Uses of Class
com.opengamma.strata.product.credit.ResolvedCdsTrade

Packages that use ResolvedCdsTrade

Package	Description
com.opengamma.strata.pricer.credit	Calculators for credit instruments, such as Credit Default Swap (CDS).
com.opengamma.strata.product.credit	Entity objects describing Credit Default Swap (CDS) and CDS index.

Uses of ResolvedCdsTrade in com.opengamma.strata.pricer.credit

Methods in com.opengamma.strata.pricer.credit with parameters of type ResolvedCdsTrade

Modifier and Type	Method	Description
CurrencyParameterSensitivity	SpreadSensitivityCalculator.bucketedCs01(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes bucketed CS01 for CDS.
CurrencyParameterSensitivity	SpreadSensitivityCalculator.bucketedCs01(ResolvedCdsTrade trade, List<ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes bucketed CS01 for CDS.
protected void	SpreadSensitivityCalculator.checkCdsBucket(ResolvedCdsTrade trade, List<ResolvedCdsTrade> bucketCds)
double	CdsMarketQuoteConverter.cleanPrice(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes the market clean price.
CurrencyAmount	IsdaCdsTradePricer.expectedLoss(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider)	Calculates the expected loss of the underlying product.
JumpToDefault	IsdaCdsTradePricer.jumpToDefault(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the jump-to-default of the underlying product.
CurrencyAmount	AnalyticSpreadSensitivityCalculator.parallelCs01(ResolvedCdsTrade trade, List<ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)
CurrencyAmount	FiniteDifferenceSpreadSensitivityCalculator.parallelCs01(ResolvedCdsTrade trade, List<ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)
CurrencyAmount	SpreadSensitivityCalculator.parallelCs01(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes parallel CS01 for CDS.
abstract CurrencyAmount	SpreadSensitivityCalculator.parallelCs01(ResolvedCdsTrade trade, List<ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes parallel CS01 for CDS.
double	IsdaCdsTradePricer.parSpread(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the par spread of the underlying product.
PointSensitivities	IsdaCdsTradePricer.parSpreadSensitivity(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the par spread sensitivity of the underling product.
double	CdsMarketQuoteConverter.pointsUpfront(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes the points upfront.
CdsQuote	CdsMarketQuoteConverter.pointsUpFrontFromQuotedSpread(ResolvedCdsTrade trade, CdsQuote quote, CreditRatesProvider ratesProvider, ReferenceData refData)	Converts quoted spread to points upfront.
CurrencyAmount	IsdaCdsTradePricer.presentValue(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)	Calculates the present value of the trade.
CurrencyAmount	IsdaCdsTradePricer.presentValueOnSettle(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)	Calculates the present value of the underlying product.
PointSensitivities	IsdaCdsTradePricer.presentValueOnSettleSensitivity(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the present value sensitivity of the underlying product.
PointSensitivities	IsdaCdsTradePricer.presentValueSensitivity(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the present value sensitivity of the trade.
double	IsdaCdsTradePricer.price(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)	Calculates the price of the underlying product, which is the present value per unit notional.
PointSensitivities	IsdaCdsTradePricer.priceSensitivity(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the price sensitivity of the underlying product.
CdsQuote	CdsMarketQuoteConverter.quotedSpreadFromPointsUpfront(ResolvedCdsTrade trade, CdsQuote quote, CreditRatesProvider ratesProvider, ReferenceData refData)	Converts points upfront to quoted spread.
CurrencyAmount	IsdaCdsTradePricer.recovery01OnSettle(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the recovery01 of the underlying product.
CurrencyAmount	IsdaCdsTradePricer.rpv01OnSettle(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)	Calculates the risky PV01 of the underlying product.

Method parameters in com.opengamma.strata.pricer.credit with type arguments of type ResolvedCdsTrade

Modifier and Type	Method	Description
CurrencyParameterSensitivity	SpreadSensitivityCalculator.bucketedCs01(ResolvedCdsTrade trade, List<ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes bucketed CS01 for CDS.
NodalCurve	FastCreditCurveCalibrator.calibrate(List<ResolvedCdsTrade> calibrationCDSs, DoubleArray flactionalSpreads, DoubleArray pointsUpfront, CurveName name, LocalDate valuationDate, CreditDiscountFactors discountFactors, RecoveryRates recoveryRates, ReferenceData refData)
abstract NodalCurve	IsdaCompliantCreditCurveCalibrator.calibrate(List<ResolvedCdsTrade> calibrationCDSs, DoubleArray flactionalSpreads, DoubleArray pointsUpfront, CurveName name, LocalDate valuationDate, CreditDiscountFactors discountFactors, RecoveryRates recoveryRates, ReferenceData refData)	Calibrate the ISDA compliant credit curve to points upfront and fractional spread.
NodalCurve	SimpleCreditCurveCalibrator.calibrate(List<ResolvedCdsTrade> calibrationCDSs, DoubleArray premiums, DoubleArray pointsUpfront, CurveName name, LocalDate valuationDate, CreditDiscountFactors discountFactors, RecoveryRates recoveryRates, ReferenceData refData)
protected void	SpreadSensitivityCalculator.checkCdsBucket(ResolvedCdsTrade trade, List<ResolvedCdsTrade> bucketCds)
protected DoubleArray	SpreadSensitivityCalculator.impliedSpread(List<ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)
CurrencyAmount	AnalyticSpreadSensitivityCalculator.parallelCs01(ResolvedCdsTrade trade, List<ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)
CurrencyAmount	FiniteDifferenceSpreadSensitivityCalculator.parallelCs01(ResolvedCdsTrade trade, List<ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)
abstract CurrencyAmount	SpreadSensitivityCalculator.parallelCs01(ResolvedCdsTrade trade, List<ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes parallel CS01 for CDS.
List<CdsQuote>	CdsMarketQuoteConverter.quotesFromParSpread(List<ResolvedCdsTrade> trades, List<CdsQuote> quotes, CreditRatesProvider ratesProvider, CdsQuoteConvention targetConvention, ReferenceData refData)	The par spread quotes are converted to points upfronts or quoted spreads.

Uses of ResolvedCdsTrade in com.opengamma.strata.product.credit

Methods in com.opengamma.strata.product.credit that return ResolvedCdsTrade

Modifier and Type	Method	Description
ResolvedCdsTrade	ResolvedCdsTrade.Builder.build()
ResolvedCdsTrade	CdsTrade.resolve(ReferenceData refData)
ResolvedCdsTrade	ResolvedCdsIndexTrade.toSingleNameCds()	Reduce this instance to ResolvedCdsTrade.

Methods in com.opengamma.strata.product.credit that return types with arguments of type ResolvedCdsTrade

Modifier and Type	Method	Description
Class<? extends ResolvedCdsTrade>	ResolvedCdsTrade.Meta.beanType()