AnalyticSpreadSensitivityCalculator (OpenGamma Strata)

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 Description

static AnalyticSpreadSensitivityCalculator DEFAULT
Default implementation.

Constructor Summary

Constructors
Constructor Description

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

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method	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