public double getParallelCS01(
CDSQuoteConvention quote,
CDSAnalytic analytic,
ISDACompliantYieldCurve yieldCurve,
double notional,
CDSAnalytic[] pillars,
double[] pillarSpreads) {
double cs01;
if (quote instanceof ParSpread) {
cs01 =
CALCULATOR.parallelCS01FromParSpreads(
analytic,
quote.getCoupon(), // ParSpread
yieldCurve,
pillars,
pillarSpreads,
ONE_BPS,
BumpType.ADDITIVE);
} else {
cs01 = CALCULATOR.parallelCS01(analytic, quote, yieldCurve, ONE_BPS);
}
return Double.valueOf(cs01 * notional * ONE_BPS);
}
