public PremiumLegElement(double protectionStart, CdsCoupon coupon, YieldTermStructure yieldCurve, int creditCurveKnot, double[] knots, AccrualOnDefaultFormulae formula) : base(coupon, yieldCurve, creditCurveKnot)
{
_coupon = coupon;
_creditCurveKnot = creditCurveKnot;
_formula = formula;
if (formula == AccrualOnDefaultFormulae.ORIGINAL_ISDA)
{
_omega = 1.0 / 730;
}
else
{
_omega = 0.0;
}
_knots = DoublesScheduleGenerator.truncateSetInclusive(Math.Max(_coupon.getEffStart(), protectionStart), _coupon.getEffEnd(), knots);
_n = _knots.Length;
_rt = new double[_n];
_p = new double[_n];
for (int i = 0; i < _n; i++)
{
_rt[i] = yieldCurve.getRT_(_knots[i]);
_p[i] = Math.Exp(-_rt[i]);
}
}
/**
* Construct a credit curve builder that uses the specified accrual-on-default formula
* @param formula The accrual on default formulae. <b>Note</b> The MarkitFix is erroneous
*/
public FastCreditCurveBuilder(AccrualOnDefaultFormulae formula)
{
if (formula == AccrualOnDefaultFormulae.ORIGINAL_ISDA)
{
_omega = HALFDAY;
}
else
{
_omega = 0.0;
}
}
public AnalyticalCdsPricer(AccrualOnDefaultFormulae formula)
{
_formula = formula;
if (_formula == AccrualOnDefaultFormulae.ORIGINAL_ISDA)
{
_omega = HALFDAY;
}
else
{
_omega = 0.0;
}
}
/**
* Constructor specifying formula used in pricer and credit curve builder.
*
* @param formula The formula
*/
public HedgeRatioCalculator(AccrualOnDefaultFormulae formula)
{
_pricer = new AnalyticalCdsPricer(formula);
_builder = new FastCreditCurveBuilder(formula);
}
public CreditCurveCalibrator(MultiCdsAnalytic multiCDS, YieldTermStructure yieldCurve, AccrualOnDefaultFormulae formula)
{
_nCDS = multiCDS.getNumMaturities();
_t = new double[_nCDS];
_lgd = new double[_nCDS];
_unitAccured = new double[_nCDS];
for (int i = 0; i < _nCDS; i++)
{
_t[i] = multiCDS.getProtectionEnd(i);
_lgd[i] = multiCDS.getLGD();
_unitAccured[i] = multiCDS.getAccruedPremiumPerUnitSpread(i);
}
_valuationDF = Math.Exp(-yieldCurve.getRT_(multiCDS.getCashSettleTime()));
//This is the global set of knots - it will be truncated down for the various leg elements
//TODO this will not match ISDA C for forward starting (i.e. accStart > tradeDate) CDS, and will give different answers
//if the Markit 'fix' is used in that case
double[] knots = DoublesScheduleGenerator.getIntegrationsPoints(
multiCDS.getEffectiveProtectionStart(), _t[_nCDS - 1], yieldCurve.t.ToArray(), _t.ToArray());
//The protection leg
_protElems = new ProtectionLegElement[_nCDS];
for (int i = 0; i < _nCDS; i++)
{
_protElems[i] = new ProtectionLegElement(
i == 0 ? multiCDS.getEffectiveProtectionStart() : _t[i - 1], _t[i], yieldCurve, i, knots);
}
_cds2CouponsMap = new int[_nCDS][];
_cdsCouponsUpdateMap = new int[_nCDS][];
_knot2CouponsMap = new int[_nCDS][];
List <CdsCoupon> allCoupons = new List <CdsCoupon>(_nCDS + multiCDS.getTotalPayments() - 1);
allCoupons.AddRange(multiCDS.getStandardCoupons().ToList());
allCoupons.Add(multiCDS.getTerminalCoupon(_nCDS - 1));
int[] temp = new int[multiCDS.getTotalPayments()];
for (int i = 0; i < multiCDS.getTotalPayments(); i++)
{
temp[i] = i;
}
_cds2CouponsMap[_nCDS - 1] = temp;
//complete the list of unique coupons and fill out the cds2CouponsMap
for (int i = 0; i < _nCDS - 1; i++)
{
CdsCoupon c = multiCDS.getTerminalCoupon(i);
int nPayments = Math.Max(0, multiCDS.getPaymentIndexForMaturity(i)) + 1;
_cds2CouponsMap[i] = new int[nPayments];
for (int jj = 0; jj < nPayments - 1; jj++)
{
_cds2CouponsMap[i][jj] = jj;
}
//because of business-day adjustment, a terminal coupon can be identical to a standard coupon,
//in which case it is not added again
int index = allCoupons.IndexOf(c);
if (index == -1)
{
index = allCoupons.Count;
allCoupons.Add(c);
}
_cds2CouponsMap[i][nPayments - 1] = index;
}
//loop over the coupons to populate the couponUpdateMap
_nCoupons = allCoupons.Count;
int[] sizes = new int[_nCDS];
int[] map = new int[_nCoupons];
for (int i = 0; i < _nCoupons; i++)
{
CdsCoupon c = allCoupons[i];
int index = Array.BinarySearch(_t, c.getEffEnd());
if (index < 0)
{
index = -(index + 1);
}
sizes[index]++;
map[i] = index;
}
//make the protection leg elements
if (multiCDS.isPayAccOnDefault())
{
_premElems = new PremiumLegElement[_nCoupons];
for (int i = 0; i < _nCoupons; i++)
{
_premElems[i] = new PremiumLegElement(multiCDS.getEffectiveProtectionStart(), allCoupons[i], yieldCurve, map[i],
knots, formula);
}
}
else
{
_premElems = new CouponOnlyElement[_nCoupons];
for (int i = 0; i < _nCoupons; i++)
{
_premElems[i] = new CouponOnlyElement(allCoupons[i], yieldCurve, map[i]);
}
}
//sort a map from coupon to curve node, to a map from curve node to coupons
for (int i = 0; i < _nCDS; i++)
{
_knot2CouponsMap[i] = new int[sizes[i]];
}
int[] indexes = new int[_nCDS];
for (int i = 0; i < _nCoupons; i++)
{
int index = map[i];
_knot2CouponsMap[index][indexes[index]++] = i;
}
//the cdsCouponsUpdateMap is the intersection of the cds2CouponsMap and knot2CouponsMap
for (int i = 0; i < _nCDS; i++)
{
_cdsCouponsUpdateMap[i] = intersection(_knot2CouponsMap[i], _cds2CouponsMap[i]);
}
}
public CreditCurveCalibrator(CDS[] cds, YieldTermStructure yieldCurve, AccrualOnDefaultFormulae formula)
{
_nCDS = cds.Length;
Boolean payAccOnDefault = cds[0].isPayAccOnDefault();
double accStart = cds[0].getAccStart();
double effectProtStart = cds[0].getEffectiveProtectionStart();
double cashSettleTime = cds[0].getCashSettleTime();
_t = new double[_nCDS];
_t[0] = cds[0].getProtectionEnd();
//Check all the CDSs match
for (int i = 1; i < _nCDS; i++)
{
_t[i] = cds[i].getProtectionEnd();
}
_valuationDF = Math.Exp(-yieldCurve.getRT_(cashSettleTime));
_lgd = new double[_nCDS];
_unitAccured = new double[_nCDS];
for (int i = 0; i < _nCDS; i++)
{
_lgd[i] = cds[i].getLGD();
_unitAccured[i] = cds[i].getAccruedYearFraction();
}
//This is the global set of knots - it will be truncated down for the various leg elements
//TODO this will not match ISDA C for forward starting (i.e. accStart > tradeDate) CDS, and will give different answers
//if the Markit 'fix' is used in that case
double[] knots = DoublesScheduleGenerator.
getIntegrationsPoints(effectProtStart, _t[_nCDS - 1], yieldCurve.t.ToArray(), _t);
//The protection leg
_protElems = new ProtectionLegElement[_nCDS];
for (int i = 0; i < _nCDS; i++)
{
_protElems[i] = new ProtectionLegElement(i == 0 ? effectProtStart : _t[i - 1], _t[i], yieldCurve, i, knots);
}
_cds2CouponsMap = new int[_nCDS][];
_cdsCouponsUpdateMap = new int[_nCDS][];
_knot2CouponsMap = new int[_nCDS][];
int nPaymentsFinalCDS = cds[_nCDS - 1].getNumPayments();
List <CdsCoupon> allCoupons = new List <CdsCoupon>(_nCDS + nPaymentsFinalCDS - 1);
allCoupons.AddRange(cds[_nCDS - 1].getCoupons());
int[] temp = new int[nPaymentsFinalCDS];
for (int i = 0; i < nPaymentsFinalCDS; i++)
{
temp[i] = i;
}
_cds2CouponsMap[_nCDS - 1] = temp;
//complete the list of unique coupons and fill out the cds2CouponsMap
for (int i = 0; i < _nCDS - 1; i++)
{
CdsCoupon[] c = cds[i].getCoupons();
int nPayments = c.Length;
_cds2CouponsMap[i] = new int[nPayments];
for (int k = 0; k < nPayments; k++)
{
int index = -1;
for (int j = 0; j < allCoupons.Count; j++)
{
if (allCoupons[j].Equals(c[k]))
{
index = j;
break;
}
}
if (index == -1)
{
index = allCoupons.Count;
allCoupons.Add(c[k]);
}
_cds2CouponsMap[i][k] = index;
}
}
//loop over the coupons to populate the couponUpdateMap
_nCoupons = allCoupons.Count;
int[] sizes = new int[_nCDS];
int[] map = new int[_nCoupons];
for (int i = 0; i < _nCoupons; i++)
{
CdsCoupon c = allCoupons[i];
int index = Array.BinarySearch(_t, c.getEffEnd());
if (index < 0)
{
index = -(index + 1);
}
sizes[index]++;
map[i] = index;
}
//make the protection leg elements
if (payAccOnDefault)
{
_premElems = new PremiumLegElement[_nCoupons];
for (int i = 0; i < _nCoupons; i++)
{
_premElems[i] = new PremiumLegElement(effectProtStart, allCoupons[i], yieldCurve, map[i], knots, formula);
}
}
else
{
_premElems = new CouponOnlyElement[_nCoupons];
for (int i = 0; i < _nCoupons; i++)
{
_premElems[i] = new CouponOnlyElement(allCoupons[i], yieldCurve, map[i]);
}
}
//sort a map from coupon to curve node, to a map from curve node to coupons
for (int i = 0; i < _nCDS; i++)
{
_knot2CouponsMap[i] = new int[sizes[i]];
}
int[] indexes = new int[_nCDS];
for (int i = 0; i < _nCoupons; i++)
{
int index = map[i];
_knot2CouponsMap[index][indexes[index]++] = i;
}
//the cdsCouponsUpdateMap is the intersection of the cds2CouponsMap and knot2CouponsMap
for (int i = 0; i < _nCDS; i++)
{
_cdsCouponsUpdateMap[i] = intersection(_knot2CouponsMap[i], _cds2CouponsMap[i]);
}
}
public AnalyticSpreadSensitivityCalculator(AccrualOnDefaultFormulae formula)
{
_curveBuilder = new FastCreditCurveBuilder(formula);
_pricer = new AnalyticalCdsPricer(formula);
}
protected IsdaCompliantCreditCurveBuilder(AccrualOnDefaultFormulae formula, ArbitrageHandling arbHandling)
{
_arbHandling = arbHandling;
_formula = formula;
}
protected IsdaCompliantCreditCurveBuilder(AccrualOnDefaultFormulae formula)
{
_arbHandling = DEFAULT_ARBITRAGE_HANDLING;
_formula = formula;
}
protected IsdaCompliantCreditCurveBuilder()
{
_arbHandling = DEFAULT_ARBITRAGE_HANDLING;
_formula = DEFAULT_FORMULA;
}
public CdsRiskFactors(AccrualOnDefaultFormulae formula)
{
_pricer = new AnalyticalCdsPricer(formula);
}