Package com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.FastCreditCurveBuilder

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.FastCreditCurveBuilder.Pricer.rpv01()


    final double proLeg1 = testedPricer.protectionLeg(CDS, YIELD_CURVE, CREDIT_CURVE);
    final double proLeg2 = pricer.protectionLeg(CREDIT_CURVE);

    final double premLeg1 = testedPricer.pvPremiumLegPerUnitSpread(CDS, YIELD_CURVE, CREDIT_CURVE, PriceType.CLEAN);
    final double premLeg2 = pricer.rpv01(CREDIT_CURVE, PriceType.CLEAN);

    assertEquals("pro-leg", proLeg1, proLeg2, 1e-13);
    assertEquals("prem-leg", premLeg1, premLeg2, 1e-13);
  }
}
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