Tom Wilberding

Found bug in com.opengamma.margining.core.data.fixing.MarginFixingSeriesUtils when using union(). // getting java.lang.ArrayIndexOutOfBoundsException: 31 when creating the combined dense series using this operator // return rawFixings.union(extrapolatedTimeSeries, (v1, v2) -> v1 + v2); This...

Currently interest rate curves and credit curves are represented with: `com.opengamma.strata.market.curve.IsdaYieldCurveParRates` and `com.opengamma.strata.market.curve.IsdaCreditCurveParRates` We should move to using: `com.opengamma.strata.market.curve.ParRates` and `com.opengamma.strata.market.curve.NodalCurve` This involves pulling the curve calibration out of the...

Currently CDS in Strata works as follows.... You specify notional (always positive) and a Buy/Sell flag for whether we are buying or selling protection. If we are buying protection: -...

CDS - Add additional pricing measures

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PAR_RATE IR01_PARALLEL_ZERO IR01_BUCKETED_ZERO CS01_PARALLEL_HAZARD CS01_BUCKETED_HAZARD JUMP_TO_DEFAULT RECOVERY01