public virtual void bucketedCs01SingleNodeCurveTest()
{
ImmutableCreditRatesProvider ratesProviderNoCredit = ImmutableCreditRatesProvider.builder().valuationDate(VALUATION_DATE).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, RECOVERY_CURVE)).discountCurves(ImmutableMap.of(USD, YIELD_CURVE)).build();
QuoteId quoteId = QuoteId.of(StandardId.of("OG", END2.ToString()));
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofParSpread(DatesCdsTemplate.of(START, END2, CDS_CONV), quoteId, LEGAL_ENTITY);
ImmutableMarketData marketData = ImmutableMarketData.builder(VALUATION_DATE).addValue(quoteId, DEAL_SPREAD * ONE_BP).build();
IsdaCreditCurveDefinition definition = IsdaCreditCurveDefinition.of(CREDIT_CURVE_NAME, USD, VALUATION_DATE, ACT_365F, ImmutableList.of(node), true, false);
LegalEntitySurvivalProbabilities creditCurve = BUILDER.calibrate(definition, marketData, ratesProviderNoCredit, REF_DATA);
ImmutableCreditRatesProvider ratesProvider = ImmutableCreditRatesProvider.builder().valuationDate(VALUATION_DATE).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, RECOVERY_CURVE)).discountCurves(ImmutableMap.of(USD, YIELD_CURVE)).creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY, USD), creditCurve)).build();
double[] expectedFd = new double[] { -6.876275937539589E-4, 1.1832215762730414E-4, 0.0012340982402658796, 0.002784985575488008, 0.005287295115619095, 2429.636217554099, 3101.303324461041 };
CurrencyParameterSensitivity analytic = CS01_AN.bucketedCs01(CDS2, ImmutableList.copyOf(MARKET_CDS), ratesProvider, REF_DATA);
CurrencyParameterSensitivity fd = CS01_FD.bucketedCs01(CDS2, ImmutableList.copyOf(MARKET_CDS), ratesProvider, REF_DATA);
assertEquals(fd.Currency, USD);
assertEquals(fd.MarketDataName, CurveName.of("impliedSpreads"));
assertEquals(fd.ParameterCount, NUM_MARKET_CDS);
assertEquals(fd.ParameterMetadata, CDS_METADATA);
assertTrue(DoubleArrayMath.fuzzyEquals(fd.Sensitivity.multipliedBy(ONE_BP).toArray(), expectedFd, NOTIONAL * TOL));
assertEquals(analytic.Currency, USD);
assertEquals(analytic.MarketDataName, CurveName.of("impliedSpreads"));
assertEquals(analytic.ParameterCount, NUM_MARKET_CDS);
assertEquals(analytic.ParameterMetadata, CDS_METADATA);
assertTrue(DoubleArrayMath.fuzzyEquals(analytic.Sensitivity.toArray(), fd.Sensitivity.toArray(), NOTIONAL * ONE_BP * 10d));
}
//-------------------------------------------------------------------------
public virtual void test_trade()
{
CdsIndexIsdaCreditCurveNode node = CdsIndexIsdaCreditCurveNode.ofQuotedSpread(TEMPLATE, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES, 0.01);
double rate = 0.0125;
double quantity = -1234.56;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
CdsIndexCalibrationTrade trade = node.trade(quantity, marketData, REF_DATA);
CdsTrade cdsTrade = TEMPLATE.createTrade(INDEX_ID, VAL_DATE, SELL, -quantity, 0.01, REF_DATA);
CdsIndex cdsIndex = CdsIndex.of(SELL, INDEX_ID, LEGAL_ENTITIES, TEMPLATE.Convention.Currency, -quantity, date(2015, 6, 20), date(2025, 6, 20), Frequency.P3M, TEMPLATE.Convention.SettlementDateOffset.Calendar, 0.01);
CdsIndex cdsIndexMod = cdsIndex.toBuilder().paymentSchedule(cdsIndex.PaymentSchedule.toBuilder().rollConvention(RollConventions.DAY_20).startDateBusinessDayAdjustment(cdsIndex.PaymentSchedule.BusinessDayAdjustment).build()).build();
CdsIndexTrade expected = CdsIndexTrade.builder().product(cdsIndexMod).info(cdsTrade.Info).build();
assertEquals(trade.UnderlyingTrade, expected);
assertEquals(trade.Quote, CdsQuote.of(CdsQuoteConvention.QUOTED_SPREAD, rate));
CdsIndexIsdaCreditCurveNode node1 = CdsIndexIsdaCreditCurveNode.ofParSpread(TEMPLATE, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES);
CdsTrade cdsTrade1 = TEMPLATE.createTrade(INDEX_ID, VAL_DATE, SELL, -quantity, rate, REF_DATA);
CdsIndexCalibrationTrade trade1 = node1.trade(quantity, marketData, REF_DATA);
CdsIndex cdsIndex1 = CdsIndex.of(SELL, INDEX_ID, LEGAL_ENTITIES, TEMPLATE.Convention.Currency, -quantity, date(2015, 6, 20), date(2025, 6, 20), Frequency.P3M, TEMPLATE.Convention.SettlementDateOffset.Calendar, rate);
CdsIndex cdsIndexMod1 = cdsIndex1.toBuilder().paymentSchedule(cdsIndex.PaymentSchedule.toBuilder().rollConvention(RollConventions.DAY_20).startDateBusinessDayAdjustment(cdsIndex1.PaymentSchedule.BusinessDayAdjustment).build()).build();
CdsIndexTrade expected1 = CdsIndexTrade.builder().product(cdsIndexMod1).info(cdsTrade1.Info).build();
assertEquals(trade1.UnderlyingTrade, expected1);
assertEquals(trade1.Quote, CdsQuote.of(CdsQuoteConvention.PAR_SPREAD, rate));
}
public virtual void test_ofMatrix_source()
{
FxRateLookup test = FxRateLookup.ofMatrix(FxMatrixId.of(OBS_SOURCE));
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(FxMatrixId.of(OBS_SOURCE), FxMatrix.of(GBP, USD, 1.5d)).build();
assertEquals(test.fxRateProvider(marketData).fxRate(GBP, USD), 1.5d);
}
public virtual void test_ofRates_currency_source()
{
FxRateLookup test = FxRateLookup.ofRates(EUR, OBS_SOURCE);
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(FxRateId.of(GBP, USD, OBS_SOURCE), FxRate.of(GBP, USD, 1.5d)).build();
assertEquals(test.fxRateProvider(marketData).fxRate(GBP, USD), 1.5d);
}
static CreditDataSet()
{
ImmutableList.Builder <StandardId> builder = ImmutableList.builder();
for (int i = 0; i < 97; ++i)
{
builder.add(StandardId.of("OG", i.ToString()));
}
LEGAL_ENTITIES = builder.build();
double flatRate = 0.05;
double t = 20.0;
IsdaCreditDiscountFactors yieldCurve = IsdaCreditDiscountFactors.of(USD, VALUATION_DATE, CurveName.of("discount"), DoubleArray.of(t), DoubleArray.of(flatRate), ACT_365F);
DISCOUNT_CURVE = yieldCurve.Curve;
RecoveryRates recoveryRate = ConstantRecoveryRates.of(LEGAL_ENTITY, VALUATION_DATE, RECOVERY_RATE);
// create the curve nodes and input market quotes
ImmutableMarketDataBuilder marketQuoteBuilder = ImmutableMarketData.builder(VALUATION_DATE);
ImmutableList.Builder <CdsIsdaCreditCurveNode> nodesBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsMetadataBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsIndexMetadataBuilder = ImmutableList.builder();
for (int i = 0; i < NUM_MARKET_CDS; i++)
{
QuoteId quoteId = QuoteId.of(StandardId.of("OG", PAR_SPD_DATES[i].ToString()));
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofParSpread(DatesCdsTemplate.of(VALUATION_DATE, PAR_SPD_DATES[i], CDS_CONV), quoteId, LEGAL_ENTITY);
MARKET_CDS[i] = CdsTrade.builder().product(Cds.of(BUY, LEGAL_ENTITY, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
MARKET_CDS_INDEX[i] = CdsIndexTrade.builder().product(CdsIndex.of(BuySell.BUY, INDEX_ID, LEGAL_ENTITIES, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
marketQuoteBuilder.addValue(quoteId, PAR_SPREADS[i] * ONE_BP);
nodesBuilder.add(node);
cdsMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS[i], MARKET_CDS[i].Product.ProtectionEndDate.ToString()));
cdsIndexMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS_INDEX[i], MARKET_CDS_INDEX[i].Product.ProtectionEndDate.ToString()));
}
ImmutableMarketData marketQuotes = marketQuoteBuilder.build();
ImmutableList <CdsIsdaCreditCurveNode> nodes = nodesBuilder.build();
CDS_METADATA = cdsMetadataBuilder.build();
CDS_INDEX_METADATA = cdsIndexMetadataBuilder.build();
ImmutableCreditRatesProvider rates = ImmutableCreditRatesProvider.builder().valuationDate(VALUATION_DATE).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, recoveryRate)).discountCurves(ImmutableMap.of(USD, yieldCurve)).build();
IsdaCreditCurveDefinition definition = IsdaCreditCurveDefinition.of(CREDIT_CURVE_NAME, USD, VALUATION_DATE, ACT_365F, nodes, true, true);
// calibrate
LegalEntitySurvivalProbabilities calibrated = BUILDER.calibrate(definition, marketQuotes, rates, REF_DATA);
NodalCurve underlyingCurve = ((IsdaCreditDiscountFactors)calibrated.SurvivalProbabilities).Curve;
CDS_CREDIT_CURVE = underlyingCurve;
INDEX_CREDIT_CURVE = underlyingCurve.withMetadata(underlyingCurve.Metadata.withInfo(CurveInfoType.CDS_INDEX_FACTOR, INDEX_FACTOR).withParameterMetadata(CDS_INDEX_METADATA)); // replace parameter metadata
CDS_RECOVERY_RATE = ConstantCurve.of(Curves.recoveryRates("CDS recovery rate", ACT_365F), RECOVERY_RATE);
INDEX_RECOVERY_RATE = ConstantCurve.of(Curves.recoveryRates("Index recovery rate", ACT_365F), RECOVERY_RATE);
}
//-------------------------------------------------------------------------
public virtual void test_trade()
{
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofQuotedSpread(TEMPLATE, QUOTE_ID, LEGAL_ENTITY, 0.01);
double rate = 0.0125;
double quantity = -1234.56;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
CdsCalibrationTrade trade = node.trade(quantity, marketData, REF_DATA);
CdsTrade expected = TEMPLATE.createTrade(LEGAL_ENTITY, VAL_DATE, SELL, -quantity, 0.01, REF_DATA);
assertEquals(trade.UnderlyingTrade, expected);
assertEquals(trade.Quote, CdsQuote.of(CdsQuoteConvention.QUOTED_SPREAD, rate));
CdsIsdaCreditCurveNode node1 = CdsIsdaCreditCurveNode.ofParSpread(TEMPLATE, QUOTE_ID, LEGAL_ENTITY);
CdsTrade expected1 = TEMPLATE.createTrade(LEGAL_ENTITY, VAL_DATE, SELL, -quantity, rate, REF_DATA);
CdsCalibrationTrade trade1 = node1.trade(quantity, marketData, REF_DATA);
assertEquals(trade1.UnderlyingTrade, expected1);
assertEquals(trade1.Quote, CdsQuote.of(CdsQuoteConvention.PAR_SPREAD, rate));
}
static SpreadSensitivityCalculatorTest()
{
double flatRate = 0.05;
double t = 20.0;
YIELD_CURVE = IsdaCreditDiscountFactors.of(USD, VALUATION_DATE, CurveName.of("discount"), DoubleArray.of(t), DoubleArray.of(flatRate), ACT_365F);
ImmutableMarketDataBuilder dataBuilder = ImmutableMarketData.builder(VALUATION_DATE);
ImmutableList.Builder <CdsIsdaCreditCurveNode> nodesBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsMetadataBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsIndexMetadataBuilder = ImmutableList.builder();
for (int i = 0; i < NUM_MARKET_CDS; i++)
{
QuoteId quoteId = QuoteId.of(StandardId.of("OG", PAR_SPD_DATES[i].ToString()));
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofParSpread(DatesCdsTemplate.of(VALUATION_DATE, PAR_SPD_DATES[i], CDS_CONV), quoteId, LEGAL_ENTITY);
MARKET_CDS[i] = CdsTrade.builder().product(Cds.of(BUY, LEGAL_ENTITY, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
MARKET_CDS_INDEX[i] = CdsIndexTrade.builder().product(CdsIndex.of(BuySell.BUY, INDEX_ID, LEGAL_ENTITIES, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
dataBuilder.addValue(quoteId, PAR_SPREADS[i] * ONE_BP);
nodesBuilder.add(node);
cdsMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS[i], MARKET_CDS[i].Product.ProtectionEndDate.ToString()));
cdsIndexMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS_INDEX[i], MARKET_CDS_INDEX[i].Product.ProtectionEndDate.ToString()));
}
ImmutableMarketData marketData = dataBuilder.build();
ImmutableList <CdsIsdaCreditCurveNode> nodes = nodesBuilder.build();
CDS_METADATA = cdsMetadataBuilder.build();
CDS_INDEX_METADATA = cdsIndexMetadataBuilder.build();
ImmutableCreditRatesProvider rates = ImmutableCreditRatesProvider.builder().valuationDate(VALUATION_DATE).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, RECOVERY_CURVE)).discountCurves(ImmutableMap.of(USD, YIELD_CURVE)).build();
IsdaCreditCurveDefinition definition = IsdaCreditCurveDefinition.of(CREDIT_CURVE_NAME, USD, VALUATION_DATE, ACT_365F, nodes, true, true);
CREDIT_CURVE = BUILDER.calibrate(definition, marketData, rates, REF_DATA);
NodalCurve underlyingCurve = ((IsdaCreditDiscountFactors)CREDIT_CURVE.SurvivalProbabilities).Curve;
NodalCurve curveWithFactor = underlyingCurve.withMetadata(underlyingCurve.Metadata.withInfo(CurveInfoType.CDS_INDEX_FACTOR, INDEX_FACTOR).withParameterMetadata(CDS_INDEX_METADATA)); // replace parameter metadata
CREDIT_CURVE_INDEX = LegalEntitySurvivalProbabilities.of(INDEX_ID, IsdaCreditDiscountFactors.of(USD, VALUATION_DATE, curveWithFactor));
}
public virtual void test_bondDiscountingProvider()
{
ImmutableMap <SecurityId, RepoGroup> repoSecurityGroups = ImmutableMap.of(SEC_A1, GROUP_REPO_X);
ImmutableMap <LegalEntityId, RepoGroup> repoGroups = ImmutableMap.of(ISSUER_B, GROUP_REPO_X);
ImmutableMap <Pair <RepoGroup, Currency>, CurveId> repoCurves = ImmutableMap.of(Pair.of(GROUP_REPO_X, USD), CURVE_ID_USD1);
ImmutableMap <LegalEntityId, LegalEntityGroup> issuerGroups = ImmutableMap.of(ISSUER_A, GROUP_ISSUER_M);
ImmutableMap <Pair <LegalEntityGroup, Currency>, CurveId> issuerCurves = ImmutableMap.of(Pair.of(GROUP_ISSUER_M, USD), CURVE_ID_USD3);
LegalEntityDiscountingMarketDataLookup test = LegalEntityDiscountingMarketDataLookup.of(repoSecurityGroups, repoGroups, repoCurves, issuerGroups, issuerCurves);
LocalDate valDate = date(2015, 6, 30);
Curve repoCurve = ConstantCurve.of(Curves.discountFactors(CURVE_ID_USD1.CurveName, ACT_360), 1d);
Curve issuerCurve = ConstantCurve.of(Curves.discountFactors(CURVE_ID_USD3.CurveName, ACT_360), 2d);
MarketData md = ImmutableMarketData.of(valDate, ImmutableMap.of(CURVE_ID_USD1, repoCurve, CURVE_ID_USD3, issuerCurve));
LegalEntityDiscountingProvider provider = test.discountingProvider(md);
assertEquals(provider.ValuationDate, valDate);
assertEquals(provider.findData(CURVE_ID_USD1.CurveName), repoCurve);
assertEquals(provider.findData(CURVE_ID_USD3.CurveName), issuerCurve);
assertEquals(provider.findData(CurveName.of("Rubbish")), null);
// check repo
RepoCurveDiscountFactors rcdf = provider.repoCurveDiscountFactors(SEC_A1, ISSUER_A, USD);
SimpleDiscountFactors rdf = (SimpleDiscountFactors)rcdf.DiscountFactors;
assertEquals(rdf.Curve.Name, repoCurve.Name);
assertEquals(rcdf, provider.repoCurveDiscountFactors(SEC_B1, ISSUER_B, USD));
assertThrowsIllegalArg(() => provider.repoCurveDiscountFactors(SEC_A1, ISSUER_A, GBP));
assertThrowsIllegalArg(() => provider.repoCurveDiscountFactors(SEC_C1, ISSUER_C, USD));
// check issuer
IssuerCurveDiscountFactors icdf = provider.issuerCurveDiscountFactors(ISSUER_A, USD);
SimpleDiscountFactors idf = (SimpleDiscountFactors)icdf.DiscountFactors;
assertEquals(idf.Curve.Name, issuerCurve.Name);
assertThrowsIllegalArg(() => provider.issuerCurveDiscountFactors(ISSUER_A, GBP));
assertThrowsIllegalArg(() => provider.issuerCurveDiscountFactors(ISSUER_C, USD));
}
