Examples of calibrateAndGetPresentValue()

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

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    marketSpreads[nbNonSpecific + loopspec][8] = 800.0;
    marketSpreads[nbNonSpecific + loopspec][9] = 780.0;

    final double[] pv = new double[nbSpreads];
    for (int loopspread = 0; loopspread < nbSpreads; loopspread++) {
      pv[loopspread] = pvcds.calibrateAndGetPresentValue(valuationDate, cds, tenors, marketSpreads[loopspread], curveISDADate, PRICE_TYPE_CLEAN);
    }
    final double[] pvExpected = {-5672458.043975232, -5612833.8411497325, -2764265.396014931, 72.73528969381005, 5126779.225961099, 3.2042108339047514E7, -2210334.5968965204, 1.9690546519727346E7,
        5196701.133692645, 1.00057853795825E7, 1.9044683964563813E7, 6220964.461377103, 4085113.125930696, 1.686216455050518E7, 4001404.223613698, 2.0290515510249116E7, 4.728163157144226E7,
        2.9981696893176883E7 }; // From previous run
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.PresentValueCreditDefaultSwap.calibrateAndGetPresentValue()

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    // Create a CDS PV calculator
    //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 and bump each of the spreads at each tenor
    for (int m = 0; m < marketSpreads.length; m++) {
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.PresentValueCreditDefaultSwap.calibrateAndGetPresentValue()

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      ArgumentChecker.notNegative(bumpedMarketSpreads[m], "Bumped market spread");
    }

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

    double curveScenarioPresentValue = (bumpedPresentValue - presentValue);

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

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    // Create a CDS PV calculator
    //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 and bump each of the spreads at each tenor
    for (int m = 0; m < marketSpreads.length; m++) {
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.PresentValueCreditDefaultSwap.calibrateAndGetPresentValue()

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      ArgumentChecker.notNegative(bumpedMarketSpreads[m], "Bumped market spread");
    }

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

    double curveScenarioPresentValue = (bumpedPresentValue - presentValue);

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

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    // Create a CDS PV calculator
    //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);

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

    // ----------------------------------------------------------------------------------------------------------------------------------------
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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 bumpedPresentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, bumpedMarketSpreads, yieldCurve, priceType);

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

    // Calculate the parallel CS01
    final double parallelCS01 = (bumpedPresentValue - presentValue) / spreadBump;
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.PresentValueCreditDefaultSwap.calibrateAndGetPresentValue()

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

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

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

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

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      // Calculate the bumped spreads vector
      final double[] bumpedMarketSpreads = spreadBumper.getBumpedCreditSpreads(unbumpedMarketSpreads, m, spreadBump, spreadBumpType);

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

      // Compute the CS01 for this tenor
      bucketedCS01[m] = (bumpedPresentValue - presentValue) / spreadBump;
    }
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.PresentValueCreditDefaultSwap.calibrateAndGetPresentValue()

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    // Create a CDS PV calculator
    //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);

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

    // Calculate the bumped down CDS PV
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