public virtual void parSpreadQuoteTest()
{
int nPillars = MATURITIES.Length;
IList <Cds> products = new List <Cds>(nPillars);
IList <CdsQuote> quotes = new List <CdsQuote>(nPillars);
double[] parSpreads = new double[] { 0.00769041167742121, 0.010780108645654813, 0.014587245777777417, 0.017417253343028126, 0.01933997409465104, 0.022289540511698912, 0.025190509434219924 };
for (int i = 0; i < nPillars; ++i)
{
products.Add(Cds.of(BUY, LEGAL_ENTITY, GBP, 1.0e6, START_DATE, MATURITIES[i], Frequency.P3M, DEFAULT_CALENDAR, parSpreads[i]));
quotes.Add(CdsQuote.of(CdsQuoteConvention.PAR_SPREAD, parSpreads[i]));
}
TradeInfo info = TradeInfo.builder().tradeDate(TODAY).settlementDate(products[0].SettlementDateOffset.adjust(TODAY, REF_DATA)).build();
IList <ResolvedCdsTrade> trades = products.Select(p => CdsTrade.builder().product(p).info(info).build().resolve(REF_DATA)).ToList();
IList <CdsQuote> pufsComp = CONV.quotesFromParSpread(trades, quotes, RATES_PROVIDER, CdsQuoteConvention.POINTS_UPFRONT, REF_DATA);
IList <CdsQuote> pufsMfComp = CONV_MARKIT_FIX.quotesFromParSpread(trades, quotes, RATES_PROVIDER, CdsQuoteConvention.POINTS_UPFRONT, REF_DATA);
IList <CdsQuote> qssComp = CONV.quotesFromParSpread(trades, quotes, RATES_PROVIDER, CdsQuoteConvention.QUOTED_SPREAD, REF_DATA);
IList <CdsQuote> qssMfComp = CONV_MARKIT_FIX.quotesFromParSpread(trades, quotes, RATES_PROVIDER, CdsQuoteConvention.QUOTED_SPREAD, REF_DATA);
for (int i = 0; i < nPillars; ++i)
{
assertEquals(pufsComp[i].QuotedValue, 0d, TOL);
assertTrue(pufsComp[i].QuoteConvention.Equals(CdsQuoteConvention.POINTS_UPFRONT));
assertEquals(pufsMfComp[i].QuotedValue, 0d, TOL);
assertTrue(pufsMfComp[i].QuoteConvention.Equals(CdsQuoteConvention.POINTS_UPFRONT));
}
for (int i = 0; i < nPillars; ++i)
{
CdsQuote qsRe = CONV.quotedSpreadFromPointsUpfront(trades[i], pufsComp[i], RATES_PROVIDER, REF_DATA);
CdsQuote qsMfRe = CONV_MARKIT_FIX.quotedSpreadFromPointsUpfront(trades[i], pufsMfComp[i], RATES_PROVIDER, REF_DATA);
assertEquals(qsRe.QuotedValue, qssComp[i].QuotedValue, TOL);
assertEquals(qsMfRe.QuotedValue, qssMfComp[i].QuotedValue, TOL);
}
}
public virtual void test_createTrade_withFee()
{
TenorCdsTemplate base1 = TenorCdsTemplate.of(TENOR_10Y, CONV1);
TenorCdsTemplate base2 = TenorCdsTemplate.of(AccrualStart.NEXT_DAY, TENOR_2Y, CONV2);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
AdjustablePayment payment1 = AdjustablePayment.of(EUR, NOTIONAL_2M, CONV1.SettlementDateOffset.adjust(tradeDate, REF_DATA));
AdjustablePayment payment2 = AdjustablePayment.of(USD, NOTIONAL_2M, CONV2.SettlementDateOffset.adjust(tradeDate, REF_DATA));
LocalDate startDate1 = date(2015, 3, 20);
LocalDate endDate1 = date(2025, 6, 20);
LocalDate startDate2 = date(2015, 5, 6);
LocalDate endDate2 = date(2017, 6, 20);
CdsTrade test1 = base1.createTrade(LEGAL_ENTITY, tradeDate, BUY, NOTIONAL_2M, 0.05d, payment1, REF_DATA);
CdsTrade test2 = base2.createTrade(LEGAL_ENTITY, tradeDate, BUY, NOTIONAL_2M, 0.05d, payment2, REF_DATA);
Cds expected1 = Cds.of(BUY, LEGAL_ENTITY, CONV1.Currency, NOTIONAL_2M, startDate1, endDate1, Frequency.P3M, CONV1.SettlementDateOffset.Calendar, 0.05d);
PeriodicSchedule sch1 = expected1.PaymentSchedule;
expected1 = expected1.toBuilder().paymentSchedule(sch1.toBuilder().startDateBusinessDayAdjustment(sch1.BusinessDayAdjustment).rollConvention(RollConventions.DAY_20).build()).build();
Cds expected2 = Cds.of(BUY, LEGAL_ENTITY, CONV2.Currency, NOTIONAL_2M, startDate2, endDate2, Frequency.P3M, CONV2.SettlementDateOffset.Calendar, 0.05d);
PeriodicSchedule sch2 = expected2.PaymentSchedule;
expected2 = expected2.toBuilder().paymentSchedule(sch2.toBuilder().startDateBusinessDayAdjustment(sch2.BusinessDayAdjustment).rollConvention(RollConventions.DAY_20).build()).build();
assertEquals(test1.Info.TradeDate, tradeDate);
assertEquals(test1.UpfrontFee, payment1);
assertEquals(test1.Product, expected1);
assertEquals(test2.Info.TradeDate, tradeDate);
assertEquals(test2.UpfrontFee, payment2);
assertEquals(test2.Product, expected2);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ResolvedCdsTrade test1 = ResolvedCdsTrade.builder().product(PRODUCT).upfrontFee(UPFRONT).info(TRADE_INFO).build();
coverImmutableBean(test1);
ResolvedCds product = Cds.of(BUY, LEGAL_ENTITY, USD, 1.e9, START_DATE, END_DATE, Frequency.P6M, SAT_SUN, 0.067).resolve(REF_DATA);
ResolvedCdsTrade test2 = ResolvedCdsTrade.builder().product(product).info(TradeInfo.empty()).build();
coverBeanEquals(test1, test2);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
CdsTrade test1 = sut();
coverImmutableBean(test1);
Cds product = Cds.of(BUY, LEGAL_ENTITY, USD, 1.e9, START_DATE, END_DATE, P3M, SAT_SUN, 0.067);
CdsTrade test2 = CdsTrade.builder().product(product).info(TradeInfo.empty()).build();
coverBeanEquals(test1, test2);
}
//-------------------------------------------------------------------------
public virtual void test_createTrade()
{
DatesCdsTemplate @base = DatesCdsTemplate.of(START, END, CONV1);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
CdsTrade test = @base.createTrade(LEGAL_ENTITY, tradeDate, BUY, NOTIONAL_2M, 0.05d, REF_DATA);
Cds expected = Cds.of(BUY, LEGAL_ENTITY, CONV1.Currency, NOTIONAL_2M, START, END, Frequency.P3M, CONV1.SettlementDateOffset.Calendar, 0.05d);
PeriodicSchedule sch1 = expected.PaymentSchedule;
expected = expected.toBuilder().paymentSchedule(sch1.toBuilder().startDateBusinessDayAdjustment(sch1.BusinessDayAdjustment).rollConvention(RollConventions.DAY_20).build()).build();
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
assertEquals(test.UpfrontFee, null);
}
public virtual void pricePufTest()
{
double premium = 150d * ONE_BP;
Cds product = Cds.of(BUY, LEGAL_ENTITY, GBP, 1.0e6, START_DATE, END_DATE, Frequency.P3M, DEFAULT_CALENDAR, premium);
TradeInfo info = TradeInfo.builder().tradeDate(TODAY).settlementDate(product.SettlementDateOffset.adjust(TODAY, REF_DATA)).build();
ResolvedCdsTrade trade = CdsTrade.builder().product(product).info(info).build().resolve(REF_DATA);
NodalCurve cc = CALIB.calibrate(ImmutableList.of(trade), DoubleArray.of(0.0123), DoubleArray.of(0.0), CurveName.of("test"), TODAY, DSC_CURVE, REC_RATES, REF_DATA);
CreditRatesProvider rates = RATES_PROVIDER.toImmutableCreditRatesProvider().toBuilder().creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY, GBP), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY, IsdaCreditDiscountFactors.of(GBP, TODAY, cc)))).build();
double pointsUpFront = CONV.pointsUpfront(trade, rates, REF_DATA);
double cleanPrice = CONV.cleanPrice(trade, rates, REF_DATA);
double cleanPriceRe = CONV.cleanPriceFromPointsUpfront(pointsUpFront);
assertEquals(cleanPrice, cleanPriceRe, TOL);
}
public virtual void standardQuoteTest2()
{
double quotedSpread = 143.4 * ONE_BP;
double expectedPuf = -0.2195134271137960; // taken from Excel-ISDA 1.8.2
double premium = 500d * ONE_BP;
Cds product = Cds.of(SELL, LEGAL_ENTITY, GBP, 1.0e8, START_DATE, END_DATE, Frequency.P6M, DEFAULT_CALENDAR, premium);
TradeInfo info = TradeInfo.builder().tradeDate(TODAY).settlementDate(product.SettlementDateOffset.adjust(TODAY, REF_DATA)).build();
ResolvedCdsTrade trade = CdsTrade.builder().product(product).info(info).build().resolve(REF_DATA);
CdsQuote quotedSpreadQuoted = CdsQuote.of(CdsQuoteConvention.QUOTED_SPREAD, quotedSpread);
CdsQuote derivedPuf = CONV.pointsUpFrontFromQuotedSpread(trade, quotedSpreadQuoted, RATES_PROVIDER, REF_DATA);
assertEquals(derivedPuf.QuotedValue, expectedPuf, 5e-13);
assertTrue(derivedPuf.QuoteConvention.Equals(CdsQuoteConvention.POINTS_UPFRONT));
CdsQuote derivedQuotedSpread = CONV.quotedSpreadFromPointsUpfront(trade, derivedPuf, RATES_PROVIDER, REF_DATA);
assertEquals(derivedQuotedSpread.QuotedValue, quotedSpread, 1e-15);
assertTrue(derivedQuotedSpread.QuoteConvention.Equals(CdsQuoteConvention.QUOTED_SPREAD));
}
public virtual void standardQuoteTest()
{
double pointsUpFront = 0.007;
double expectedParSpread = 0.011112592882846; // taken from Excel-ISDA 1.8.2
double premium = 100d * ONE_BP;
Cds product = Cds.of(BUY, LEGAL_ENTITY, GBP, 1.0e6, START_DATE, END_DATE, Frequency.P3M, DEFAULT_CALENDAR, premium);
TradeInfo info = TradeInfo.builder().tradeDate(TODAY).settlementDate(product.SettlementDateOffset.adjust(TODAY, REF_DATA)).build();
ResolvedCdsTrade trade = CdsTrade.builder().product(product).info(info).build().resolve(REF_DATA);
CdsQuote pufQuote = CdsQuote.of(CdsQuoteConvention.POINTS_UPFRONT, pointsUpFront);
CdsQuote quotedSpread = CONV.quotedSpreadFromPointsUpfront(trade, pufQuote, RATES_PROVIDER, REF_DATA);
assertEquals(quotedSpread.QuotedValue, expectedParSpread, 1e-14);
assertTrue(quotedSpread.QuoteConvention.Equals(CdsQuoteConvention.QUOTED_SPREAD));
CdsQuote derivedPuf = CONV.pointsUpFrontFromQuotedSpread(trade, quotedSpread, RATES_PROVIDER, REF_DATA);
assertEquals(derivedPuf.QuotedValue, pointsUpFront, 1e-15);
assertTrue(derivedPuf.QuoteConvention.Equals(CdsQuoteConvention.POINTS_UPFRONT));
}
public virtual void test_of()
{
BusinessDayAdjustment bussAdj = BusinessDayAdjustment.of(FOLLOWING, SAT_SUN);
PeriodicSchedule expected = PeriodicSchedule.builder().startDate(START_DATE).endDate(END_DATE).businessDayAdjustment(bussAdj).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).endDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).frequency(P3M).rollConvention(RollConventions.NONE).stubConvention(SMART_INITIAL).build();
assertEquals(PRODUCT_STD.PaymentSchedule, expected);
assertEquals(PRODUCT_STD.BuySell, BUY);
assertEquals(PRODUCT_STD.Currency, USD);
assertEquals(PRODUCT_STD.DayCount, ACT_360);
assertEquals(PRODUCT_STD.FixedRate, COUPON);
assertEquals(PRODUCT_STD.LegalEntityId, LEGAL_ENTITY);
assertEquals(PRODUCT_STD.Notional, NOTIONAL);
assertEquals(PRODUCT_STD.PaymentOnDefault, ACCRUED_PREMIUM);
assertEquals(PRODUCT_STD.ProtectionStart, BEGINNING);
assertEquals(PRODUCT_STD.SettlementDateOffset, SETTLE_DAY_ADJ);
assertEquals(PRODUCT_STD.StepinDateOffset, STEPIN_DAY_ADJ);
Cds test = Cds.of(BUY, LEGAL_ENTITY, USD, NOTIONAL, START_DATE, END_DATE, P3M, SAT_SUN, COUPON);
assertEquals(test, PRODUCT_STD);
}
static IsdaCompliantCreditCurveCalibratorBase()
{
ImmutableList.Builder <IsdaCreditCurveNode> dscNodeBuilder = ImmutableList.builder();
for (int i = 0; i < NUM_MM; i++)
{
Tenor tenor = Tenor.ofMonths(MM_MONTHS[i]);
dscNodeBuilder.add(DepositIsdaCreditCurveNode.of(QuoteId.of(StandardId.of("OG", ID_VALUES[i])), ADJ_3D, BUS_ADJ, tenor, ACT_360));
}
for (int i = NUM_MM; i < NUM_INSTRUMENTS; i++)
{
Tenor tenor = Tenor.ofYears(SWAP_YEARS[i - NUM_MM]);
dscNodeBuilder.add(SwapIsdaCreditCurveNode.of(QuoteId.of(StandardId.of("OG", ID_VALUES[i])), ADJ_3D, BUS_ADJ, tenor, THIRTY_U_360, Frequency.P12M));
}
DSC_NODES = dscNodeBuilder.build();
EXP_NODE_CDS = new ResolvedCdsTrade[NUM_TESTS][];
NODE_CDS = new CdsIsdaCreditCurveNode[NUM_TESTS][];
CDS_MARKET_DATA = new ImmutableMarketData[NUM_TESTS];
SPREADS = new double[NUM_TESTS][];
YIELD_CURVES = new ImmutableCreditRatesProvider[NUM_TESTS];
// case0
LocalDate tradeDate0 = LocalDate.of(2011, 6, 19);
LocalDate startDate0 = LocalDate.of(2011, 3, 21);
YIELD_CURVES[0] = createRatesProvider(tradeDate0, tradeDate0, 1d, 0.4);
Period[] tenors = new Period[] { Period.ofMonths(6), Period.ofYears(1), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) };
int nTenors = tenors.Length;
EXP_NODE_CDS[0] = new ResolvedCdsTrade[nTenors];
NODE_CDS[0] = new CdsIsdaCreditCurveNode[nTenors];
ImmutableMarketDataBuilder builderCredit0 = ImmutableMarketData.builder(tradeDate0);
SPREADS[0] = new double[] { 0.00886315689995649, 0.00886315689995649, 0.0133044689825873, 0.0171490070952563, 0.0183903639181293, 0.0194721890639724 };
for (int i = 0; i < nTenors; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, startDate0, LocalDate.of(2011, 6, 20).plus(tenors[i]), Frequency.P3M, DEFAULT_CALENDAR, SPREADS[0][i]);
EXP_NODE_CDS[0][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate0, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.of("conv", EUR, ACT_360, Frequency.P3M, BUS_ADJ, CDS_SETTLE_STD);
CdsTemplate temp = DatesCdsTemplate.of(startDate0, LocalDate.of(2011, 6, 20).plus(tenors[i]), conv);
QuoteId id = QuoteId.of(StandardId.of("OG", tenors[i].ToString()));
NODE_CDS[0][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit0.addValue(id, SPREADS[0][i]);
}
CDS_MARKET_DATA[0] = builderCredit0.build();
// case1
LocalDate tradeDate1 = LocalDate.of(2011, 3, 21);
LocalDate snapDate1 = LocalDate.of(2011, 3, 18);
LocalDate effDate1 = LocalDate.of(2011, 3, 20); //note this is a Sunday - for a standard CDS this would roll to the Monday.
YIELD_CURVES[1] = createRatesProvider(tradeDate1, snapDate1, 1d, 0.4);
tenors = new Period[] { Period.ofMonths(6), Period.ofYears(1), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) };
nTenors = tenors.Length;
NODE_CDS[1] = new CdsIsdaCreditCurveNode[nTenors];
ImmutableMarketDataBuilder builderCredit1 = ImmutableMarketData.builder(tradeDate1);
EXP_NODE_CDS[1] = new ResolvedCdsTrade[nTenors];
SPREADS[1] = new double[] { 0.027, 0.018, 0.012, 0.009, 0.007, 0.006 };
for (int i = 0; i < nTenors; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, effDate1, LocalDate.of(2011, 6, 20).plus(tenors[i]), P3M, DEFAULT_CALENDAR, SPREADS[1][i]);
EXP_NODE_CDS[1][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate1, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.builder().name("conv").currency(EUR).dayCount(ACT_360).paymentFrequency(P3M).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).businessDayAdjustment(BUS_ADJ).settlementDateOffset(CDS_SETTLE_STD).build();
CdsTemplate temp = DatesCdsTemplate.of(effDate1, LocalDate.of(2011, 6, 20).plus(tenors[i]), conv);
QuoteId id = QuoteId.of(StandardId.of("OG", tenors[i].ToString()));
NODE_CDS[1][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit1.addValue(id, SPREADS[1][i]);
}
CDS_MARKET_DATA[1] = builderCredit1.build();
// case2
LocalDate tradeDate2 = LocalDate.of(2011, 5, 30);
LocalDate snapDate2 = LocalDate.of(2011, 5, 29);
YIELD_CURVES[2] = createRatesProvider(tradeDate2, snapDate2, 1d, 0.25);
LocalDate[] matDates2 = new LocalDate[] { LocalDate.of(2011, 6, 20), LocalDate.of(2012, 5, 30), LocalDate.of(2014, 6, 20), LocalDate.of(2016, 6, 20), LocalDate.of(2018, 6, 20) };
int nMatDates2 = matDates2.Length;
NODE_CDS[2] = new CdsIsdaCreditCurveNode[nMatDates2];
ImmutableMarketDataBuilder builderCredit2 = ImmutableMarketData.builder(tradeDate2);
EXP_NODE_CDS[2] = new ResolvedCdsTrade[nMatDates2];
SPREADS[2] = new double[] { 0.05, 0.05, 0.05, 0.05, 0.05 };
for (int i = 0; i < nMatDates2; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, tradeDate2.plusDays(1), matDates2[i], P3M, DEFAULT_CALENDAR, SPREADS[2][i]).toBuilder().dayCount(THIRTY_U_360).build();
EXP_NODE_CDS[2][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate2, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.builder().name("conv").currency(EUR).dayCount(THIRTY_U_360).paymentFrequency(P3M).rollConvention(RollConventions.NONE).businessDayAdjustment(BUS_ADJ).settlementDateOffset(CDS_SETTLE_STD).build();
CdsTemplate temp = DatesCdsTemplate.of(tradeDate2.plusDays(1), matDates2[i], conv);
QuoteId id = QuoteId.of(StandardId.of("OG", matDates2[i].ToString()));
NODE_CDS[2][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit2.addValue(id, SPREADS[2][i]);
}
CDS_MARKET_DATA[2] = builderCredit2.build();
// case3
LocalDate tradeDate3 = LocalDate.of(2011, 5, 30);
LocalDate snapDate3 = LocalDate.of(2011, 5, 29);
LocalDate effDate3 = LocalDate.of(2011, 7, 31);
YIELD_CURVES[3] = createRatesProvider(tradeDate3, snapDate3, 1d, 0.25);
LocalDate[] matDates3 = new LocalDate[] { LocalDate.of(2011, 11, 30), LocalDate.of(2012, 5, 30), LocalDate.of(2014, 5, 30), LocalDate.of(2016, 5, 30), LocalDate.of(2018, 5, 30), LocalDate.of(2021, 5, 30) };
int nMatDates3 = matDates3.Length;
NODE_CDS[3] = new CdsIsdaCreditCurveNode[nMatDates3];
ImmutableMarketDataBuilder builderCredit3 = ImmutableMarketData.builder(tradeDate3);
EXP_NODE_CDS[3] = new ResolvedCdsTrade[nMatDates3];
SPREADS[3] = new double[] { 0.07, 0.06, 0.05, 0.055, 0.06, 0.065 };
for (int i = 0; i < nMatDates3; ++i)
{
Cds product = Cds.builder().buySell(BUY).legalEntityId(LEGAL_ENTITY).currency(EUR).dayCount(ACT_365F).fixedRate(SPREADS[3][i]).notional(1d).paymentSchedule(PeriodicSchedule.builder().businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, DEFAULT_CALENDAR)).startDate(effDate3).endDate(matDates3[i]).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).endDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).frequency(Frequency.P6M).rollConvention(RollConventions.NONE).stubConvention(StubConvention.LONG_INITIAL).build()).paymentOnDefault(PaymentOnDefault.ACCRUED_PREMIUM).protectionStart(ProtectionStartOfDay.BEGINNING).stepinDateOffset(DaysAdjustment.ofCalendarDays(1)).settlementDateOffset(CDS_SETTLE_STD).build();
EXP_NODE_CDS[3][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate3, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.builder().name("conv").currency(EUR).dayCount(ACT_365F).paymentFrequency(Frequency.P6M).rollConvention(RollConventions.NONE).stubConvention(StubConvention.LONG_INITIAL).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, DEFAULT_CALENDAR)).settlementDateOffset(CDS_SETTLE_STD).build();
CdsTemplate temp = DatesCdsTemplate.of(effDate3, matDates3[i], conv);
QuoteId id = QuoteId.of(StandardId.of("OG", matDates3[i].ToString()));
NODE_CDS[3][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit3.addValue(id, SPREADS[3][i]);
}
CDS_MARKET_DATA[3] = builderCredit3.build();
// case4: designed to trip the low rates/low spreads branch
LocalDate tradeDate4 = LocalDate.of(2014, 1, 14);
LocalDate snapDate4 = LocalDate.of(2014, 1, 13);
YIELD_CURVES[4] = createRatesProvider(tradeDate4, snapDate4, 1d / 1000d, 0.4);
int nSpreads4 = 6;
NODE_CDS[4] = new CdsIsdaCreditCurveNode[nSpreads4];
ImmutableMarketDataBuilder builderCredit4 = ImmutableMarketData.builder(tradeDate4);
SPREADS[4] = new double[nSpreads4];
Arrays.fill(SPREADS[4], 1.0e-4);
EXP_NODE_CDS[4] = new ResolvedCdsTrade[nSpreads4];
for (int i = 0; i < nSpreads4; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, LocalDate.of(2013, 12, 20), LocalDate.of(2014, 3, 20).plus(tenors[i]), P3M, DEFAULT_CALENDAR, SPREADS[4][i]);
EXP_NODE_CDS[4][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate4, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.of("conv", EUR, ACT_360, P3M, BUS_ADJ, CDS_SETTLE_STD);
CdsTemplate temp = DatesCdsTemplate.of(LocalDate.of(2013, 12, 20), LocalDate.of(2014, 3, 20).plus(tenors[i]), conv);
QuoteId id = QuoteId.of(StandardId.of("OG", tenors[i].ToString()));
NODE_CDS[4][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit4.addValue(id, SPREADS[4][i]);
}
CDS_MARKET_DATA[4] = builderCredit4.build();
}
