com.opengamma.strata.pricer.credit

Class AnalyticSpreadSensitivityCalculator

java.lang.Object

com.opengamma.strata.pricer.credit.SpreadSensitivityCalculator

com.opengamma.strata.pricer.credit.AnalyticSpreadSensitivityCalculator

public class AnalyticSpreadSensitivityCalculator
extends SpreadSensitivityCalculator

Analytic spread sensitivity calculator.

This analytically computes the present value sensitivity to par spreads of bucketed CDSs.

Field Summary

Fields

Modifier and Type	Field and Description
static AnalyticSpreadSensitivityCalculator	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
AnalyticSpreadSensitivityCalculator(AccrualOnDefaultFormula formula) Constructor with the accrual-on-default formula specified.

Method Summary

Modifier and Type	Method and Description
CurrencyAmount	parallelCs01(ResolvedCdsTrade trade, List<ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData) Computes parallel CS01 for CDS.

Methods inherited from class com.opengamma.strata.pricer.credit.SpreadSensitivityCalculator

bucketedCs01, bucketedCs01, bucketedCs01, bucketedCs01, checkCdsBucket, getCalibrator, getPricer, impliedSpread, parallelCs01, parallelCs01, parallelCs01

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final AnalyticSpreadSensitivityCalculator DEFAULT

Default implementation.

Constructor Detail

AnalyticSpreadSensitivityCalculator

public AnalyticSpreadSensitivityCalculator(AccrualOnDefaultFormula formula)

Constructor with the accrual-on-default formula specified.

Parameters:

formula - the formula

Method Detail

parallelCs01

public CurrencyAmount parallelCs01(ResolvedCdsTrade trade,
                                   List<ResolvedCdsTrade> bucketCds,
                                   CreditRatesProvider ratesProvider,
                                   ReferenceData refData)

Description copied from class: SpreadSensitivityCalculator

Computes parallel CS01 for CDS.

The relevant credit curve must be stored in RatesProvider.

Specified by:

parallelCs01 in class SpreadSensitivityCalculator

Parameters:

trade - the trade

bucketCds - the CDS bucket

ratesProvider - the rates provider

refData - the reference data

Returns:

the parallel CS01