Examples of withSpread()

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.definition.legacy.LegacyCreditDefaultSwapDefinition.withSpread()

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      // Modify the calibration CDS to have a maturity of tenor[m]
      calibrationCDS = (LegacyCreditDefaultSwapDefinition) calibrationCDS.withMaturityDate(marketTenors[m]);

      // Modify the calibration CDS to have a contractual spread of marketSpread[m]
      calibrationCDS = calibrationCDS.withSpread(marketSpreads[m]);

      // Compute the calibrated hazard rate for tenor[m] (using the calibrated hazard rates for tenors 1, ..., m - 1)
      hazardRates[m] = calibrateHazardRate(valuationDate, calibrationCDS, yieldCurve, runningTenors, runningTenorsAsDoubles, runningHazardRates, priceType);
    }
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.definition.legacy.LegacyCreditDefaultSwapDefinition.withSpread()

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      // Modify the calibration CDS to have a maturity of tenor[m]
      calibrationCDS = (LegacyCreditDefaultSwapDefinition) calibrationCDS.withMaturityDate(marketTenors[m]);

      // Modify the calibration CDS to have a contractual spread of marketSpread[m]
      calibrationCDS = calibrationCDS.withSpread(marketSpreads[m]);

      // Compute the calibrated hazard rate for tenor[m] (using the calibrated hazard rates for tenors 1, ..., m - 1)
      hazardRates[m] = calibrateHazardRate(valuationDate, calibrationCDS, yieldCurve, runningTenors, runningTenorsAsDoubles, runningHazardRates, priceType);
    }
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Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.definition.legacy.LegacyVanillaCreditDefaultSwapDefinition.withSpread()

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      // Modify the input CDS to have the maturity of the current calibration instrument
      calibrationCDS = calibrationCDS.withMaturityDate(marketTenors[i]);

      // Modify the input CDS to have the par spread of the current calibration instrument
      calibrationCDS = calibrationCDS.withSpread(marketSpreads[i]);

      // Now need to build a HazardRateCurve object from the first i calibrated points
      double[] runningTenorsAsDoubles = new double[i + 1];
      double[] runningHazardRates = new double[i + 1];
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