public void TestQuantoCDS()
{
var spot = 1.00;
var relJumpSizeInDefault = -0.2;
var cdsSpread = 0.025;
// Trades
var anchorDate = new Date(2016, 11, 25);
var refEntity = new ReferenceEntity("ABC");
Date[] paymentDates;
double[] accrualFractions;
DateGenerators.CreateDatesNoHolidays(Tenor.Months(3), anchorDate, 20, out paymentDates,
out accrualFractions);
var zarNotionals = Vector.Ones(paymentDates.Length).Multiply(1000000.0);
var usdNotionals = zarNotionals.Divide(spot);
var zarSpreads = Vector.Ones(paymentDates.Length).Multiply(cdsSpread);
var usdSpreads = zarSpreads.Multiply(1 + relJumpSizeInDefault); // Adjusted for the FX jump size.
var boughtProtection = true;
var cdsZAR = new CDS(refEntity, Currency.ZAR, paymentDates, zarNotionals, zarSpreads, accrualFractions,
boughtProtection);
var cdsUSD = new CDS(refEntity, Currency.USD, paymentDates, zarNotionals, usdSpreads, accrualFractions,
boughtProtection);
// Model
var curveDates = new[] { anchorDate, anchorDate.AddTenor(Tenor.Years(10)) };
var expectedRecovery = 0.4;
var hazardRates = new[] { cdsSpread / (1 - expectedRecovery), cdsSpread / (1 - expectedRecovery) };
var usdRates = new[] { 0.01, 0.02 };
var zarRates = new[] { 0.07, 0.08 };
IDiscountingSource usdDiscountCurve = new DatesAndRates(Currency.USD, anchorDate, curveDates, usdRates);
IDiscountingSource zarDiscountCurve = new DatesAndRates(Currency.ZAR, anchorDate, curveDates, zarRates);
ISurvivalProbabilitySource abcHazardCurve = new HazardCurve(refEntity, anchorDate, curveDates, hazardRates);
var otherCurrency = Currency.USD;
var fxSource = new FXForecastCurve(otherCurrency, Currency.ZAR, spot, usdDiscountCurve, zarDiscountCurve);
var fxVol = 0.15;
NumeraireSimulator model = new DeterministicCreditWithFXJump(abcHazardCurve, otherCurrency, fxSource,
zarDiscountCurve, fxVol, relJumpSizeInDefault, expectedRecovery);
// Valuation
var N = 5000;
var coord = new Coordinator(model, new List <Simulator>(), N);
var zarValue = coord.Value(new Product[] { cdsZAR }, anchorDate);
var usdValue = coord.Value(new Product[] { cdsUSD }, anchorDate);
Assert.AreEqual(0.0, zarValue, 800.0); // about 2bp
Assert.AreEqual(0.0, usdValue, 800.0); // about 2bp
}
public void TestQuantoCDS()
{
var spot = 1.00;
var relJumpSizeInDefault = -0.2;
var cdsSpread = 0.025;
// Trades
var anchorDate = new Date(2016, 11, 25);
var refEntity = TestHelpers.TestCp;
DateGenerators.CreateDatesNoHolidays(Tenor.FromMonths(3), anchorDate, 20, out var paymentDates,
out var accrualFractions);
var zarNotionals = Vector.Ones(paymentDates.Length).Multiply(1000000.0);
var zarSpreads = Vector.Ones(paymentDates.Length).Multiply(cdsSpread);
var usdSpreads = zarSpreads.Multiply(1 + relJumpSizeInDefault); // Adjusted for the FX jump size.
var boughtProtection = true;
var cdsZAR = new CDS(refEntity, TestHelpers.ZAR, paymentDates, zarNotionals, zarSpreads, accrualFractions,
boughtProtection);
var cdsUSD = new CDS(refEntity, TestHelpers.USD, paymentDates, zarNotionals, usdSpreads, accrualFractions,
boughtProtection);
// Model
var curveDates = new[] { anchorDate, anchorDate.AddTenor(Tenor.FromYears(10)) };
var expectedRecovery = 0.4;
var hazardRates = new[] { cdsSpread / (1 - expectedRecovery), cdsSpread / (1 - expectedRecovery) };
var usdRates = new[] { 0.01, 0.02 };
var zarRates = new[] { 0.07, 0.08 };
var usdDiscountCurve = new DatesAndRates(TestHelpers.USD, anchorDate, curveDates, usdRates);
var zarDiscountCurve = new DatesAndRates(TestHelpers.ZAR, anchorDate, curveDates, zarRates);
var abcHazardCurve = new HazardCurve(refEntity, anchorDate, curveDates, hazardRates);
var fxSource = new FXForecastCurve(TestHelpers.USDZAR, spot, usdDiscountCurve, zarDiscountCurve);
var fxVol = 0.15;
var model = new DeterministicCreditWithFXJump(abcHazardCurve, TestHelpers.USDZAR, fxSource,
zarDiscountCurve, fxVol, relJumpSizeInDefault, expectedRecovery);
// Valuation
var N = 5000;
var coord = new Coordinator(model, new List <Simulator>(), N);
var zarValue = coord.Value(new[] { cdsZAR }, anchorDate);
var usdValue = coord.Value(new[] { cdsUSD }, anchorDate);
Assert.AreEqual(0.0, zarValue, 800.0); // about 2bp
Assert.AreEqual(0.0, usdValue, 800.0); // about 2bp
}
public static object _CreateHazardCurve(string objectName,
object[,] referenceEntity,
object[,] anchorDate,
object[,] dates,
object[,] hazardRates)
{
try
{
ReferenceEntity _referenceEntity = XU.GetReferenceEntity0D(referenceEntity, "referenceEntity");
Date _anchorDate = XU.GetDate0D(anchorDate, "anchorDate");
Date[] _dates = XU.GetDate1D(dates, "dates");
Double[] _hazardRates = XU.GetDouble1D(hazardRates, "hazardRates");
HazardCurve _result = XLCredit.CreateHazardCurve(_referenceEntity, _anchorDate, _dates, _hazardRates);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
