Add CDS pricing, functions and examples #346
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Pickup changes to enable CDS index trades Change MultiCurrencyAmount to CurrencyAmount Better docs and formatting
Rename to IsdaCdsPricer Also rename helper class
jodastephen
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Jun 24, 2015
Add CDS pricing, functions and examples Connected to #173
This was referenced Jun 24, 2015
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Credit derivatives
This is a breakout from #334. It includes market data objects, pricers and functions, plus recent changes for CDS index. The code was primarily written by @jacbop.
Structure
Function
The
com.opengamma.strata.function.calculation.credit.AbstractCdsFunctionclass contains a pair of switch statements that contain the only differing behavior between single name and index. Once we retrieve the appropriate market data key from the trade we resolve to theIsdaYieldCurveParRatesandIsdaCreditCurveParRatesobject needed to generate calibrated curves for the existing analytics. In the future this should be modified to use market data functions to properly calibrate the curves in the market data functions.Market
Ids, Keys and ParRate curve objects for both ISDA Yield curves and ISDA Credit Spread curves. Support for single name and index according to the CDS Standard model.
Pricer
The
com.opengamma.strata.pricer.credit.IsdaCdsHelperclass wraps all interaction with the underlying analytics layerThe
com.opengamma.strata.pricer.credit.IsdaCdsPricerclass provides a PV function as well as functions for calculating parallel and bucketed IR01 and CS01 on par rates. Support for shifting on zero rates will be added in the future when the market data functions are added.