Package com.opengamma.strata.pricer.credit

Class FiniteDifferenceSpreadSensitivityCalculator

java.lang.Object

com.opengamma.strata.pricer.credit.SpreadSensitivityCalculator

com.opengamma.strata.pricer.credit.FiniteDifferenceSpreadSensitivityCalculator

public class FiniteDifferenceSpreadSensitivityCalculator
extends SpreadSensitivityCalculator

Finite difference spread sensitivity calculator.

This computes the present value sensitivity to par spreads of bucketed CDSs by bump-and-reprice, i.e., finite difference method.

Field Summary

Fields

Modifier and Type	Field	Description
static FiniteDifferenceSpreadSensitivityCalculator	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
FiniteDifferenceSpreadSensitivityCalculator(AccrualOnDefaultFormula formula, double bumpAmount)	Constructor with accrual-on-default formula and bump amount specified.

Method Summary

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 FiniteDifferenceSpreadSensitivityCalculator DEFAULT

Default implementation.

The bump amount is one basis point.

Constructor Detail

FiniteDifferenceSpreadSensitivityCalculator

public FiniteDifferenceSpreadSensitivityCalculator(AccrualOnDefaultFormula formula,
                                                   double bumpAmount)

Constructor with accrual-on-default formula and bump amount specified.

Parameters:

formula - the formula

bumpAmount - the bump amount

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