD_" + cds.getUnderlyingIssuer() + "_" + cds.getUnderlyingSeniority() + "_" + cds.getRestructuringClause())
          .with(ValuePropertyNames.CALCULATION_METHOD, ISDAFunctionConstants.ISDA_METHOD_NAME)
          .get()));

      return requirements;
    }
View Full Code Here
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
    // Set up converter (could this be compiled?)
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
    final ISDACDSSecurityConverter converter = new ISDACDSSecurityConverter(holidaySource);

    // Security being priced
    final CDSSecurity cds = (CDSSecurity) target.getSecurity();
    final ISDACDSDefinition cdsDefinition = (ISDACDSDefinition) cds.accept(converter);

    // Time point to price for
    // TODO: Supply an option for the user to specify non-standard step-in and settlement dates
    final ZonedDateTime pricingDate = ZonedDateTime.now(executionContext.getValuationClock());
    final ZonedDateTime stepinDate = pricingDate.plusDays(1);
    final ZonedDateTime settlementDate = findSettlementDate(pricingDate, cdsDefinition.getConvention());

    // Discount curve
    final ISDACurve discountCurve = (ISDACurve) inputs.getValue(new ValueRequirement(
        ValueRequirementNames.YIELD_CURVE, ComputationTargetSpecification.of(cds.getCurrency()),
      ValueProperties.with(ValuePropertyNames.CALCULATION_METHOD, ISDAFunctionConstants.ISDA_METHOD_NAME).get()));

    // Hazard rate curve
    final ISDACurve hazardRateCurve = (ISDACurve) inputs.getValue(new ValueRequirement(
        ValueRequirementNames.YIELD_CURVE, ComputationTargetSpecification.of(cds.getCurrency()),
      ValueProperties
        .with(ValuePropertyNames.CURVE, "HAZARD_" + cds.getUnderlyingIssuer() + "_" + cds.getUnderlyingSeniority() + "_" + cds.getRestructuringClause())
        .with(ValuePropertyNames.CALCULATION_METHOD, ISDAFunctionConstants.ISDA_METHOD_NAME)
        .get()));

    // Convert security in to format suitable for pricing
    final ISDACDSDerivative cdsDerivative = cdsDefinition.toDerivative(pricingDate, stepinDate, settlementDate, discountCurve.getName(), hazardRateCurve.getName());
View Full Code Here
53
54
55
56
57
58
59
60
61
62
63
    return bean;
  }

  @Override
  public CDSSecurity createSecurity(OperationContext context, CDSSecurityBean bean) {
    return new CDSSecurity(
      bean.getNotional(),
      bean.getRecoveryRate(),
      bean.getSpread(),
      currencyBeanToCurrency(bean.getCurrency()),
      zonedDateTimeBeanToDateTimeWithZone(bean.getMaturity()),
View Full Code Here
TOP

Related Classes of com.opengamma.financial.security.cds.CDSSecurity

  • com.opengamma.examples.simulated.loader.ExampleCDSLoader
  • com.opengamma.financial.analytics.model.cds.ISDAApproxCDSPriceFlatSpreadFunction
  • com.opengamma.financial.analytics.model.cds.ISDAApproxCDSPriceFunction
  • com.opengamma.financial.analytics.model.cds.ISDAApproxCDSPriceHazardCurveFunction
  • com.opengamma.masterdb.security.hibernate.cds.CDSSecurityBeanOperation
    • 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.