Examples of ISDACDSPremiumDefinition

com.opengamma.analytics.financial.instrument.cds.ISDACDSPremiumDefinition
ISDA definition for a CDS premium (i.e. a stream of ISDA CDS coupon payments). This class encodes only the structure of the payment schedule, it does not represent survival probabilities. Note the dates recorded for accrual period start and end are not offset as per ISDA, they are the actual start and end dates. Instead, offsetting happens when the ISDA method is applied. @author Martin Traverse, Niels Stchedroff (Riskcare) @see ISDACDSDefinition @see AnnuityCouponFixedDefinition

Examples of com.opengamma.analytics.financial.instrument.cds.ISDACDSPremiumDefinition


    final ISDACDSCoupon[] premiums = cds.getPremium().getPayments();
    final ZonedDateTime startDate = premiums[0].getAccrualStartDate();
    final ZonedDateTime maturity = premiums[premiums.length - 1].getAccrualEndDate();


    final ISDACDSPremiumDefinition premiumDefinition = ISDACDSPremiumDefinition.from(
      startDate, maturity, cds.getCouponFrequency(),
      cds.getConvention(), cds.getStubType(), cds.isProtectStart(),
      notional, parSpread, cds.getPremium().getCurrency(), calendar);


    return new ISDACDSDefinition(startDate, maturity, premiumDefinition, notional, parSpread, cds.getRecoveryRate(),

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Examples of com.opengamma.analytics.financial.instrument.cds.ISDACDSPremiumDefinition

    // TODO: Does convention name matter? ISDA code never uses it
    final Calendar calendar = CalendarUtils.getCalendar(_holidaySource, cds.getCurrency());
    final Convention convention = new Convention(
      cds.getSettlementDays(), cds.getDayCount(), cds.getBusinessDayConvention(), calendar, cds.getName() + "_convention"); // TODO: Is convention name important?


    final ISDACDSPremiumDefinition premiumPayments = ISDACDSPremiumDefinition.from(
      cds.getStartDate(), cds.getMaturity(), cds.getPremiumFrequency(),
      convention, cds.getStubType(), PROTECT_START,
      cds.getNotional(), cds.getSpread(), cds.getCurrency(), calendar);


    return new ISDACDSDefinition(cds.getStartDate(), cds.getMaturity(), premiumPayments,

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Examples of com.opengamma.analytics.financial.instrument.cds.ISDACDSPremiumDefinition

    final double notional = 1000000000;
    final Frequency couponFrequency = SimpleFrequency.QUARTERLY;
    final StubType stubType = StubType.SHORT_START;


    // Now build the CDS object
    final ISDACDSPremiumDefinition premiumDefinition = ISDACDSPremiumDefinition.from(startDate, maturity, couponFrequency, convention, stubType, /* protect start */ true, /*notional*/ 1.0, spread, Currency.EUR, calendar);
    final ISDACDSDefinition cdsDefinition = new ISDACDSDefinition(startDate, maturity, premiumDefinition, /*notional*/1.0, spread, recoveryRate, /* accrualOnDefault */ true, /* payOnDefault */ true, /* protectStart */ true, couponFrequency, convention, stubType);
    final ISDACDSDerivative cds = cdsDefinition.toDerivative(pricingDate, stepinDate, settlementDate, "IR_CURVE");


    // Par spread is always supplied
    final double marketSpread = testCase.getQuotedSpread() / 10000.0;

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Examples of com.opengamma.analytics.financial.instrument.cds.ISDACDSPremiumDefinition

    // Pay contingent leg on default or at maturity?
    final boolean payOnDefault = true;


    final boolean protectStart = true;


    final ISDACDSPremiumDefinition premiumDefinition = ISDACDSPremiumDefinition.from(startDate, maturity, couponFrequency, convention, stubType, protectStart, notional, spread,
        Currency.EUR, calendar);


    return new ISDACDSDefinition(startDate, maturity, premiumDefinition, notional, spread, recoveryRate, accrualOnDefault, payOnDefault, protectStart, couponFrequency, convention, stubType);
  }

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Examples of com.opengamma.analytics.financial.instrument.cds.ISDACDSPremiumDefinition

    final DayCount dayCount = new ActualThreeSixty();
    final BusinessDayConvention businessDays = new FollowingBusinessDayConvention();
    final Convention convention = new Convention(settlementDays, dayCount, businessDays, calendar, "");
    final StubType stubType = StubType.SHORT_START;


    final ISDACDSPremiumDefinition premiumDefinition = ISDACDSPremiumDefinition.from(startDate, maturity, premiumFrequency, convention, stubType, /* protectStart */ true, notional, spread, Currency.EUR, calendar);


    return new ISDACDSDefinition(startDate, maturity, premiumDefinition, notional, spread, recoveryRate, /* accrualOnDefault */ true, /* payOnDefault */ true, /* protectStart */ true, premiumFrequency, convention, stubType);
  }

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Examples of com.opengamma.analytics.financial.instrument.cds.ISDACDSPremiumDefinition

    final DayCount dayCount = new ActualThreeSixty();
    final BusinessDayConvention businessDays = new FollowingBusinessDayConvention();
    final Convention convention = new Convention(settlementDays, dayCount, businessDays, calendar, "");
    final StubType stubType = StubType.SHORT_START;


    final ISDACDSPremiumDefinition premiumDefinition = ISDACDSPremiumDefinition.from(startDate, maturity, couponFrequency, convention, stubType, /* protectStart */ true, notional, spread, Currency.EUR, calendar);


    return new ISDACDSDefinition(startDate, maturity, premiumDefinition, notional, spread, recoveryRate, /* accrualOnDefault */ true, /* payOnDefault */ true, /* protectStart */ true, couponFrequency, convention, stubType);
  }

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Examples of com.opengamma.analytics.financial.instrument.cds.ISDACDSPremiumDefinition

    final DayCount dayCount = new ActualThreeSixty();
    final BusinessDayConvention businessDays = new FollowingBusinessDayConvention();
    final Convention convention = new Convention(settlementDays, dayCount, businessDays, calendar, "");
    final StubType stubType = StubType.SHORT_START;


    final ISDACDSPremiumDefinition premiumDefinition = ISDACDSPremiumDefinition.from(startDate, maturity, couponFrequency, convention, stubType, /* protectStart */ true, notional, spread, Currency.EUR, calendar);


    return new ISDACDSDefinition(startDate, maturity, premiumDefinition, notional, spread, recoveryRate, /* accrualOnDefault */ true, /* payOnDefault */ true, /* protectStart */ true, couponFrequency, convention, stubType);
  }

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