// obtains the data and calculates the grid of results
private static void calculate(CalculationRunner runner) {
// the trades that will have measures calculated
List<Trade> trades = createCdsTrades();
// the columns, specifying the measures to be calculated
List<Column> columns =
ImmutableList.of(
Column.of(Measure.PRESENT_VALUE),
Column.of(Measure.PAR_RATE),
Column.of(Measure.RECOVERY01),
Column.of(Measure.JUMP_TO_DEFAULT),
Column.of(Measure.IR01_PARALLEL_PAR),
Column.of(Measure.IR01_PARALLEL_ZERO),
Column.of(Measure.CS01_PARALLEL_PAR),
Column.of(Measure.CS01_PARALLEL_HAZARD),
Column.of(Measure.IR01_BUCKETED_PAR),
Column.of(Measure.IR01_BUCKETED_ZERO),
Column.of(Measure.CS01_BUCKETED_PAR),
Column.of(Measure.CS01_BUCKETED_HAZARD));
// use the built-in example market data
ExampleMarketDataBuilder marketDataBuilder = ExampleMarketData.builder();
// the complete set of rules for calculating measures
CalculationRules rules =
CalculationRules.builder()
.pricingRules(StandardComponents.pricingRules())
.marketDataRules(marketDataBuilder.rules())
.build();
// build a market data snapshot for the valuation date
LocalDate valuationDate = LocalDate.of(2014, 10, 16);
MarketEnvironment marketSnapshot = marketDataBuilder.buildSnapshot(valuationDate);
// calculate the results
Results results = runner.calculateSingleScenario(rules, trades, columns, marketSnapshot);
// use the report runner to transform the engine results into a trade report
ReportCalculationResults calculationResults =
ReportCalculationResults.of(valuationDate, trades, columns, results);
TradeReportTemplate reportTemplate = ExampleData.loadTradeReportTemplate("cds-report-template");
TradeReport tradeReport = TradeReport.of(calculationResults, reportTemplate);
tradeReport.writeAsciiTable(System.out);
}
