Examples of calibrateAndGetPresentValue()

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.PresentValueCreditDefaultSwap.calibrateAndGetPresentValue()

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    // Calculate the unbumped CDS PV
    final double presentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, marketSpreads, yieldCurve, priceType);

    // Calculate the bumped up CDS PV
    final double bumpedUpPresentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, bumpedUpMarketSpreads, yieldCurve, priceType);

    // Calculate the bumped down CDS PV
    final double bumpedDownPresentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, bumpedDownMarketSpreads, yieldCurve, priceType);

    // ----------------------------------------------------------------------------------------------------------------------------------------
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.PresentValueCreditDefaultSwap.calibrateAndGetPresentValue()

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    // Calculate the bumped up CDS PV
    final double bumpedUpPresentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, bumpedUpMarketSpreads, yieldCurve, priceType);

    // Calculate the bumped down CDS PV
    final double bumpedDownPresentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, bumpedDownMarketSpreads, yieldCurve, priceType);

    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Calculate the parallel gamma using a simple finite-difference approximation
    final double parallelGamma = (bumpedUpPresentValue - 2 * presentValue + bumpedDownPresentValue) / (2 * spreadBump);
 
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.PresentValueCreditDefaultSwap.calibrateAndGetPresentValue()

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    // Create a CDS calculator object
    //final PresentValueLegacyCreditDefaultSwap creditDefaultSwap = new PresentValueLegacyCreditDefaultSwap();
    final PresentValueCreditDefaultSwap creditDefaultSwap = new PresentValueCreditDefaultSwap();

    // Calculate the unbumped CDS PV
    final double presentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, marketSpreads, yieldCurve, priceType);

    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Loop through each of the spreads at each tenor
    for (int m = 0; m < marketTenors.length; m++) {
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.PresentValueCreditDefaultSwap.calibrateAndGetPresentValue()

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      } else {
        throw new IllegalArgumentException("Cannot handle bumps of type " + spreadBumpType);
      }

      // Calculate the bumped up CDS PV
      final double bumpedUpPresentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, bumpedUpMarketSpreads, yieldCurve, priceType);

      // Calculate the bumped down CDS PV
      final double bumpedDownPresentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, bumpedDownMarketSpreads, yieldCurve, priceType);

      // Compute the bucketed gamma for this tenor
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.PresentValueCreditDefaultSwap.calibrateAndGetPresentValue()

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      // Calculate the bumped up CDS PV
      final double bumpedUpPresentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, bumpedUpMarketSpreads, yieldCurve, priceType);

      // Calculate the bumped down CDS PV
      final double bumpedDownPresentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, bumpedDownMarketSpreads, yieldCurve, priceType);

      // Compute the bucketed gamma for this tenor
      bucketedGamma[m] = (bumpedUpPresentValue - 2 * presentValue + bumpedDownPresentValue) / (2 * spreadBump);
    }

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