Examples of ISDAYieldCurveAndSpreadsProvider

Examples of com.opengamma.analytics.financial.credit.ISDAYieldCurveAndSpreadsProvider

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    ArgumentChecker.notNull(priceType, "price type");
    ArgumentChecker.notNegative(spreadBump, "Spread bump");
    DATA_CHECKER.checkSpreadData(valuationDate, marketTenors, marketSpreads);
    final int nSpreads = marketSpreads.length;
    final double[] bucketedCS01 = new double[nSpreads];
    ISDAYieldCurveAndSpreadsProvider calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, marketSpreads, yieldCurve);
    HazardRateCurve hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
    ISDAYieldCurveAndHazardRateCurveProvider curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(yieldCurve, hazardRateCurve);
    final double presentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
    // Loop through and bump each of the spreads at each tenor
    for (int m = 0; m < nSpreads; m++) {
      // Calculate the bumped spreads vector
      final double[] bumpedMarketSpreads = SPREAD_BUMPER.getBumpedCreditSpreads(marketSpreads, m, spreadBump, spreadBumpType);
      // Calculate the bumped CDS PV
      calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, bumpedMarketSpreads, yieldCurve);
      hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
      curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(yieldCurve, hazardRateCurve);
      final double bumpedPresentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
      // Compute the CS01 for this tenor
      bucketedCS01[m] = (bumpedPresentValue - presentValue) / spreadBump;
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Examples of com.opengamma.analytics.financial.credit.ISDAYieldCurveAndSpreadsProvider

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    ArgumentChecker.notNull(priceType, "price type");
    ArgumentChecker.notNegative(spreadBump, "Spread bump");
    DATA_CHECKER.checkSpreadData(valuationDate, marketTenors, marketSpreads);
    final int nSpreads = marketSpreads.length;
    final double[] bucketedGammaCS01 = new double[nSpreads];
    ISDAYieldCurveAndSpreadsProvider calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, marketSpreads, yieldCurve);
    HazardRateCurve hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
    ISDAYieldCurveAndHazardRateCurveProvider curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(yieldCurve, hazardRateCurve);
    final double presentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
    // Loop through and bump each of the spreads at each tenor
    for (int m = 0; m < nSpreads; m++) {
      // Calculate the bumped spreads vector
      final double[] bumpedUpMarketSpreads = SPREAD_BUMPER.getBumpedCreditSpreads(marketSpreads, m, spreadBump, spreadBumpType);
      // Calculate the bumped CDS PV
      calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, bumpedUpMarketSpreads, yieldCurve);
      hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
      curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(yieldCurve, hazardRateCurve);
      final double bumpedUpPresentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
      // Compute the gamma CS01 for this tenor
      final double[] bumpedDownMarketSpreads = SPREAD_BUMPER.getBumpedCreditSpreads(marketSpreads, m, -spreadBump, spreadBumpType);
      calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, bumpedDownMarketSpreads, yieldCurve);
      hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
      curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(yieldCurve, hazardRateCurve);
      final double bumpedDownPresentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
      bucketedGammaCS01[m] = (bumpedUpPresentValue - 2 * presentValue + bumpedDownPresentValue) / (2 * spreadBump);
    }
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Examples of com.opengamma.analytics.financial.credit.ISDAYieldCurveAndSpreadsProvider

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    ArgumentChecker.notNull(spreadBumpType, "Spread bump type");
    ArgumentChecker.notNull(priceType, "price type");
    ArgumentChecker.notNegative(spreadBump, "Spread bump");
    DATA_CHECKER.checkSpreadData(valuationDate, marketTenors, marketSpreads);
    final double[] bumpedMarketSpreads = SPREAD_BUMPER.getBumpedCreditSpreads(marketSpreads, spreadBump, spreadBumpType);
    ISDAYieldCurveAndSpreadsProvider calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, marketSpreads, yieldCurve);
    HazardRateCurve hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
    ISDAYieldCurveAndHazardRateCurveProvider curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(yieldCurve, hazardRateCurve);
    final double presentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
    calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, bumpedMarketSpreads, yieldCurve);
    hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
    curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(yieldCurve, hazardRateCurve);
    final double bumpedPresentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
    return (bumpedPresentValue - presentValue) / spreadBump;
  }
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Examples of com.opengamma.analytics.financial.credit.ISDAYieldCurveAndSpreadsProvider

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    DATA_CHECKER.checkSpreadData(valuationDate, marketTenors, marketSpreads);
    final Double[] yields = yieldCurve.getCurve().getYData();
    final int nYields = yields.length;
    final double[] bumpedYields = new double[nYields];
    final double[] bucketedIR01 = new double[nYields];
    ISDAYieldCurveAndSpreadsProvider calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, marketSpreads, yieldCurve);
    HazardRateCurve hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
    ISDAYieldCurveAndHazardRateCurveProvider curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(yieldCurve, hazardRateCurve);
    final double presentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
    for (int i = 0; i < nYields; i++) {
      bumpedYields[i] = yields[i];
    }
    final double bumpInBp = yieldBump / 10000;
    switch(yieldBumpType) {
      case ADDITIVE:
      {
        bumpedYields[0] += bumpInBp;
        ISDADateCurve bumpedYieldCurve = new ISDADateCurve("Bumped", yieldCurve.getCurveDates(), yieldCurve.getTimePoints(), bumpedYields, yieldCurve.getOffset());
        calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, marketSpreads, bumpedYieldCurve);
        hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
        curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(bumpedYieldCurve, hazardRateCurve);
        double bumpedPresentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
        bucketedIR01[0] = (bumpedPresentValue - presentValue) / yieldBump;
        for (int i = 1; i < nYields; i++) {
          bumpedYields[i - 1] -= bumpInBp;
          bumpedYields[i] += bumpInBp;
          bumpedYieldCurve = new ISDADateCurve("Bumped", yieldCurve.getCurveDates(), yieldCurve.getTimePoints(), bumpedYields, yieldCurve.getOffset());
          calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, marketSpreads, bumpedYieldCurve);
          hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
          curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(bumpedYieldCurve, hazardRateCurve);
          bumpedPresentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
          bucketedIR01[i] = (bumpedPresentValue - presentValue) / yieldBump;
        }
        break;
      }
      case MULTIPLICATIVE:
        bumpedYields[0] *= 1 + bumpInBp;
        ISDADateCurve bumpedYieldCurve = new ISDADateCurve("Bumped", yieldCurve.getCurveDates(), yieldCurve.getTimePoints(), bumpedYields, yieldCurve.getOffset());
        calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, marketSpreads, bumpedYieldCurve);
        hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
        curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(bumpedYieldCurve, hazardRateCurve);
        double bumpedPresentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
        bucketedIR01[0] = (bumpedPresentValue - presentValue) / yieldBump;
        for (int i = 1; i < nYields; i++) {
          bumpedYields[i - 1] /= 1 + bumpInBp;
          bumpedYields[i] *= 1 + bumpInBp;
          bumpedYieldCurve = new ISDADateCurve("Bumped", yieldCurve.getCurveDates(), yieldCurve.getTimePoints(), bumpedYields, yieldCurve.getOffset());
          calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, marketSpreads, bumpedYieldCurve);
          hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
          curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(bumpedYieldCurve, hazardRateCurve);
          bumpedPresentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
          bucketedIR01[i] = (bumpedPresentValue - presentValue) / yieldBump;
        }
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Examples of com.opengamma.analytics.financial.credit.ISDAYieldCurveAndSpreadsProvider

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    ArgumentChecker.notNull(marketSpreads, "Market spreads");
    ArgumentChecker.notNull(yieldBumpType, "yield bump type");
    ArgumentChecker.notNull(priceType, "price type");
    ArgumentChecker.notNegative(yieldBump, "yield bump");
    DATA_CHECKER.checkSpreadData(valuationDate, marketTenors, marketSpreads);
    ISDAYieldCurveAndSpreadsProvider calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, marketSpreads, yieldCurve);
    HazardRateCurve hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
    ISDAYieldCurveAndHazardRateCurveProvider curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(yieldCurve, hazardRateCurve);
    final double presentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
    final Double[] yields = yieldCurve.getCurve().getYData();
    final int nYields = yields.length;
    final double[] bumpedYields = new double[nYields];
    final double bumpInBp = yieldBump / 10000;
    switch (yieldBumpType) {
      case ADDITIVE_PARALLEL:
        for (int i = 0; i < nYields; i++) {
          bumpedYields[i] = yields[i] + bumpInBp;
        }
        break;
      case MULTIPLICATIVE_PARALLEL:
        for (int i = 0; i < nYields; i++) {
          bumpedYields[i] = yields[i] * (1 + bumpInBp);
        }
        break;
      default:
        throw new IllegalArgumentException("Cannot handle bump type " + yieldBumpType);
    }
    final ISDADateCurve bumpedYieldCurve = new ISDADateCurve("Bumped", yieldCurve.getCurveDates(), yieldCurve.getTimePoints(), bumpedYields, yieldCurve.getOffset());
    calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, marketSpreads, bumpedYieldCurve);
    hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
    curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(bumpedYieldCurve, hazardRateCurve);
    final double bumpedPresentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
    return (bumpedPresentValue - presentValue) / yieldBump;
  }
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Examples of com.opengamma.analytics.financial.credit.ISDAYieldCurveAndSpreadsProvider

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    ArgumentChecker.notNull(priceType, "price type");
    ArgumentChecker.notNegative(spreadBump, "Spread bump");
    DATA_CHECKER.checkSpreadData(valuationDate, marketTenors, marketSpreads);
    final double[] bumpedUpMarketSpreads = SPREAD_BUMPER.getBumpedCreditSpreads(marketSpreads, spreadBump, spreadBumpType);
    final double[] bumpedDownMarketSpreads = SPREAD_BUMPER.getBumpedCreditSpreads(marketSpreads, -spreadBump, spreadBumpType);
    ISDAYieldCurveAndSpreadsProvider calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, marketSpreads, yieldCurve);
    HazardRateCurve hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
    ISDAYieldCurveAndHazardRateCurveProvider curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(yieldCurve, hazardRateCurve);
    final double presentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
    calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, bumpedUpMarketSpreads, yieldCurve);
    hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
    curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(yieldCurve, hazardRateCurve);
    final double bumpedUpPresentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
    calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, bumpedDownMarketSpreads, yieldCurve);
    hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
    curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(yieldCurve, hazardRateCurve);
    final double bumpedDownPresentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
    return (bumpedUpPresentValue - 2 * presentValue + bumpedDownPresentValue) / (2 * spreadBump);
  }
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Examples of com.opengamma.analytics.financial.credit.ISDAYieldCurveAndSpreadsProvider

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      throw new OpenGammaRuntimeException("Need at least two credit spread points for pricing");
    }
    final ValueProperties properties = Iterables.getOnlyElement(desiredValues).getConstraints().copy()
        .with(ValuePropertyNames.FUNCTION, getUniqueId())
        .get();
    final ISDAYieldCurveAndSpreadsProvider data = new ISDAYieldCurveAndSpreadsProvider(calibrationTimes.toArray(new ZonedDateTime[calibrationTimes.size()]),
        marketSpreads.toDoubleArray(), yieldCurve);
    final HazardRateCurve curve = CALCULATOR.calibrateHazardRateCurve(cdsOption.getUnderlyingCDS(), data, valuationTime);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.HAZARD_RATE_CURVE, target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, curve));
  }
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