Examples of withEffectiveDate()

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.definition.legacy.LegacyVanillaCreditDefaultSwapDefinition.withEffectiveDate()

102
103
104
105
106
107
108
109
110
111
112
      //s_logger.warn("Could not get recovery rate, defaulting to 0.4: " + recoveryRateIdentifier);
      //recoveryRateObject = 0.4;
    }
    final double recoveryRate = (Double) recoveryRateObject;
    LegacyVanillaCreditDefaultSwapDefinition definition = (LegacyVanillaCreditDefaultSwapDefinition) security.accept(converter);
    definition = definition.withEffectiveDate(FOLLOWING.adjustDate(calendar, valuationTime.withHour(0).withMinute(0).withSecond(0).withNano(0).plusDays(1)));
    definition = definition.withRecoveryRate(recoveryRate);
    final Object yieldCurveObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE);
    if (yieldCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get yield curve");
    }
View Full Code Here

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.definition.legacy.LegacyVanillaCreditDefaultSwapDefinition.withEffectiveDate()

86
87
88
89
90
91
92
93
94
95
96
    final CreditDefaultIndexSwapSecurityToProxyConverter converter = new CreditDefaultIndexSwapSecurityToProxyConverter(holidaySource, regionSource, organizationSource);
    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
    final CreditDefaultSwapIndexSecurity security = (CreditDefaultSwapIndexSecurity) target.getSecurity();
    final Calendar calendar = new HolidaySourceCalendarAdapter(holidaySource, FinancialSecurityUtils.getCurrency(security));
    LegacyVanillaCreditDefaultSwapDefinition cds = (LegacyVanillaCreditDefaultSwapDefinition) security.accept(converter);
    cds = cds.withEffectiveDate(FOLLOWING.adjustDate(calendar, valuationTime.withHour(0).withMinute(0).withSecond(0).withNano(0).plusDays(1)));
    final Object yieldCurveObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE);
    if (yieldCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get yield curve");
    }
    final Object spreadCurveObject = inputs.getValue(ValueRequirementNames.CREDIT_SPREAD_CURVE);
View Full Code Here

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.definition.legacy.LegacyVanillaCreditDefaultSwapDefinition.withEffectiveDate()

86
87
88
89
90
91
92
93
94
95
96
    final CreditDefaultSwapSecurityConverter converter = new CreditDefaultSwapSecurityConverter(holidaySource, regionSource, organizationSource);
    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
    final CreditDefaultSwapSecurity security = (CreditDefaultSwapSecurity) target.getSecurity();
    final Calendar calendar = new HolidaySourceCalendarAdapter(holidaySource, FinancialSecurityUtils.getCurrency(security));
    LegacyVanillaCreditDefaultSwapDefinition cds = (LegacyVanillaCreditDefaultSwapDefinition) security.accept(converter);
    cds = cds.withEffectiveDate(FOLLOWING.adjustDate(calendar, valuationTime.withHour(0).withMinute(0).withSecond(0).withNano(0).plusDays(1)));
    final CdsRecoveryRateIdentifier recoveryRateIdentifier = security.accept(new CreditSecurityToRecoveryRateVisitor(securitySource));
    Object recoveryRateObject = inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, recoveryRateIdentifier.getExternalId()));
    if (recoveryRateObject == null) {
      //throw new OpenGammaRuntimeException("Could not get recovery rate");
      recoveryRateObject = 0.4;
View Full Code Here

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.definition.legacy.LegacyVanillaCreditDefaultSwapDefinition.withEffectiveDate()

95
96
97
98
99
100
101
102
103
104
105
      throw new OpenGammaRuntimeException("Could not get underlying index definition");
    }
    final double recoveryRate = underlyingDefinition.getRecoveryRate();
    final Calendar calendar = new HolidaySourceCalendarAdapter(holidaySource, FinancialSecurityUtils.getCurrency(security));
    LegacyVanillaCreditDefaultSwapDefinition definition = (LegacyVanillaCreditDefaultSwapDefinition) security.accept(converter);
    definition = definition.withEffectiveDate(FOLLOWING.adjustDate(calendar, valuationTime.withHour(0).withMinute(0).withSecond(0).withNano(0).plusDays(1)));
    definition = definition.withRecoveryRate(recoveryRate);
    final Object yieldCurveObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE);
    if (yieldCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get yield curve");
    }
View Full Code Here

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.definition.vanilla.CreditDefaultSwapDefinition.withEffectiveDate()

121
122
123
124
125
126
127
128
129
130
131
    final CreditDefaultSwapDefinition underlyingCDS = cdsSwaption.getUnderlyingCDS();

    CreditDefaultSwapDefinition shortCDS = cdsSwaption.getUnderlyingCDS();

    shortCDS = shortCDS.withStartDate(cdsSwaption.getStartDate());
    shortCDS = shortCDS.withEffectiveDate(cdsSwaption.getStartDate().plusDays(1));
    shortCDS = shortCDS.withMaturityDate(cdsSwaption.getOptionExerciseDate());

    // Generate the cashflow schedule for the (forward) premium leg
    final ZonedDateTime[] underlyingCDSPremiumLegSchedule = PREMIUM_LEG_SCHEDULE_CALCULATOR.constructCreditDefaultSwapPremiumLegSchedule(underlyingCDS);
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.