Risky annuity for single name CDS and CDS index#2087
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yukiiwashita
commented
Sep 25, 2019
yukiiwashita
commented
- Added public risky annuity method, which was internally calculated.
- This is a prerequisite for default swaptions.
jodastephen
suggested changes
Sep 26, 2019
| LocalDate referenceDate, | ||
| ReferenceData refData) { | ||
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| ArgChecker.isTrue(cds.getProtectionEndDate().isAfter(ratesProvider.getValuationDate()), "CDS already expired"); |
Contributor
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Would it not be better to return an empty sensitivity? In either case, this case should be in the Javadoc.
jodastephen
suggested changes
Sep 26, 2019
| * @return the present value sensitivity | ||
| */ | ||
| public PointSensitivityBuilder presentValueSensitivity( | ||
| public PointSensitivities presentValueSensitivity( |
Contributor
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Sorry for confusion, but this would be an incompatible change, so we can't do it. If all the other methods on the class return a builder already then that is fine and the new method should too.
jodastephen
approved these changes
Sep 30, 2019
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