Examples of ISDACompliantYieldCurve

com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.ISDACompliantYieldCurve

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

      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 ISDACompliantYieldCurve(t, r, rt, df, offsetR, offsetRt);
    }

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


  @Test
  public void testISDACompliantYieldCurve() {
    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 ISDACompliantYieldCurve curve = new ISDACompliantYieldCurve(times, rates);
    assertEquals(curve, cycleObject(ISDACompliantYieldCurve.class, curve));
  }

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

    ArgumentChecker.notNull(floatLegConvention, "Floating leg convention");
    ArgumentChecker.notNull(fixLegConvention, "Fixed leg convention");
    liborConvention = conventionSource.getConvention(IborIndexConvention.class, floatLegConvention.getIborIndexConvention());
    ArgumentChecker.notNull(liborConvention, floatLegConvention.getIborIndexConvention().toString());


    final ISDACompliantYieldCurve yieldCurve = ISDACompliantYieldCurveBuild.build(spotDate, spotDate, instruments, tenors, marketDataForCurve, cashConvention.getDayCount(),
        fixLegConvention.getDayCount(), fixLegConvention.getPaymentTenor().getPeriod(), ACT_365, liborConvention.getBusinessDayConvention());


    final ValueProperties properties = desiredValue.getConstraints().copy()
        .with(ISDAFunctionConstants.ISDA_CURVE_DATE, spotDate.toString())
        .get();

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

    }
    final Object spreadCurveObject = inputs.getValue(ValueRequirementNames.CREDIT_SPREAD_CURVE);
    if (spreadCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get credit spread curve");
    }
    final ISDACompliantYieldCurve yieldCurve = (ISDACompliantYieldCurve) yieldCurveObject;
    final NodalObjectsCurve<?, ?> spreadCurve = (NodalObjectsCurve<?, ?>) spreadCurveObject;
    final Tenor[] tenors = CreditFunctionUtils.getTenors(spreadCurve.getXData());
    final Double[] marketSpreadObjects = CreditFunctionUtils.getSpreads(spreadCurve.getYData());
    ParallelArrayBinarySort.parallelBinarySort(tenors, marketSpreadObjects);
    final int n = tenors.length;

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

    }
    final Object spreadCurveObject = inputs.getValue(ValueRequirementNames.CREDIT_SPREAD_CURVE);
    if (spreadCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get credit spread curve");
    }
    final ISDACompliantYieldCurve yieldCurve = (ISDACompliantYieldCurve) yieldCurveObject;
    final NodalObjectsCurve<?, ?> spreadCurve = (NodalObjectsCurve<?, ?>) spreadCurveObject;
    final Tenor[] tenors = CreditFunctionUtils.getTenors(spreadCurve.getXData());
    final Double[] marketSpreadObjects = CreditFunctionUtils.getSpreads(spreadCurve.getYData());
    ParallelArrayBinarySort.parallelBinarySort(tenors, marketSpreadObjects);
    final int n = tenors.length;

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

    if (spreadCurve == null) {
      throw new OpenGammaRuntimeException("Bucketed spreads not available for " + getSpreadCurveIdentifier(security));
    }


    // get the isda curve
    final ISDACompliantYieldCurve yieldCurve = (ISDACompliantYieldCurve) inputs.getValue(ValueRequirementNames.YIELD_CURVE);
    if (yieldCurve == null) {
      throw new OpenGammaRuntimeException("Couldn't get isda curve");
    }


    final Double cdsQuoteDouble = (Double) inputs.getValue(MarketDataRequirementNames.MARKET_VALUE);

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

          tenors[i] = strip.getTenor().getPeriod();
          values[i] = rate;
          i++;
        }


        final ISDACompliantYieldCurve yieldCurve = ISDACompliantYieldCurveBuild.build(valuationDate.toLocalDate(), spotDate, instruments, tenors, values, MONEY_MARKET_DCC, SWAP_DCC, swapIvl, CURVE_DCC, badDayConv);


        final ValueProperties properties = createValueProperties()
            .with(ValuePropertyNames.CURVE, curveName)
            .with(ISDAFunctionConstants.ISDA_CURVE_OFFSET, offsetString)
            .with(ISDAFunctionConstants.ISDA_CURVE_DATE, spotDateString)

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

    }
    final Object spreadCurveObject = inputs.getValue(ValueRequirementNames.CREDIT_SPREAD_CURVE);
    if (spreadCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get credit spread curve");
    }
    final ISDACompliantYieldCurve yieldCurve = (ISDACompliantYieldCurve) yieldCurveObject;
    final NodalObjectsCurve<?, ?> spreadCurve = (NodalObjectsCurve<?, ?>) spreadCurveObject;
    final Tenor[] tenors = CreditFunctionUtils.getTenors(spreadCurve.getXData());
    final Double[] marketSpreadObjects = CreditFunctionUtils.getSpreads(spreadCurve.getYData());
    ParallelArrayBinarySort.parallelBinarySort(tenors, marketSpreadObjects);
    final int n = tenors.length;

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

    // get the isda curve
    final Object isdaObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE);
    if (isdaObject == null) {
      throw new OpenGammaRuntimeException("Couldn't get isda curve");
    }
    final ISDACompliantYieldCurve yieldCurve = (ISDACompliantYieldCurve) isdaObject;


    // spreads
    NodalTenorDoubleCurve spreadObject = (NodalTenorDoubleCurve) inputs.getValue(ValueRequirementNames.BUCKETED_SPREADS);
    if (spreadObject == null) {
      throw new OpenGammaRuntimeException("Unable to get spreads");

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

    }
    final Object spreadCurveObject = inputs.getValue(ValueRequirementNames.CREDIT_SPREAD_CURVE);
    if (spreadCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get credit spread curve");
    }
    final ISDACompliantYieldCurve yieldCurve = (ISDACompliantYieldCurve) yieldCurveObject;
    final NodalObjectsCurve<?, ?> spreadCurve = (NodalObjectsCurve<?, ?>) spreadCurveObject;
    final Tenor[] tenors = CreditFunctionUtils.getTenors(spreadCurve.getXData());
    final Double[] marketSpreadObjects = CreditFunctionUtils.getSpreads(spreadCurve.getYData());
    ParallelArrayBinarySort.parallelBinarySort(tenors, marketSpreadObjects);
    final int n = tenors.length;

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