Examples of ISDACompliantCurve

com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.ISDACompliantCurve
A yield or hazard curve values between nodes are linearly interpolated from t*r points (where t is time and r is the zero rate)

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.ISDACompliantCurve

      final double[] r = deserializer.fieldValueToObject(double[].class, message.getByName(R_FIELD_NAME));
      final double[] rt = deserializer.fieldValueToObject(double[].class, message.getByName(RT_FIELD_NAME));
      final double[] df = deserializer.fieldValueToObject(double[].class, message.getByName(DF_FIELD_NAME));
      final double offsetR  =  message.getDouble(OFFSET_R_FIELD_NAME);
      final double offsetRt =  message.getDouble(OFFSET_RT_FIELD_NAME);
      return new ISDACompliantCurve(t, r, rt, df, offsetR, offsetRt);
    }

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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.ISDACompliantCurve


  @Test
  public void testISDACompliantCurve() {
    final double[] times = new double[] {0, .25, .5, .75, 1};
    final double[] rates = new double[] {0.01, 0.02, 0.03, 0.04, 0.05};
    final ISDACompliantCurve curve = new ISDACompliantCurve(times, rates);
    assertEquals(curve, cycleObject(ISDACompliantCurve.class, curve));
  }

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