Examples of com.opengamma.analytics.financial.instrument.cds.ISDACDSDefinition.toDerivative()

com.opengamma.analytics.financial.instrument.cds.ISDACDSDefinition.toDerivative()
Create a {@link ISDACDSDerivative} object for pricing relative to the given pricing date @param pricingDate Pricing point for offsetting t values @param yieldCurveNames Curve names: 0 = discount, 1 = credit spread (optional) @return CDS derivative object ready for pricing @deprecated Use the method that does not take yield curve names


    final double[] timePoints = {cds.getMaturity()};
    final double[] dataPoints = {flatSpread};


    final ISDACDSDefinition bootstrapCDSDefinition = makeBootstrapCDSDefinition(cds, flatSpread, calendar);
    final ISDACDSDerivative bootstrapCDS = bootstrapCDSDefinition.toDerivative(pricingDate, stepinDate, settlementDate, cds.getDiscountCurveName(), cds.getSpreadCurveName());


    final double guess = dataPoints[0] / (1.0 - cds.getRecoveryRate());


    dataPoints[0] = HAZARD_SOLVER.findRoot(
      new Function1D<Double, Double>() {

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    final StubType stubType = StubType.SHORT_START;


    // Now build the CDS object
    final ISDACDSPremiumDefinition premiumDefinition = ISDACDSPremiumDefinition.from(startDate, maturity, couponFrequency, convention, stubType, /* protect start */ true, /*notional*/ 1.0, spread, Currency.EUR, calendar);
    final ISDACDSDefinition cdsDefinition = new ISDACDSDefinition(startDate, maturity, premiumDefinition, /*notional*/1.0, spread, recoveryRate, /* accrualOnDefault */ true, /* payOnDefault */ true, /* protectStart */ true, couponFrequency, convention, stubType);
    final ISDACDSDerivative cds = cdsDefinition.toDerivative(pricingDate, stepinDate, settlementDate, "IR_CURVE");


    // Par spread is always supplied
    final double marketSpread = testCase.getQuotedSpread() / 10000.0;


    // Now go price

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    // Discount curve
    final ISDACurve discountCurve = (ISDACurve) inputs.getValue(ValueRequirementNames.YIELD_CURVE);
    final double flatSpread = (Double) inputs.getValue(ValueRequirementNames.SPOT_RATE);


    // Convert security in to format suitable for pricing
    final ISDACDSDerivative cdsDerivative = cdsDefinition.toDerivative(pricingDate, stepinDate, settlementDate, discountCurve.getName());


    // Go price!
    final double dirtyPrice = ISDA_APPROX_METHOD.calculateUpfrontCharge(cdsDerivative, discountCurve, flatSpread, false, pricingDate, stepinDate, settlementDate, CALENDAR);
    final double cleanPrice = dirtyPrice - cdsDerivative.getAccruedInterest();

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        .with(ValuePropertyNames.CURVE, "HAZARD_" + cds.getUnderlyingIssuer() + "_" + cds.getUnderlyingSeniority() + "_" + cds.getRestructuringClause())
        .with(ValuePropertyNames.CALCULATION_METHOD, ISDAFunctionConstants.ISDA_METHOD_NAME)
        .get()));


    // Convert security in to format suitable for pricing
    final ISDACDSDerivative cdsDerivative = cdsDefinition.toDerivative(pricingDate, stepinDate, settlementDate, discountCurve.getName(), hazardRateCurve.getName());


    // Go price!
    final double dirtyPrice = ISDA_APPROX_METHOD.calculateUpfrontCharge(cdsDerivative, discountCurve, hazardRateCurve, false);
    final double cleanPrice = dirtyPrice - cdsDerivative.getAccruedInterest();

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